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...
Fed Funds市场是最先受到这个政策冲击的,市场中流动新会迅速减少,Fed Funds rate会迅速升高。而在Fed Funds市场外界,流动性在短时间内依然很充足,Repo市场反应可能就会慢一些,导致SOFR依然维持在相对较低的水平。这种变化不一致也会导致basis,且Fed Funds rate > SOFR。 以上算是我自己尝试解答自己曾经的疑惑吧。最近...
而且SOFR代表的美国国债回购/逆回购市场是最大的利率市场之一,远大于LIBOR所代表的无担保贷款(Unsecured Wholesale Loan)市场。举个有些勉强的比较,2022年上半年,银行间无担保隔夜融资市场的日平均交易量在2千亿到3千亿美元之间,其中还有平均1千亿来自Fed Funds联邦基金市场,也就是说LIBOR所代表的无担保隔夜贷款市场资金...
前者由美联储定息会议确定，后者由纽约联储公布。好像都是美联储，但它们非常不同。联邦基金利率（Fed Funds Rate）被广泛认为是无风险利率，只有会员银行才能通过美联储的贴现窗口获得这种超低利率。SOFR则是银行间借贷的商业利率。纽约联储根据国债回购市场的交易公布利率。SOFR虽然是纽约联储编制，但数据源是市场交...
Like Fama (2013), we use the target fed funds rate as a concrete expression of the Fed’s interest rate policy and examine five open market interest rates: the rate for one-month high-grade nonfinancial commercial paper (CP), the three- and six-month US Treasury bill (T-bill) rates ...
target fed funds rateThe secured overnight financing rate (SOFR) is the successor to LIBOR (London interbank offered rate) as a benchmark rate for lending in US dollars. Our resultsIndriawan, IvanJiao, FengTse, YiumanSocial Science Electronic Publishing...
美元基准利率转换从LIBOR到SOFR
Track the latest NY Fed Secured Overnight Financing Rate (SOFR) data including 30, 90, and 180 day averages and fallback rates
* buying the 1-month October SOFR futue contract * selling the equivalent fed funds future contract 上面future contracts的结构和FRA(Forward rate agreement赌未来某个时间点才开始的借贷合同的利率)相似: 以上的例子,都是1-month的interest rate future,也就是赌未来某个时间点才开始的为期一个月的借贷合同...
SOFR trades a little below Fed Funds and is released by the New York Fed every morning. Today it’s 4.31% while the midpoint of the Fed Funds target range is 4.375%. The rationale for the trade: The current ask price for the April 95.5 Call option on June ‘23 3-month SOFR Futures...