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已更新 SOFR Swap Spreads (2Y, 5Y, 10Y, 30Y)
This indicator models real-time SOFR swap spreads across 2Y, 5Y, 10Y, and 30Y maturities by comparing SOFR Swapnote Futures (ICEEUR) to corresponding Treasury yields (TVC). It calculates the spread for each tenor and overlays a 90-day moving average as a fair value model, with ±1 standard deviation bands.
Swap spreads are critical signals for funding stress, liquidity dislocations, and systemic risk, especially during events like Treasury General Account (TGA) refills or changes in repo market conditions.
Blue = 2Y, Orange = 5Y, Green = 10Y, Purple = 30Y
When spreads deviate sharply below the model line, it may indicate tightening liquidity or risk-off behavior
When spreads widen, it can signal funding relief or macro shifts
Use this to monitor stress in the yield curve, repo market, and broader macro landscape.
Swap spreads are critical signals for funding stress, liquidity dislocations, and systemic risk, especially during events like Treasury General Account (TGA) refills or changes in repo market conditions.
Blue = 2Y, Orange = 5Y, Green = 10Y, Purple = 30Y
When spreads deviate sharply below the model line, it may indicate tightening liquidity or risk-off behavior
When spreads widen, it can signal funding relief or macro shifts
Use this to monitor stress in the yield curve, repo market, and broader macro landscape.
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免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。