Eurodollar University HOLY SH*T! Swap Spreads Just...
Oct 24, 2023
The podcast discusses the recent big move in interest rate swap spreads and their significance in understanding the euro dollar system. It explores the opaque world of the euro dollar system and its inner workings through yield curves, money curves, and interest rate swap spreads. The impact of dealer capacity constraints on swap spreads is explored, along with the concept of negative swap spreads and their implications for risk management. The podcast also highlights the importance of negative swap spreads and their potential spillover effects in the market.
Chapters
Transcript
Episode notes
1 2 3 4 5
Introduction
00:00 • 3min
Understanding the Euro Dollar System and the Role of Dealer Banks
02:54 • 2min
Exploring the Relationship Between Swap Spreads and Dealer Capacity
05:24 • 2min
Negative Swap Spreads and Risk Management
07:30 • 10min
The Importance of Negative Swap Spreads and Correlated Warnings
17:39 • 2min