Federal Reserve Bank of New York

The effective federal funds rate (EFFR) is calculated as a volume-weighted median of overnight federal funds transactions reported in the FR 2420 Report of Selected Money Market Rates.

The overnight bank funding rate is a measure of wholesale, unsecured, overnight bank funding costs. It is calculated using federal funds transactions, certain Eurodollar transactions, and certain domestic deposit transactions, all as reported in the FR 2420 Report of Selected Money Market Rates. The federal funds market consists of domestic unsecured borrowings in U.S. dollars by depository institutions from other depository institutions and certain other entities, primarily government-sponsored enterprises. The Eurodollar market consists of unsecured U.S. dollar deposits held at banks or bank branches outside of the United States. U.S.-based banks can also take Eurodollar deposits domestically through international banking facilities (IBFs). Also included in the calculation of the OBFR are U.S. dollar deposits with a fixed overnight term and a negotiated interest rate that are booked in U.S. offices of banks. These transactions are collected in the FR 2420 under Part D, “Selected Deposits.” The overnight bank funding rate (OBFR) is calculated as a volume-weighted median of overnight federal funds transactions, Eurodollar transactions, and the domestic deposits reported as “Selected Deposits” in the FR 2420 Report.

Overview The Secured Overnight Financing Rate (SOFR) is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. The SOFR includes all trades in the Broad General Collateral Rate plus bilateral Treasury repurchase agreement (repo) transactions cleared through the Delivery-versus-Payment (DVP) service offered by the Fixed Income Clearing Corporation (FICC), which is filtered to remove a portion of transactions considered “specials”. Note that specials are repos for specific-issue collateral, which take place at cash-lending rates below those for general collateral repos because cash providers are willing to accept a lesser return on their cash in order to obtain a particular security.   Methodology: The SOFR is calculated as a volume-weighted median of transaction-level tri-party repo data collected from the Bank of New York Mellon as well as GCF Repo transaction data and data on bilateral Treasury repo transactions cleared through FICC's DVP service, which are obtained from DTCC Solutions LLC, an affiliate of the Depository Trust & Clearing Corporation. Each business day, the New York Fed publishes the SOFR on the New York Fed website at approximately 8:00 a.m. ET.

The New York Fed’s Survey of Consumer Expectations (SCE) provides timely and comprehensive information about consumer expectations through three broad categories: inflation, labour market and household finance. The SCE contains monthly insight about how consumers expect overall inflation and prices for food, gas, housing, education and medical care to change over time. It also provides Americans’ views about job prospects and earnings growth, as well as their expectations about future spending and access to credit. The SCE also provides measures of uncertainty in expectations for the main outcomes of interest. Expectations are available by age, income, education, numeracy and geography.