NY Fed to Publish Overnight Bank Funding Rate

The Federal Reserve Bank of New York will begin publishing the overnight bank funding rate (OBFR) in the beginning of 2016. The new indicator more accurately measures overnight borrowing costs for U.S. banks. The OFBR will be calculated as a volume weighted median of federal funds and Eurodollar transactions, and is intended to complement the effective federal funds rate.

“Once published, the OBFR will provide a new measure of overnight U.S. – based bank funding costs. Since it is based on a larger set of transactions than other existing rates, it will offer market participants a more comprehensive gauge of overnight unsecured borrowing costs for U.S. – based banks. In normal market conditions, the OBFR and the fed funds rate are likely to track each other closely, although differences may emerge in periods of stress.”

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