The Federal Reserve Bank of New York (“New York Fed”) announced that it plans to transition the data source of the federal funds rate calculation process from data supplied by federal funds brokers to transaction-level data collected directly from depository institutions. According to the New York Fed, this sort of data collection “captures a greater share of federal funds activity than brokered data alone and provides a larger base of transactions for the calculation of the effective federal funds rate.”
In addition, the New York Fed announced that it is preparing to publish an additional overnight rate on its public Web site, which will be calculated based on both federal funds transactions and the Eurodollar transactions of U.S.-managed banking offices.
Changes in the calculation of the federal funds rate and the publication of the overnight bank funding rate will be implemented after revisions to a Federal Reserve data collection are completed, which is expected to take place within one year.
See: New York Fed Press Release.