Operating Policy
Statement on Treasury Repo Reference Rates
April 16, 2018

As noted in a recent Desk statement, the Federal Reserve Bank of New York Fed (New York Fed) 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-settling1 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.

In accordance with the New York Fed’s rate revision policy, revisions are only effected on the same day as initial publication; therefore, no previously published values of the SOFR will be revised based on the outcome of this review. However, for informational purposes, the New York Fed is today releasing figures on how the SOFR and accompanying summary statistics would have appeared from April 2 through April 12 had these forward-settling transactions not been included. On most of those dates, this issue would not have had an impact on the published value of the SOFR.

Note that this issue also impacts the indicative rates and volumes from August 2014 through October 2017 that were previously released to provide the market with an indication of how the SOFR might have behaved over that period of time.  The New York Fed expects to update those historical figures, including data from November 2017 through March 2018, in the near future.

The New York Fed, as an administrator and producer of reference rates, is committed to producing rates that are robust and resilient, both now and in the future.

Data excel

1 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.