Statement Regarding the Publication of Reference Rates on Friday, July 3, 2020

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Operating Policy

Statement Regarding the Publication of Reference Rates on Friday, July 3, 2020

June 25, 2020

The Securities Industry and Financial Markets Association (SIFMA) recommends a market close on Friday, July 3, 2020, which will be widely treated as a holiday in the repo market. As a result, there will be no publication of the Tri-Party General Collateral Rate (TGCR), the Broad General Collateral Rate (BGCR), the Secured Overnight Financing Rate (SOFR), or the SOFR Averages and Index on that day.¹ The subsequent publication of the Treasury Repo Reference Rates will occur on the morning of Monday, July 6, 2020. The TGCR, BGCR, and SOFR will reflect overnight activity from Thursday, July 2, while the SOFR Averages and Index will have a value date of Monday, July 6.

Unsecured money markets remain open, and as publication of the Effective Federal Funds Rate (EFFR) and Overnight Bank Funding Rate (OBFR) follow the Federal Reserve Bank of New York’s holiday schedule, there will be no change to the scheduled publication of either rate on Friday, July 3, 2020.

¹ The TGCR, BGCR, SOFR, SOFR Averages, and SOFR Index are published each business day that is not recognized as a holiday by the SIFMA calendar for secondary market trading of U.S. government securities.

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