The spread between IORB rate (interest rate on reserve balances at the central bank) and BTFP rate is wider than ever.
Prospects of Fed rate cuts next year cause overnight swap rates (OIS) to fall, dragging down BTFP rates (= 1Y OIS rate + 10bps) as well …
=> The growing interest rate differential between BTFP and IORB makes banks' interest rate arbitrage trade even more attractive.
