H15: Implementation of Planned Changes to the Effective Federal Funds Rate

On January 6, 2016, the Federal Reserve Bank of New York announced the implementation date for two changes to the calculation of the effective federal funds rate (EFFR). Effective March 1, the data source for the EFFR will move from aggregated data provided by federal funds brokers to transaction-level data reported by depository institutions. In addition, the calculation method will change from a volume-weighted average to a volume-weighted median.The H.15 will include the new EFFR rate on March 2, with data for March 1, 2016. More information, including additional detail on the calculation methodology, will also be published March 2.For additional information, please see:Statement Regarding the Implementation of Planned Changes to the Effective Federal Funds Rate and Publication of the Overnight Bank Funding RateStatement Regarding Planned Changes to the Calculation of the Federal Funds Effective Rate and the Publication of an Overnight Bank Funding Rate Statement Regarding the Calculation Methodology for the Effective Federal Funds Rate and Overnight Bank Funding Rate