Questions tagged [fed-funds]

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Constructing the FedFunds Yield Curve with jumps at FOMC meetings

When constructing the FedFunds yield curve I want to define the curve based on two separate interpolation schemes. The first on the short end being LogLinear on the discount factors between FOMC ...
ml4irs's user avatar
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Question regarding the accuracy of CME FedWatch Tool

I just accessed the CME FedWatch Tool at 10:27am ET. It reported mid price of ZQZ2 as 95.8788 and a corresponding probability of 74.7% of 50bp hike at Dec FOMC meting (vs 75bp). For December, as this ...
Argyll's user avatar
  • 109
3 votes
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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 ...
MaPy's user avatar
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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 /...
Matt Frank's user avatar
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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.
Rodrigo 's user avatar
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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 Some studies (e.g.,
GZ-'s user avatar
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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 ...
Xiaohuolong's user avatar
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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?
Student's user avatar
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1 vote
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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 ...
Xiaohuolong's user avatar
4 votes
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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 ...
Jan Stuller's user avatar
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