There will be no publication of the Tri-Party General Collateral Rate (TGCR), the Broad General Collateral Rate (BGCR), the Secured Overnight Financing Rate (SOFR), or the SOFR Averages and Index on, or for, Friday, April 2, 2021. Due to the release of the March Employment Situation report on Good Friday, the Securities Industry and Financial Markets Association is not recommending a full closure for secondary market trading of U.S. government securities. Nonetheless, repo market participants broadly expect to treat April 2 as a holiday. In particular, settlement of cleared Treasury repo is not scheduled to be available, which would eliminate two of the three market segments used to calculate and differentiate the Treasury repo reference rates. As a result, on Monday, April 5, 2021, the TGCR, BGCR, and SOFR will be published, reflecting same-day settling Treasury repo transactions that settle on Thursday, April 1, 2021 and mature on Monday, April 5. The SOFR Averages and Index published on April 5 will have a value date of April 5. The treatment of April 2 as a holiday for the publication of Treasury repo reference rates is addressed in the New York Fed’s newly updated guidelines in the Additional Information about the Treasury Repo Reference Rates page.
Publication of the Effective Federal Funds Rate (EFFR) and Overnight Bank Funding Rate (OBFR) follow the New York Fed’s holiday schedule and will be published on Friday, April 2, 2021.
