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FRB Finalizes Plan to Establish New Repo-Based Reference Rates

The Board of Governors of the Federal Reserve System ("FRB") will publish three new benchmark interest rates based on overnight repurchase agreement ("repo") transactions backed by Treasuries.

As previously covered, the following rates will be produced by the Federal Reserve Bank of New York in coordination with the Office of Financial Research:

  • Secured Overnight Financing Rate will be the "broadest measure" of overnight Treasury financing transactions. The rate includes tri-party repo data from Bank of New York Mellon ("BNYM"), as well as cleared bilateral and General Collateral Financing ("GCF") repo data from the Depository Trust & Clearing Corporation ("DTCC"). This rate was recently chosen by the Alternative Reference Rates Committee to be used as the alternative to U.S. dollar LIBOR.
  • Tri-Party General Collateral Rate will be based only on tri-party repo data from BNYM.
  • Broad General Collateral Rate, will be based on tri-party repo data from BNYM, as well as cleared GCF repo data from DTCC.

In response to comments received, the FRB adjusted the expected daily publication time and will publish the rates no later than 8:00 a.m. Eastern Time. Publication of the rates is expected to begin in the second quarter of 2018.

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