Operating Policy
Statement Introducing the Treasury Repo Reference Rates
April 3, 2018

Today, the Federal Reserve Bank of New York (New York Fed), in cooperation with the U.S. Office of Financial Research, began publishing three reference rates based on overnight repurchase agreement (repo) transactions collateralized by Treasury securities. These rates are 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.

In the production of these three Treasury repo reference rates, the New York Fed has adopted policies and procedures consistent with best practices for financial benchmarks, including the IOSCO Principles for Financial Benchmarks. During the second quarter of 2018, the New York Fed intends to update its IOSCO Statement of Compliance, which currently covers the Effective Federal Funds Rate (EFFR) and the Overnight Bank Funding Rate (OBFR), to also cover the three Treasury repo reference rates. Additional information about policies and procedures for the administration of the reference rates is now available, including contingency plans related to data availability, the revision policy, and oversight of the reference rates. Potential users of these reference rates can subscribe here for updates.

In addition, potential users should refer to the Terms of Use, which establish the terms governing use of the rates by parties external to the New York Fed. Any use of the reference rates is subject to the Terms of Use.

Lastly, the New York Fed has previously released indicative historical rates for the three Treasury repo reference rates for the period extending from August 2014 to October 2017. The remainder of the time series for these rates (extending through to the end of March 2018) is expected to be published in the coming weeks.