OFR Short-term Funding Monitor - Market Digests

Rates

Interest rates measure the cost of funding. They can act as indicators both of short-term costs of capital for financial intermediaries and of stress in funding markets. These charts present interest rates across various short-term funding markets and types of funding.

Yields on long-maturity Treasuries

Yields on long-maturity (one year or more) Treasury securities

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Treasuries are one of the safest and most liquid securities available to investors, and provide a benchmark for financing rates across time horizons. Long-maturity Treasuries serve as an important source of collateral for short-term markets. Problems in short-term markets can lead to illiquidity of longer-maturity Treasuries, allowing sudden jumps or decreases in rates. Conversely, rates on longer-maturity Treasuries determine the desirability of holding these assets, and can lead to greater demand for short-term financing by participants so they can hold these longer-maturity securities. The level of rates over different time horizons can reflect expectations of the future path of interest rates.

Series Used

Related Charts

Repo returns by venue
Mean rates on repurchase agreements by venue: GCF Repo Service, DVP Service, and tri-party repo
 One-month rates of return in repo and Treasury markets
One-month rates of return in repo markets and yields on one-month Treasuries
 Average rates of return in centrally cleared repo markets by collateral type
Average interest rates in the GCF Repo Service and DVP Service broken out by type of collateral
Average rates of return in tri-party repo markets by collateral type
Rates of return in tri-party repo market broken out by type of collateral
 Yields on money market fund investment holdings of repos by collateral type
Dollar-weighted median yields on money market fund investment holdings of repos by collateral type
 Yields on short-maturity Treasuries
Yields on short-maturity (one year or less) Treasury securities
 Yields on long-maturity Treasuries
Yields on long-maturity (one year or more) Treasury securities
 Yields on money market fund investment holdings of repos by tenor
Dollar-weighted median yields on money market investment fund holdings of repos by tenor
 Federal Reserve Bank of New York reference rates
Levels of overnight reference rates
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Suggested Citation

Office of Financial Research, “OFR Short-term Funding Monitor,” refreshed daily, https://www.financialresearch.gov/short-term-funding-monitor/ (accessed ).