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 Empire State Manufacturing Survey seasonally adjusted data based on the Census X-12 additive procedure utilizing a logistic transformation. Logistic transformation procedure as follows: The not-seasonally adjusted series, expressed in decimal form (referred to as "p"), is transformed using the following equation: X = log(p/(1-p)) The seasonal factor is then subtracted from X: adjX = X - seasonal factor The result is then transformed using the following equation: Seasonally Adjusted Series = exponential(adjX)/(1+exponential(adjX)) The "increase" and "decrease" percentage components of the diffusion indexes are each tested for seasonality separately and adjusted accordingly if such patterns exist. If no seasonality is detected, the component is left unadjusted. The "no change" component contains the residual, computed by subtracting the (adjusted) increase and decrease from 100.

Household Debt Reaches New Peak Driven by Gains in Mortgage, Auto, and Student Debt  According to the latest Quarterly Report on Household Debt and Credit, total household debt increased by $206 billion (1.4 percent) to $14.56 trillion in the fourth quarter of 2020, driven in part by a steep increase in mortgage originations. The total debt balance is $414 billion higher than at the end of 2019. Newly originated mortgages, which include refinances, reached a record high of $1.2 trillion, surpassing in nominal terms the volumes seen during the historic refinance boom in the third quarter of 2003. Auto and student loan balances increased by $14 billion and $9 billion, respectively.

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.

The WEI is an index of ten indicators of real economic activity, scaled to align with the four-quarter GDP growth rate. It represents the common component of series covering consumer behavior, the labor market, and production. The WEI was developed by Daniel Lewis, an economist at the Federal Reserve Bank of New York; Karel Mertens, a senior economic policy advisor at the Federal Reserve Bank of Dallas; and Jim Stock, a professor of economics at Harvard University. Data are updated at the Federal Reserve Bank of New York, the Federal Reserve Bank of Dallas, and JimStock.org.

The UIG captures sustained movements in inflation from information contained in a broad set of price, real activity, and financial data.