MBODDS GLOBAL - Enhanced

en

MBODDS GLOBAL Indicator – Detailed Interpretation

What does the indicator measure?

Liquidity preferences

Credit risk perception

Market stress levels

Interpreting the ODDS Value

ODDS Value Explanation
Positive ODDS (> 0) SOFR is higher than the T-Bill rate → Interbank liquidity is more expensive → Possible financial stress.
Negative ODDS (< 0) T-Bill rates are higher than SOFR → The government pays more interest in the short term → Liquidity abundance, normal market conditions.
ODDS ≈ 0 Neutral market state → Low stress, market is stable.

Z-Score Interpretation (Extremity Analysis)
The Z-Score measures the standard deviation of ODDS, detecting extreme values:

Z-Score Meaning
> +1.0 Spread is unusually high → Stress/crisis risk increases.
< -1.0 Spread is unusually low → Liquidity could be abundant.
> +2.0 Extremely high spread → Systemic risk (observed during 2008-2020 periods).
≈ 0 Average level → Normal conditions, no notable risk.

The Z-Score functions as an "anomaly detector" for this indicator.

SMA (Simple Moving Average) Interpretation
The 21-day SMA shows the trend of ODDS:

ODDS consistently above SMA: Rising stress and credit costs.

ODDS consistently below SMA: Easier liquidity and lower market concerns.

Threshold Bands (±0.5)
These thresholds are visual guides for alerts:

ODDS > +0.5: Rising stress, potential liquidity tightening → Risky environment.

ODDS < -0.5: Low spread → Abundant liquidity, low stress → Comfortable environment.

Use Cases

Macro analysis (especially after Fed policy changes)

Direction determination in bond, equity, or credit markets

Early signal for stressful periods

Predicting liquidity crises

Conclusion:
This indicator acts as a macro-based "silent alarm." Specifically:

SOFR > T-Bill and Z-Score > 1: Stress and risk are increasing, protection strategies should be considered.

T-Bill > SOFR and Z-Score < -1: Liquidity is abundant, risk appetite may rise.