Operating Policy
Statement Regarding the Publication of Historical Repo Rate Data
March 9, 2018

Since the late 1990s, the Open Market Trading Desk at the Federal Reserve Bank of New York has conducted a survey of primary dealers each morning covering their borrowing activity in the Treasury general collateral repurchase (repo) market on that day. The New York Fed is today releasing a time series of the volume-weighted mean rate of the primary dealers’ overnight Treasury general collateral repo borrowing activity collected through this survey (the survey rate). ¬†

Today’s release provides the longest time series of a given repo rate to date. The New York Fed has previously released indicative historical rates for the Secured Overnight Financing Rate (SOFR), an indicator of repo activity scheduled for initial publication on April 3, 2018, that was selected by the Alternative Reference Rates Committee as representing “best practice for use in certain new U.S. dollar derivatives and other financial contracts.” ¬†However, the SOFR data has only extended back to August 2014 due to data availability issues prior to that date. Although the New York Fed will continue to investigate the possibility of publishing a longer history of indicative historical rates for the SOFR, any such extension of the series is unlikely to include more than a few years of additional data.

It is important to note that there are a number of technical differences between the survey rate and the SOFR. The survey rate is calculated as a volume-weighted mean, whereas as the SOFR is calculated as a volume-weighted median of transaction-level data. In addition, the transactions underlying the survey rate are not as broad as those underlying the SOFR, as the survey collects only the general collateral segments of the repo market and does not capture borrowing activity conducted by non-primary dealer market participants. Nonetheless, the survey rate can play an important role in providing insight into how a broad measure of repo market activity would have behaved over a significantly longer time horizon.

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