Questions tagged [money-markets]
The money-markets tag has no usage guidance.
16
questions
0
votes
1
answer
162
views
Securities lending vs repo transactions
I have recently started on a repo/SBL trading desk and I am struggling to understand some theory. Normally, in a secured hard-to-borrow secured transaction, I pledge general collateral, receive the ...
0
votes
1
answer
128
views
How to use exp(-r*t) to calculate tbill price
I wonder why : $1 - \left(\frac{4.91\% \times 358}{360}\right) = 95.1172778 $
and why $\exp\left(-4.91\% \times \frac{358}{360}\right)$ does not give 95.1172778
T Bill Description :
B 0 04/17/25 ( ...
- 375
6
votes
1
answer
570
views
What can be used to replace the Libor - OIS indicator in assessing fear in money markets?
Libor is dead and used to be uncollateralised. Libor-OIS was a useful indicator to measure the spread between risk free (central bank e.g. Fed funds) rate and the interbank lending rate. For example ...
- 527
5
votes
0
answers
256
views
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 https://fred.stlouisfed.org/series/EFFR)
Some studies (e.g., https://www.mdpi.com/1911-8074/14/...
- 340
8
votes
1
answer
832
views
Why are T-bills yielding lower than the reverse repo rate?
With another US debt ceiling debacle looming, I just realized something that runs against my intuition:
Many of the Treasury bills maturing in 6 months (with the exception of the ones maturing near ...
- 340
1
vote
0
answers
590
views
Bootstrapping EURIBOR curve
I’m trying to bootstrap a 1m, 3m and 6m euribor curve.
The data I’m using is 3m Euribor swaps, 1m/3m basis spreads and 3m/6m basis spreads. I’ve successfully used quantlib to bootstrap a 3m curve but ...
- 11
3
votes
2
answers
330
views
Why are MMFs willing to lend at 0% through reverse repo?
The reverse repo (RRP) rate is at/near zero lately, but RRP usage is still quite high. Why are people (money market funds?) willing to lend at 0% in the repo market?
Is it because of regulatory ...
- 340
2
votes
1
answer
411
views
What are the practical costs of repo for a bond trading desk?
I appreciate what a repo/reverse repo transaction is, but I'm struggling to understand exactly how the cost of funding trades via repo works from a practical point of view for a bond trader.
Current ...
- 439
1
vote
1
answer
339
views
Japan benchmark rates
Can you please confirm on the following?
The difference between TONA (also called TONAR), JPY Libor, TIBOR is that:
JPY Libor, TIBOR are based on quotes from panel banks. The difference between them ...
- 361
1
vote
1
answer
181
views
China carry trade, borrow in the repo market and invest in govies
"Excess funds in the banking system had juiced leverage in financial markets by driving China’s overnight repo rate to a record low of 0.59% in December. The cheap short-term financing enabled ...
- 361
3
votes
2
answers
2k
views
What drives the difference between M1 & M2 money supply (in the US)?
From what I understand the only entity that controls M1 in US is the Federal Reserve. Is it true that M2-M1( M2 minus M1; the part of M2 that is NOT in M1 like timed deposits) is controlled by the ...
- 141
1
vote
1
answer
100
views
ECB - Two Tier System
It's said the theoretical aim of the ECB Two-tier system (exempt a portion of the excess reserves from negative rates) was designed to:
offset the direct costs of negative interest rates on banks, ...
- 361
2
votes
1
answer
172
views
Funding foreign asset purchase with repo
https://www.bis.org/publ/qtrpdf/r_qt1709e.pdf
extract from page 38
An investor wants to buy a foreign currency security with domestic
cash but does not wish to run FX risk. Then, three transactions ...
- 361
5
votes
4
answers
361
views
Practical purpose of overnight repos
I know this might not be a very quantitative question, but I figure this is the most relevant place to ask this.
Over that last few days, there has been a lot of news from the repo market, for ...
- 398
2
votes
1
answer
1k
views
repo rate v.s. reverse repo rate
From a book, I read that the repo rate is usually higher than the reverse repo rate. i.e., the rate of financing a long security position is higher than the rate to lend cash using securities as ...
- 734