The New York Fed has endeavored to adopt policies and procedures consistent with best practices for financial benchmarks to the extent appropriate for the effective federal funds rate (EFFR) and the overnight bank funding rate (OBFR) and official sector administration of the rates.
The New York Fed calculates the EFFR and OBFR from daily transaction data reported under the authority of the Board of Governors of the Federal Reserve System (the “Board”) on the FR 2420 Report of Selected Money Market Rates. For further information about the FR 2420, please see the following:
The EFFR is calculated using data on overnight federal funds transactions provided by domestic banks and U.S. branches and agencies of foreign banks, as reported in the FR 2420.
The OBFR is calculated using the same federal funds transaction data that is included in the EFFR, as well as certain overnight Eurodollar transaction data reported on the FR 2420. The included Eurodollar transactions are unsecured borrowings of U.S. dollars booked at international banking facilities and at offshore branches that are managed or controlled by a U.S. banking office. For U.S. branches and agencies of foreign banks, “managed and controlled” branches are defined by Reporting Form FFIEC 002S as those offshore branches for which the U.S. branch or agency has majority responsibility for business decisions. For U.S. banks, the managed and controlled branches represent offshore branches for which the U.S. office of the bank primarily manages the funding activity.
For both rates, consistent with the FR 2420 reporting, overnight transactions are transactions settled on the same day as the trade date and maturing the following business day. Rates for transactions with greater than one business day to maturity or without a specified maturity date (“open transactions”) are not included in the calculation.
Both the EFFR and OBFR are calculated as a volume-weighted median, which is the rate associated with transactions at the 50th percentile of transaction volume. Specifically, the volume-weighted median rate is calculated by ordering the transactions from lowest to highest rate, taking the cumulative sum of volumes of these transactions, and identifying the rate associated with the trades at the 50th percentile of dollar volume.1 The published rates are the volume-weighted median transacted rate, rounded to the nearest basis point.
The 1st, 25th, 75th and 99th percentiles for each rate are also calculated using the same volume-weighted methodology. Volume is calculated as the sum of overnight transaction volume, rounded to the nearest billion. These additional summary statistics reflect the inputs included in the rate calculation, and will only be revised if amendments to the data result in a revision to the EFFR or OBFR.
In calculating the rates each day, the New York Fed will review the data to assess whether any errors are apparent in the dataset that could affect the accuracy of published statistics and, in some circumstances, may exercise expert judgment to determine whether reported transactions appear to be erroneous. Time permitting, the New York Fed will attempt to contact the relevant reporting institution in such situations to verify the accuracy of the reported data. Transactions that cannot be confirmed as correct or revised by the reporting institution prior to the rate publication may be excluded from the rate calculation. If an excluded transaction is subsequently confirmed or revised, the published rates will be subject to revisions as described in Rate Revisions.
On most days, the rates will be published at approximately 9:00 a.m. with FR 2420 data. If rates are published with reduced volume due to missing reporters or other circumstances, a note will be included with the published rate to indicate reduced volume. If the New York Fed deems that the reported transactions are incomplete and insufficient to publish a rate, then the rate publication may be delayed. Ultimately, the New York Fed may also publish the rates using data obtained from federal funds and Eurodollar brokers. Under extraordinary circumstances, when all current data sources are insufficient, the New York Fed may publish the prior day’s rates in the absence of an adequate data source. In such instances, the change in source will be noted when the rate is published.
If transaction data are revised or an error is discovered in the calculation process subsequent to the rate publication on the same day, the affected rate or rates will be revised at approximately 2:30 p.m. These revisions will only take place if the change in the published rate exceeds one basis point. This revision threshold will be reviewed periodically and may be amended based on market conditions. If the EFFR is revised, the OBFR will also be revised, irrespective of whether the resultant change from recalculation was greater than the rate revision threshold. In this situation, the OBFR revision could result in a change to the volume or the percentiles. In other circumstances, the OBFR may be revised without a revision to the EFFR. Any revisions to the rates will be same-day only, except in extraordinary circumstances. The New York Fed may decide to revise the summary statistics or publish additional summary statistics on a lagged basis.
Additional summary statistics based on FR 2420 data are available. These statistics may differ from the EFFR or the OBFR for a given day because the additional summary statistics may incorporate data that was not used in the calculation of the EFFR and the OBFR for that day pursuant to the "Rate Revisions," "Data Exclusions" or "Data Contingency" policies described above.
Quarterly FR 2420 Summary Statistics (data updated as of 9/30/2016)
The New York Fed has policies on ethics and conflicts of interest. In addition, staff will consider and address potential conflicts of interests and related concerns specific to administration of the rates.
Complaints about the rate calculation process or a given day’s rate should be submitted in writing to the New York Fed via the following email address: firstname.lastname@example.org. The New York Fed will investigate and review any such complaints and will endeavor to respond to the complainant in a timely manner. For additional resources to report complaints, please see Tips and Complaints.
1 For example, assume that on a given day, $10 billion of federal funds transactions occurred at each of 5, 10, 15 and 20 basis points, and $60 billion occurred at 25 basis points. This represents $100 billion of total volume. The median would be the rate at the ‘middle dollar’, or $50 billion, which is 25 basis points in this example. Alternatively, if $20 billion of transactions occurred at 10, 15, 20 and 25 basis points, the volume-weighted median would be 15 basis points.