Selecting Interest-Rate Series for Funding-Liquidity Spreads
Summary
The question concerns constructing funding-liquidity measures used in research on value and momentum across markets. It asks which term repo and interest-rate swap series to use when calculating spreads such as LIBOR minus term repo and swap minus Treasury-bill rates. The replies point to the cited research and its data notes, which describe sources for short rates and government bond yields, and identify TED, LIBOR-term repo, and swap-bill spreads as funding-liquidity measures. Wider spreads are described as signaling tighter funding conditions for financial institutions that may act as marginal investors or market makers.
For sourcing, one response suggests generic Bloomberg swap tickers, while another recommends searching the St. Louis Fed database. These are practical leads, not a definitive specification of tenor or a universal industry standard. The cited material includes a ten-year government bond yield reference, but does not settle which swap or repo maturity should be used for every spread. Researchers should align series definitions, maturities, markets, and dates with the intended replication.
Key ideas
- Funding-liquidity measures can include TED, LIBOR-term repo, and swap-bill spreads.
- Wider spreads are associated with tighter funding constraints for financial institutions.
- The replies suggest Bloomberg or FRED as possible sources for rate data.
- The exchange does not establish one universally correct tenor for swap or repo series.
Tags
Full text
# How to choose the correct ticker for rates? # How to choose the correct ticker for rates? I would like to calculate funding liquidity following Asness/Moskowitz/Pedersen (2013). Among others, they calculate the LIBOR minus term repo rate, and the Swap-T-bill, LIBOR minus interest rate swaps. I checked the FRED homepage and CRSP for the term repo rate and interest swap rate and found numerous different versions of both variables. Are there any industry standards in research which particular data (e.g. Swap for 1y or 30y) I should choose for these two variables? ## Answer by Ted Taylor of Life (score 1) https://quant.stackexchange.com/a/28299 Here you go. > On Page 935 "A.4. Global Government Bonds Bond index returns come from Bloomberg and Morgan Markets, short rates and 10-year government bond yields are from Bloomberg, and inflation forecasts are obtained from investment bank analysts’ estimates as compiled by Consensus Economics. We obtain government bond data for the following 10 countries: Australia, Canada, Denmark, Germany, Japan, Norway, Sweden, Switzerland, the United Kingdom, and the United States over the period January 1982 to July 2011, where the minimum number of country bond returns is 5 at any point in time and all 10 country bonds are available after 1990." Orginial Data 2016 : Value and Momentum Everywhere: Original Paper Data > Or "TED spread (3 month LIBOR minus 3 month T-bill rate), U.S., U.K., Japan, Germany (Bloomberg and International Fund Services (IFS))": Ted Spread Or "Summary of “Value and Momentum Everywhere” Columbia: Funding liquidity risks are measured by Treasury-Eurodollar spread (TED), LIBOR-term repo spread, and Swap-T-bill spread. Higher spreads indicate tighter funding constraints for financial institutions who usually are the marginal investors or the market makers in the asset markets. ## Answer by jake_r (score 0) https://quant.stackexchange.com/a/28204 If you have access to Bloomberg, I'd look at their generic tickers (for 10Y swap, I think it's USSWP10 Curncy). Otherwise, I'd use the St. Louis FRED database and search for your rates there.
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