Someone asked me today what the effect of the IOER and RRP would be on rates. This was my reply:
I don’t have any opinion on how the IOER and RRP will affect the expectation of interest rate changes. Since I mostly look at butterflies, the effect on a spread or fly structure is going to be be small, so I haven’t spent a lot of time thinking about it. I suppose in the beginning there may be some more volatility, but I will let you know if I have any further thoughts.