Basic question: I am a bit curious what are the differences between Fed Fund Rate, OIS and SOFR? All three, as I understand are based on overnight collateralized transactions? (Please correct if I am wrong) And how is 10y SOFR rate calculated as SOFR is based on overnight rate only? Is it simple compounding?
The Fed Funds Effective Rate is the overnight unsecured borrowing rate between financial institutions. It is published on Boomberg's FEDL01 page.
SOFR is an overnight interest rate which represents the average rate for overnight Treasury repo transactions (ie secured loans backed by Treasury collateral).
OIS is a style of interest rate swap. It stands for Overnight Indexed Swap. An OIS has a fixed rate on one leg and an overnight rate, reset daily and compounded daily until the payment date, on the floating side. The overnight rate could be either Fed Funds or SOFR or a different rate. Possible confusion arises because up until the invention of SOFR, an OIS was assumed to refer to Fed Funds. But in fact it could be either.