No I have not found anything yet regarding this episode. Usually it is regulatory constraints and liquidity considerations. There is some article content if you google long enough.I agree comeinvest. Do you have any thoughts on what this dislocation would be or could be? I always view stuff like this as there being additional risk that is now relevant that wasn’t previously.
SOFR is relevant. All short-term risk-free rates, fed funds, SOFR, implied options financing, implied futures financing (equities and treasuries), repo, should theoretically be equal or very close, were it not for some limits to arbitrage and some regulatory balance sheet constraints of some market participants. An unusually large difference would indicate some sort of market dislocation.
I didn't mention treasuries in my list, because I'm not sure if they are risk-free any more, as per the large yield spread to SOFR OIS swap rates and per the relatively high credit default swap rates.
Statistics: Posted by comeinvest — Tue Dec 10, 2024 10:25 am