NY Fed and OFR publish 3 new ON repo rates

The Federal Reserve Bank of New York and US 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 US dollar LIBOR for use in certain new US dollar derivatives and other financial contracts. In addition, 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.

Read the full release


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