Timeline for SOFR - calculation of the volume-weighted median and percentile
Current License: CC BY-SA 4.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jan 1, 2021 at 16:24 | comment | added | Magic is in the chain | It is indeed 25% in terms of volume- If total volume is 100m,you exclude the bottom 25m. | |
| Jan 1, 2021 at 16:11 | comment | added | B_B | This would not take into account the dollar volume weights. | |
| Jan 1, 2021 at 15:47 | comment | added | Magic is in the chain | I thought the bottom 25% transactions are just removed- meant to capture the specials, whose interest rate is mainly driven by the desirability of the collateral as opposed to lending/borrowing. | |
| Dec 31, 2020 at 22:19 | comment | added | B_B | Thanks! In the case of the second question shall one compute the cumulative dollar volume, calculate 25% of this amount and then find the interest rate associated with this dollar volume? | |
| Dec 31, 2020 at 22:17 | history | edited | B_B | CC BY-SA 4.0 |
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| Dec 31, 2020 at 21:34 | comment | added | Magic is in the chain | Please see details here: newyorkfed.org/medialibrary/media/markets/…. Especially the footnote: ‘5 For example, assume that on a given day, 10 million of federal funds transactions occurred at each of 5, 10, 15 and 20 basis points, and 60 million occurred at 25 basis points. This represents 100 million of total volume. The median would be the rate at the ‘middle dollar’, or 50 million, which is 25 basis points in this example. The mean of this data is 20 basis points.’ | |
| Dec 31, 2020 at 21:20 | history | asked | B_B | CC BY-SA 4.0 |