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The New Overnight Bank Funding Rate

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Abstract

The Federal Reserve Bank of New York will begin publishing the overnight bank funding rate (OBFR) sometime in the first few months of 2016. The OBFR will be a broad measure of U.S. dollar funding costs for U.S.-based banks as it will be calculated using both fed funds and Eurodollar transactions, as reported in a new data collection?the FR 2420 Report of Selected Money Market Rates. In a recent post, ?The Eurodollar Market in the United States,? we described the Eurodollar activity of U.S.-based banks and compared recent fed funds and Eurodollar rates. Here, we look at the historical relationship between overnight fed funds and Eurodollars and compare the new OBFR rate to the fed funds rate.

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  • Marco Cipriani & Julia Gouny & Matthew Kessler & Adam Spiegel, 2015. "The New Overnight Bank Funding Rate," Liberty Street Economics 20151109, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:87079
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    Keywords

    Eurodollars; OBFR; Fed funds;
    All these keywords.

    JEL classification:

    • D1 - Microeconomics - - Household Behavior
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • G1 - Financial Economics - - General Financial Markets

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