New York Fed begins publishing three reference rates
06 April 2018 Washington DC
Image: Shutterstock
The Federal Reserve Bank of New York has started the publication of three reference rates based on overnight repurchase agreement (repo) transactions collateralised by Treasury securities.
In cooperation with the US Office of Financial Research (OFR), the three repo rates include the Secured Overnight Financing Rate (SOFR), the Broad General Collateral Rate (BGCR) and the Tri-Party General Collateral Rate (TGCR).
The Federal Reserve Bank of New York said the SOFR was identified by the Alternative Reference Rates Committee in June last year as its recommended alternative to US dollar London Interbank Offered Rate (Libor) for use in certain new US dollar derivatives and other financial contracts.
It expects the rates to be published each day at approximately 08:00 Eastern Time, in addition to statistics summarising the distribution of volumes each day.
These include the total dollar amount of transactions used to calculate each rate, rounded to the nearest billion, and the volume-weighted one, 25, 75, and 99 percentiles, according to the Federal Reserve Bank of New York.
This latest move follows the publication of a notice (request for information) and request for public comment on the proposal published on 30 August 2017.
In cooperation with the US Office of Financial Research (OFR), the three repo rates include the Secured Overnight Financing Rate (SOFR), the Broad General Collateral Rate (BGCR) and the Tri-Party General Collateral Rate (TGCR).
The Federal Reserve Bank of New York said the SOFR was identified by the Alternative Reference Rates Committee in June last year as its recommended alternative to US dollar London Interbank Offered Rate (Libor) for use in certain new US dollar derivatives and other financial contracts.
It expects the rates to be published each day at approximately 08:00 Eastern Time, in addition to statistics summarising the distribution of volumes each day.
These include the total dollar amount of transactions used to calculate each rate, rounded to the nearest billion, and the volume-weighted one, 25, 75, and 99 percentiles, according to the Federal Reserve Bank of New York.
This latest move follows the publication of a notice (request for information) and request for public comment on the proposal published on 30 August 2017.
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