Would appreciate a clear explanation as to what the OIS/Tsy spread and the TU OIS spread is. I've seen it being talked about in Wall St research reports but can't seem to find good explanations on Google. Can anyone shed some light on this and refer any good sources for learning?
Also, it seems like the spread is negative right now. Does it mean the convention is to quote the spread as the lower OIS rate minus the higher Treasury or futures rate? Is there any intuition behind this? Also, when lingo talks about cheapening/tightening/widening of spreads, which direction is this referring to? Heading to 0 or becoming more negative?
Any additional information would also be much appreciated. Thank you!