Operating Policy
Statement on IOSCO Compliance for the EFFR, OBFR, and Treasury Repo Reference Rates
July 10, 2019

The Federal Reserve Bank of New York today updated its Statement of Compliance with the IOSCO Principles for Financial Benchmarks (the Principles) to cover the inclusion of “selected deposit” transactions in the overnight bank funding rate (OBFR).

The statement was originally published on January 18, 2018, covering the effective federal funds rate (EFFR) and the OBFR. It was then updated June 28, 2018 to include the Secured Overnight Financing Rate (SOFR), Broad General Collateral Rate (BGCR) and Tri-Party General Collateral Rate (TGCR).

The New York Fed’s Audit Group independently reviewed the organizational and operational framework used to administer the SOFR, BGCR, TGCR, EFFR, and OBFR with respect to governance, quality of the benchmark, quality of the methodology, and accountability. The Audit Group determined that these reference rates are also in compliance with the Principles.

In 2013, IOSCO published the Principles, which were then endorsed by the Financial Stability Board as being standards of best practice for benchmark administration. The purpose of releasing an updated version of this statement is to increase transparency surrounding the administration of these benchmarks in a manner consistent with the Principles. The New York Fed will continue to assess the compliance of all of its reference rates with the Principles on an annual basis and issue a Statement of Compliance accordingly.

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