| feedbackAlert | The Short-Term Funding Monitor will not be updated on 3/29/24 due to the market holiday. The monitor will be updated the following business day. |
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Rates
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
Related Charts
Repo returns by venue Mean rates on repurchase agreements by venue: GCF Repo Service, DVP Service, and tri-party repo One-month rates of return in repo and Treasury markets One-month rates of return in repo markets and yields on one-month Treasuries Average rates of return in centrally cleared repo markets by collateral type Average interest rates in the GCF Repo Service and DVP Service broken out by type of collateral Average rates of return in tri-party repo markets by collateral type Rates of return in tri-party repo market broken out by type of collateral Yields on money market fund investment holdings of repos by collateral type Dollar-weighted median yields on money market fund investment holdings of repos by collateral type Yields on short-maturity Treasuries Yields on short-maturity (one year or less) Treasury securities Yields on long-maturity Treasuries Yields on long-maturity (one year or more) Treasury securities Yields on money market fund investment holdings of repos by tenor Dollar-weighted median yields on money market investment fund holdings of repos by tenor Federal Reserve Bank of New York reference rates Levels of overnight reference ratesGeneral Disclaimer
This OFR monitor is presented solely for informative purposes and should not be relied upon for financial decisions; it is not intended to provide any investment or financial advice. If you have any specific questions about any financial or other matter please consult an appropriately qualified professional. The OFR makes no warranty, express or implied, nor assumes any legal liability or responsibility for the accuracy, completeness, reliability, and usefulness of any information that is available through this website, nor represents that its use would not infringe on any privately owned rights.
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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 ).
