New Data Available for the Effective Federal Funds Rate and the Overnight Bank Funding Rate

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New Data Available for the Effective Federal Funds Rate and the Overnight Bank Funding Rate

March 2, 2016

In February 2015, the Federal Reserve Bank of New York (New York Fed) announced planned changes to the calculation of the effective federal funds rate (EFFR) and the intention to commence publication of an overnight bank funding rate (OBFR) using transaction data reported by depository institutions in the FR 2420 Report of Selected Money Market Rates (FR 2420). The New York Fed also announced that it would calculate both rates as volume-weighted medians (the EFFR was previously calculated as a volume-weighted mean). And, the New York Fed announced that additional statistics would be published for each rate including the volume-weighted 1st, 25th, 75th, and 99th percentiles and the volume rounded to the nearest billion.

These changes were implemented on March 2, 2016, for the publication of the March 1 EFFR and OBFR. Please see the following links to access the data for the two rates:

Federal Funds Data »
Overnight Bank Funding Rate Data »

There is also a new webpage that provides Additional Information about these rates.

For more information and past communications related to changes to the calculation of the EFFR and publication of the OBFR, please see the following:

Statement Regarding Planned Changes to the Calculation of the Federal Funds Effective Rate and the Publication of an Overnight Bank Funding Rate February 2, 2015

Statement Regarding the Calculation Methodology for the Effective Federal Funds Rate and Overnight Bank Funding Rate July 8, 2015

Statement Regarding the Implementation of Planned Changes to the Effective Federal Funds Rate and Publication of the Overnight Bank Funding Rate January 6, 2016

In addition, Simon Potter’s February 22, 2016, speech entitled Money Markets after Liftoff: Assessment to Data and the Road Ahead, contains recent rate and volume statistics on federal funds and Eurodollars from the FR 2420 data collection as well as historical data related to the OBFR. To access these data please see the data file at the bottom of the speech.

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