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https://alhambrapartners.com/2021/09/21/hey-jay-maybe-check-the-swaps-before-committing-to-taper/

Quite simply, it takes some financial institution’s balance sheet capacity to take on an interest rate swap (the farther the maturity, the more capacity it requires). If balance sheet capacity (the real money in the system, therefore liquidity) is systemically impaired, as in a crisis, or a crisis that doesn’t really end, then to get dealers to give up their precious balance sheet capacity and engage on the other side of a swap someone would have to pay a hefty premium to make it worth it (risk-adjusted) for the dealer to do so. In a swap, it would mean discounting the price of the fixed leg even to the point this fixed leg yields less than a UST of the same maturity. A negative swap spread, therefore, an indirect but reliable indication of systemic liquidity and balance sheet elasticity.

https://www.newyorkfed.org/medialibrary/media/research/epr/2018/epr_2018_negative-swap-spreads_boyarchenko.pdf

Although we cannot precisely measure the costs SLR capital requirements impose, it appears that executing swap spread trades is now more expensive for dealers than in the past largely because of the amount of capital that dealers must hold against these trades.

https://faculty.fuqua.duke.edu/assetpricing/documents/2018/FleckensteinLongstaff_Apr2018_ShadowFundingCosts.pdf

Thus, the incremental shadow funding costs imposed by balance sheet constraints are on the order of 30 percent of the total direct funding costs faced by U.S. financial intermediaries. Far from being a minor friction, balance sheet costs of this magnitude clearly have the potential to be of first-order importance in their effects on financial intermediaries and on asset pricing.

We find that increases in balance sheet costs are associated with declines in banks’ holdings of Treasury securities as well as with declines in their leverage and asset growth rates. These results strongly support the view that balance sheet constraints can have major effects on market liquidity and on risk-taking by financial institutions which, in turn, may have important implications for the macroeconomy.

tl;dr nie ma, polecam się zapoznać z linkami na spokojnie.
#gielda