Short Term Spreads

Short Term Yields

Why are spreads blowing out?

A couple of possible reasons:

1. Debt Ceiling: Fears of missing payments on X-date increase demand for short term bills, thereby depressing yields.

2. SVB: Small and mid sized banks may be scrambling for high quality collateral, increasing demand for short term bills, thereby depressing yields.

Short Term Spread

Summary Stats

                Spread in PPT
Observations        5435.0000
NAs                    0.0000
Minimum               -0.5800
Quartile 1             0.0000
Median                 0.0300
Arithmetic Mean        0.0692
Geometric Mean         0.0602
Quartile 3             0.1100
Maximum                1.6900
SE Mean                0.0020
LCL Mean (0.95)        0.0652
UCL Mean (0.95)        0.0731
Variance               0.0220
Stdev                  0.1482
Skewness               2.4326
Kurtosis              13.9050

Histogram

The max spread was 1.69% on 21Apr2023, which had a z stat = 10.94

Relative Spread

Adjusting for the level of the yields, today’s spread is not as dramatic as that which we experienced during the Great Recession when yields were only half as high.