Term funding premium: Time is money even absent interest rate risk
· dallasfed.org
Term premium, a central concept in analysis of interest rates and monetary policy, is generally viewed largely as compensation for bearing interest-rate risk. However, Treasury asset swap spreads strongly indicate the existence of a distinct premium—a term funding premium—associated with merely providing term financing. This funding premium shows promise as a real-time indicator of Treasury market stress.
Term funding premium: Time is money even absent interest rate risk
Srini Ramaswamy, Seth Searls, Hugo De Vere and Ipek Ozil
Term premium is a central concept ...