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6 votes
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Overnight Index Swaps (OIS) vs. Fed Funds Futures

I think you have a little misunderstanding. OIS just means the rate for fed funds. Usually people are referring to "FEDL01 Index" on Bloomberg. That's the VWAP of trades for the previous day in Fed ...
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3 votes
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Why can't central bank reserves ever leave the Fed's balance sheet?

As requested: Currency is also a liability of the Fed on its balance sheet. Thx
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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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2 votes

How does FED quantify inflation expectation?

"How does FED qua[n]tify inflation expectation?" NY Fed survey, UoM survey, Philly Fed SPF, proprietary adjustments to breaks for various risk premia, etc. But overall, this question should ...
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  • 2,101
2 votes

Overnight Index Swaps (OIS) vs. Fed Funds Futures

All above is correct. Just adding my 2 cents as the former PM for WIRP... These days Bloomberg's WIRP uses both Fed Funds Futures (US-Fut) and OIS (US-OIS) to back out the interest rate expected after ...
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1 vote

Repo- A few questions

FRB NY website would be a good place to start answering those questions given they implement the bailouts/money pumping/OMOs + TOMOs. As to 6), corporate treasurers invest cash in the money market ...
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1 vote

Banks' use of repo to finance operations

First of all, banks play it both ways. Some banks (JPM especially) are cash-rich and will use their cash (pay depositors 0.00 %) to pick up revenue in the repo markets. Other banks will use the cash ...
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1 vote

overnight index swaps OIS

Just use meeting date OIS - cleanest way to do it. Sources: inter-dealer brokers such as ICAP, banks, data vendors such as Bloomberg or Reuters.
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1 vote

FED rate cuts don't exist

The Fed announces targets for where they will push prices with their (effectively unlimited) funds. So yes, they do in effect announce rate cuts. Furthermore, they often cut or raise rates on the ...
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