Operating Policy
Statement Regarding the Treasury Repo Reference Rates
April 10, 2018

Last week, the Federal Reserve Bank of New York (New York Fed), in cooperation with the Treasury Department’s Office of Financial Research, began publishing three reference rates based on overnight repurchase agreement (repo) transactions collateralized by Treasury securities: the Secured Overnight Financing Rate (SOFR), the Broad General Collateral Rate (BGCR), and the Tri-Party General Collateral Rate (TGCR).

Shortly after publication began, the New York Fed received feedback noting that the bilateral repo volumes underlying the SOFR appeared to be higher than some had expected. The New York Fed is looking into this issue further with the bilateral repo data provider, and is in the process of determining whether or not there would have been an impact on the published rate, volume, or other summary statistics.

In accordance with the rate revision policy, rate revisions are effected only on the same day as initial publication; therefore, no previously published values of the SOFR will be revised based on the outcome of this inquiry.  To the extent that there would have been an impact on the published rate, volume, or other summary statistics, revised historical data will be made available.