Complexity Premia · Episode 80: The Great Credit Squeeze: Higher Yields, Falling House Prices, and Recession Risk
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tracked senior bank spread drift from low 60s to ~70 bps and T2 spreads from high 115-120 to low 130 bps as a risk signal
senior spreads low 60s → ~70 bps; T2 spreads high 115-120 → low 130 bps
“You can suggest that they make it as high as possible or as low as possible. With someone moving out of their main residence, they would want it to be as high as possible generally.”
“In oil, we call it a crack spread… In soybeans, we call it a crush spread… At DRW, we call this the crunch spread”
“The other really big piece over that specific period was low financing costs. Low interest rates. ... high returns, low volatility were big pieces of it.”
“All refineries in India are operating at 100% or more capacity utilization. Reliance refinery ... can sometimes go even as high as 115, 120%”
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