Statement Regarding the Publication of Reference Rates on Friday, December 24, 2021

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Operating Policy

Statement Regarding the Publication of Reference Rates on Friday, December 24, 2021

December 10, 2021

The Securities Industry and Financial Markets Association (SIFMA) recommends a full market closure on Friday, December 24, 2021, 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, or for, that day. The subsequent publication of the Treasury Repo Reference Rates will occur on the morning of Monday, December 27. The TGCR, BGCR, and SOFR will reflect overnight, same-day settling Treasury repo transactions that settle on Thursday, December 23 and mature on Monday, December 27, while the SOFR Averages and Index will have a value date of Monday, December 27.

Unsecured money markets will remain open, and publication of the Effective Federal Funds Rate (EFFR) and Overnight Bank Funding Rate (OBFR) follows the Federal Reserve Bank of New York’s Holiday Schedule. As a result, the EFFR and OBFR will be published on, and for, Friday, December 24, 2021.

For more information regarding publication arrangements, please see the Additional Information about Reference Rates Administered by the New York Fed page.

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