Statement Regarding the Initial Publication of Treasury Repo Reference Rates

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Operating Policy

Statement Regarding the Initial Publication of Treasury Repo Reference Rates

February 28, 2018

In November 2016, the Federal Reserve Bank of New York, in cooperation with the Treasury Department’s Office of Financial Research (OFR), announced that it was considering publishing three reference rates based on overnight repurchase agreement (repo) transactions collateralized by Treasury securities. In December 2017, following a public comment period, the Federal Reserve Board announced final plans for the production of three rates: the Secured Overnight Financing Rate (SOFR), the Broad General Collateral Rate (BGCR) and the Tri-Party General Collateral Rate (TGCR). The SOFR was identified by the Alternative Reference Rates Committee in June 2017 as its recommended alternative to U.S. dollar LIBOR for use in certain new U.S. dollar derivatives and other financial contracts.

The New York Fed plans to begin publication of the Treasury repo reference rates on April 3, 2018, reflecting the SOFR, the BGCR, and the TGCR from April 2, 2018. As announced in a Federal Register Notice, the New York Fed expects that the rates will be published each day at approximately 8:00 a.m. Eastern Time, in addition to statistics summarizing the distribution of volumes each day, including the total dollar amount of transactions used to calculate each rate, rounded to the nearest billion, and the volume-weighted 1st, 25th, 75th, and 99th percentiles.

In the production of the Treasury repo reference rates, the New York Fed has endeavored to adopt policies and procedures consistent with best practices for financial benchmarks, including the IOSCO Principles for Financial Benchmarks. Additional information about policies and procedures for the administration of the reference rates will also be published on April 3, including contingency plans related to data sufficiency, the revision policy, and oversight of the reference rates. The New York Fed intends to update its IOSCO Statement of Compliance, which currently covers the effective federal funds rate and the overnight bank funding rate, to also cover the three Treasury repo reference rates. This updated IOSCO statement will be made available in the weeks following the initial publication of the rates.

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