NY Fed reviews high bilateral repo volumes in SOFR

The Federal Reserve Bank of New York received feedback that the bilateral repurchase agreement (repo) volumes underlying the Secured Overnight Financing Rate (SOFR) appeared to be higher than some had expected. Following a thorough review of this issue with the data provider, it was discovered that forward-settling (that is, overnight repo transactions conducted on previous business days for settlement on the same date as the same-day settling transactions that are represented in the SOFR) overnight Treasury repo transactions were inadvertently included in the source data provided to the New York Fed.

As a result, the SOFR and accompanying summary statistics that were published reflecting data from April 2, 2018, through April 12, 2018, incorrectly incorporated these forward-settling transactions. Starting with today’s publication, which covers trading activity that took place on April 13, such transactions will be excluded from future calculations.

Read the full statement

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