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Is there any specific name for the spread between US Treasury vs OIS rate?
I observed that for a specific tenor (e.g. 10 years) US Treasury is higher than the OIS curve. Any reason for this? OIS is unsecured so should not OIS be higher than Treasury rate which is backed by US Govt hence less credit risk?
You raise a few separate questions. To directly answer the first question, this is called the ‘swap spread’. So for example the 10 year swap spread is currently around -30bp. (Treasury yield is 3.50 and the ois swap rate is about 3.20). If you look historically, you will see that these swap spreads were positive up until 2009, and negative thereafter. The reason for this is that the US Treasury dramatically increased the issuance of Treasuries after the financial crisis, so this is mostly a matter of increased supply. Your question about credit risk isn’t relevant here. Even though ois (Fed funds ) is an unsecured rate , it is an overnight rate so contains almost no credit risk. Note that a ten year ois swap does not contain 10 years’ of credit risk, so it is not apples to apples with a 10 year investment such as a Treasury bond.
