COFI is a lagging indicator because it is a weighted average calculation of what it costs Federal Home Loan Bank of San Francisco member thrifts to get the funds to lend on mortgages. Typically it lags other market movements by three to six months, which means it should start feeling the effects of the late spring rise in interest rates in the next couple of months.
The Freddie Mac Primary Mortgage Market Survey monthly data for the 30-year fixed-rate mortgage hit a low point in April of 3.45%. By August, it had risen 101 basis points (between August and September, there was an additional 3 basis point rise).
There were 16 FHLB-SF members reporting data used for COFI. The total average funds is $35.3 billion and the total interest expense is $28.1 million. For July, total average funds was $35 billion and total interest expense was $27.8 million.