OFR Short-term Funding Monitor - Market Digests


Interest rates measure the cost of funding. They can act as indicators both of short-term costs of capital for financial intermediaries and of stress in funding markets. These charts present interest rates across various short-term funding markets and types of funding.

Federal Reserve Bank of New York reference rates

Levels of overnight reference rates

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Reference rates are benchmark interest rates used in financial contracts. The Federal Reserve Bank of New York reports a variety of overnight reference rates, which reflect costs of transactions settled one day and maturing the next. This chart shows the levels of these overnight reference rates.

The Effective Federal Funds Rate (EFFR) and Overnight Bank Funding Rate (OBFR) relate to unsecured markets. The EFFR is calculated using data on overnight federal funds transactions provided by domestic banks and U.S. branches and agencies of foreign banks, while the OBFR uses the same data as the EFFR, plus Eurodollar transactions and certain domestic deposits.

The Tri-party General Collateral Rate (TGCR), Broad General Collateral Rate (BGCR), and Secured Overnight Financing Rate (SOFR) are all secured 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.”

These rates will tend to move together due to arbitrage, but differences between the rates are common, as each encompasses a different set of participants and types of activity.

Series Used

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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 ).