OFR Short-term Funding Monitor - Data Sets

Federal Reserve Bank of New York Reference Rates

The Federal Reserve Bank of New York reference rates data included in the Short-term Funding Monitor (STFM) consist of five releases on rates and underlying volumes in secured and unsecured funding markets.

Two of the releases included in the STFM reflect data relating to two unsecured rates that are published by the Federal Reserve Bank of New York: the Effective Federal Funds Rate (EFFR), and the Overnight Bank Funding Rate (OBFR). The EFFR is calculated using data on overnight federal funds transactions provided by domestic banks and U.S. branches and agencies of foreign banks. The OBFR uses the same data as the EFFR, plus Eurodollar transactions and certain domestic deposits.

The STFM also includes data on three secured rates that are published by the Federal Reserve Bank of New York in cooperation with the OFR: the Secured Overnight Financing Rate (SOFR), the Broad General Collateral Rate (BGCR), and the Tri-Party General Collateral Rate (TGCR). All these are rates based on overnight repurchase agreements (repo) backed by Treasury securities. The TGCR covers specific-counterparty tri-party general collateral repo transactions, while the BGCR covers all the trades included in the TGCR as well as blind-brokered general collateral trades in the GCF Repo Service offered by the Fixed Income Clearing Corporation (FICC). The SOFR is the broadest of the secured rates, and includes all transactions in the BGCR, plus bilateral repo transactions cleared through the DVP Service offered by FICC, which are filtered to remove a portion of transactions considered “specials.”

The series are published daily by the Federal Reserve Bank of New York for the prior business day, at approximately 8 a.m. Eastern time for secured rates, and at approximately 9 a.m. Eastern time for unsecured rates. The OFR adds these data to the STFM later in the day, typically around 3 p.m. The time they were last retrieved is noted on each individual data series page. It is possible that revisions to the rates could occur after the data are retrieved by the OFR, or that other errors could be introduced, so parties seeking to use these data in contracts should retrieve them directly from the Federal Reserve Bank of New York. Users of these rates are subject to the New York Fed’s terms of use.

Series in This Data Set

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Suggested Citation

Office of Financial Research, “OFR Short-term Funding Monitor,” refreshed daily, https://www.financialresearch.gov/short-term-funding-monitor/ (accessed ).