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Quantitative Finance · शब्दावली

Turn क्या है?

Definition 2.10 Markets II: Rates, FX and Credit · अध्याय 2 — Money Markets

A turn is a date across which borrowing costs more, or lending earns less, than on the neighbouring days, because a balance sheet is measured on it: a quarter-end, and above all the year-end. The turn premium is the excess of the rate for that night over the rate for ordinary nights.

Daily take-up of the Federal Reserve’s overnight reverse repo facility, July 2022 to March 2023. The spikes are the quarter-ends (and, smaller, some month-ends): on the reporting dates banks and dealers take less of the funds’ cash and the facility takes the rest. The year-end spike, 245 billion in one day, is the largest. Data: Federal Reserve Bank of New York, via FRED series RRPONTSYD.
Figure 2.3. Daily take-up of the Federal Reserve’s overnight reverse repo facility, July 2022 to March 2023. The spikes are the quarter-ends (and, smaller, some month-ends): on the reporting dates banks and dealers take less of the funds’ cash and the facility takes the rest. The year-end spike, 245 billion in one day, is the largest. Data: Federal Reserve Bank of New York, via FRED series RRPONTSYD.
The rate of a one-week deposit by its start date, when ordinary nights earn 3.87% and the quarter-end night of 30 September earns 3.95%. Every deposit that spans the quarter-end costs 1.1 basis points more; the turn is priced for a week before it happens. Rates are illustrative. Data: the chapter’s tutorial.
Figure 2.4. The rate of a one-week deposit by its start date, when ordinary nights earn 3.87% and the quarter-end night of 30 September earns 3.95%. Every deposit that spans the quarter-end costs 1.1 basis points more; the turn is priced for a week before it happens. Rates are illustrative. Data: the chapter’s tutorial.
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