Fed consults on new repo rates

Published: 04 September 2017

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Last week the US Federal Reserve announced that the Federal Reserve Bank of New York, in cooperation with the Office of Financial Research, is considering publishing three rates based on overnight repurchase agreement (repo) transactions on US Treasury securities (Treasury repo). The publication of these rates, targeted to commence by mid-2018, is intended to improve transparency into the repo market by increasing the amount and quality of information available about the market for overnight Treasury repo activity.

The three overnight Treasury repo rates, listed below, would be based on transaction-level data from various segments of the repo market.

  1. Tri-party General Collateral Rate (TGCR) - This rate would focus on the dealer-to-customer activity in tri-party repo and would capture a narrower set of transactions relative to the other two proposed rates.
  2. Broad General Collateral Rate (BGCR) - This rate would reflect both dealer-to-customer and interdealer repos.
  3. Secured Overnight Financing Rate (SOFR) - This rate would capture the broadest set of transactions, resulting in the rate most resilient to market evolution, but would not be a pure GC repo rate

The Fed is seeking comments on the proposal by 30 October 2017. If you have any comments, please contact Adam Jacobs-Dean (ajacobs-dean@aima.org).