Questions tagged [fed-funds]

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Why Fed Funds Rate's is higher than U.S. treasury yield on the short term (< 2M)

The current Fed Funds Rate is 1.75% whereas the 1 Month Treasury Rate is at 1.28%. I would have expected the Fed Funds Rate to be lower than Treasury rate on short maturities, what is the reason of ...
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metric for measuring "the expectation of the tightness of monetary policy"

I am looking for a metric for measuring "the expectation of the tightness of monetary policy." I know this is a super vague concept. My ideal metric is something I can do a "spot price /...
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Number of Fed Rate hikes prices in

Could someone please explain to me how the calculation of the market expected FED rate hikes is done? Thank you.
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Why did the month-end (ir)regularities in Effective Federal Funds Rate (EFFR) disappear in 2018?

The Federal Funds rate has exhibited regular drops at month ends since beginning of 2015. (Source: FRED https://fred.stlouisfed.org/series/EFFR) Some studies (e.g., https://www.mdpi.com/1911-8074/14/...
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1 answer
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Fed fund market after QE

I read that before 2008, reserves of the banking system (vault cash and reserves at the Fed) fluctuated between \$40 billion and \$80 billion. However, as a result of quantitative easing, reserves ...
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2 answers
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US overnight swaps (OIS)

Can you please confirm if the underlying rate of US overnight indexed swaps is SOFR or Fed funds?
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1 vote
1 answer
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OIS example in Hull's book

In Hull's book (9th edition), on pages 202-203, there is an example for computing the payoff of an OIS that I am confused about. It says suppose in a US 3-month OIS the notional principal is \$100 ...
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4 votes
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1k views

Replacing USD OIS discounting based on FED Funds Rate with SOFR discounting

Slightly related to my other question (The exact mechanics of USD OIS Swaps: replacement of USD Libor by SOFR) but nonetheless, this is a separate topic: US banks fund themselves via EFFR (Effective ...
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