Myblogon 10thSeptember looked at the trading so far this year in derivatives and compares the SOFR with the EFFR (Effective Fed Funds Rate) trading volumes. Swaps and Futures on EFFR arefar more liquid than SOFR at the time or writing but there is a preference to further develop SOFR tradi...
We use the forward-looking one-, three-, and six-month LIBOR and SOFR. LIBOR is a forward-looking term rate, meaning that the rate Do interest rates react to the target federal funds rate? We first measure the daily response of interest rates to the TF. The model is designed to explai...
No, the secured overnight financing rate (SOFR) and the effective federal fed funds rate (EFFR) are not the same. SOFR is an overnight lending rate that uses Treasuries as collateral while the fed funds rate is the base interest rate of the U.S. calculated from overnight loans without c...
债券市场摘要 US Treasury yields were broadly steady across the curve on Tuesday with markets awaiting the FOMC meeting later today. While the policy Fed Funds Rate is expected to be unchanged, insights on the path of interest rates are said to be keenly watched out for. US consumer confidence...
(vs. 2.31x last month) and an indirect acceptance rate of 68.7% (vs. 65.3% last month). Markets are now pricing-in roughly 110bp in Fed rate cuts by end-2024, as per the Implied Fed Funds Futures Rate. US IG CDS tightened by 1bp and HY CDS spreads tightened by 6bp. Looking at...
Later in the evening, the FOMC kept the target Fed Funds Range unchanged at 5.25-5.50% as expected. The FOMC's dot plots guided for a 25bp rate cut by end-2024, whilst Chairman Jerome Powell left the door open for more. This compares to 75bp in cuts seen in the March meeting's do...