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

The Federal Reserve Bank of New York (New York Fed) publishes the effective federal funds rate (EFFR) on a daily basis.1 In 2015, the New York Fed announced two planned changes to the calculation of the EFFR. The first was a change in the data source from aggregated data provided by federal funds brokers to individual federal funds transactions reported by depository institutions in the FR 2420 Report of Selected Money Market Rates (FR 2420). The second was a change in the calculation of the EFFR from the previous volume-weighted average to a volume-weighted median.

In 2015, the New York Fed also announced that it would begin publishing the overnight bank funding rate (OBFR), calculated as a volume-weighted median of federal funds transactions and certain Eurodollar transactions of U.S.-based banking offices.2 This rate would also be calculated based on transaction data collected in the FR 2420.

Consistent with international best practices for financial benchmarks, the New York Fed plans to disclose further information about the policies it will follow for the production and publication of both rates. In addition, it will publish statistics summarizing the distribution of volumes each day, including the total dollar amount of transactions used to calculate the rate, rounded to the nearest billion, and the volume-weighted 1st, 25th, 75th, and 99th percentiles.3

The New York Fed expects that rates and summary statistics will typically be published each day at approximately 9:00 a.m. Eastern Time. If transaction data are revised subsequent to the rates’ publication, but on the same day, the rates will be re-published if the change in the calculated rate exceeds a specified threshold.4 Any such changes will be published at approximately 2:30 p.m. on the same day.

The New York Fed plans to implement these changes on March 2, 2016, for the publication of the March 1 EFFR and OBFR rates. Additional information will also be published on March 2, including more detail on the calculation methodology, contingency plans related to data sufficiency, a revision policy, and procedures for providing feedback on the individual rate determinations.

For background information see:

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

Statement Regarding the Calculation Methodology for the Effective Federal Funds Rate and Overnight Bank Funding Rate

1 Federal funds purchased are unsecured borrowings of U.S. dollars by a depository institution from a counterparty that is defined as an exempt entity in Regulation D (Section 204.2 (a)(1)(vii)) and the glossary section of the Report of Transaction Accounts, Other Deposits and Vault Cash (FR 2900) instructions, which includes government sponsored enterprises (GSEs) as well as depository institutions.

2 The Eurodollar transactions that will be included in the OBFR are unsecured borrowings of U.S. dollars booked at international banking facilities or offshore branches that are managed or controlled by a U.S.-based banking office. For U.S. branches and agencies of foreign banks, these “managed and controlled” branches are defined by Reporting Form FFIEC 002S.

3 The low rate, high rate, and standard deviation will no longer be published.

4 A change of more than one basis point would trigger a revision to a published rate. This threshold will be reviewed periodically and may be amended based on market conditions.