7 votes

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

There currently is an excess supply of cash looking for short term investments. Money market funds have been receiving a lot of subscriptions. The Feds reverse repo facility has been reaching new ...
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  • 5,295
6 votes

US overnight swaps (OIS)

Well, OIS is actually a style of swap, based on overnight rates. It could have a Fed Funds or a SOFR underlying rate, or anything else. Up until recently , it was assumed in common parlance that OIS ...
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3 votes
Accepted

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

The Fed convened the ARRC (Alternative Reference Rate Committee) in I think 2015 to begin the process of transitioning the financial markets away from Libor. Why? Because Libor had been manipulated ,...
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2 votes

Fed fund market after QE

When the central bank conducts QE they create money, specifically digital money. That digital money must be accounted for and that means it has to be passed back to the central bank for correct ...
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  • 8,047
2 votes

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

"US banks fund themselves via EFFR (Effective Federal Funds Rate), as well as the Secured Overnight Financing Rate (SOFR)" Bank funding is only partly via Fed Funds - there were many ...
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  • 2,076
1 vote

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

My guess would be this: US treasuries are a "safe-haven" asset where market participants pour money when they fear the stock market will take a dive / other adverse scenarios. Over the past ...
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