Interest Rate Spot and Futures Markets as Market Barometers

Interest rate spot and futures markets represent sensitive barometers of market conditions and sentiments of market participants. Recent years and months have witnessed a confluence of economic crises that are reflected in both the long and the short-end of the yield curve.

Our intent is to highlight two spreads that reside on both the long- and the short-ends of the yield curve that have proven to be particularly interesting barometers of the general level of market risk. Specifically, the Swap-Treasury spread on the long end of the curve; and, the 3-month LIBOR vs. OIS spread on the short-end of the curve.