Treasury Repo Reference Rates

The New York Fed, in cooperation with the U.S. Office of Financial Research, produces and publishes three reference rates based on overnight repurchase agreement (repo) transactions secured by Treasury securities, in order to provide the public with more information regarding the interest rates associated with repo transactions.

The publication of these rates, which began in April 2018, is intended to improve transparency into the repo market by increasing the amount and quality of information available about the market for overnight Treasury repos. Additionally, these rates may serve as benchmarks for market participants to use in financial contracts. The three rates are based on transaction-level data from various segments of the repo market. Transactions to which a Federal Reserve Bank is a counterparty are excluded from all three rates.

Secured Overnight Financing Rate (SOFR)

This rate provides a broad measure of the general cost of financing Treasury securities overnight, and is calculated based on the data used for the BGCR, as defined below, plus transactions cleared through the Fixed Income Clearing Corporation's (FICC) Delivery-versus-Payment (DVP) repo service. In the DVP repo market, counterparties identify specific securities to serve as collateral for each trade, in contrast to the tri-party repo market, in which cash providers stipulate a population of acceptable collateral, also known as general collateral (GC). As a result, the DVP repo market can be used to temporarily acquire specific securities. Repos for specific-issue collateral may be executed at rates below those for GC trades if cash providers are willing to accept a lesser return on their cash in order to obtain a particular security. In this case, the specific securities are said to be trading "special". In the calculation of the SOFR, DVP repo transactions are filtered to remove some (but not all) transactions considered "specials". The SOFR represents a median of rates across GC and trimmed DVP repo transactions.

In June 2017, the Alternative Reference Rates Committee (ARRC) selected the SOFR as its recommended alternative to U.S. dollar LIBOR.

For SOFR levels, see Secured Overnight Financing Rate Data. Learn more about how SOFR is calculated.

Broad General Collateral Rate (BGCR)

This rate is a measure of rates on overnight Treasury GC repo transactions, and is calculated based on the same tri-party repo transactions used for the TGCR, as defined below, plus General Collateral Finance (GCF) repo transactions cleared through The Depository Trust & Clearing Corporation’s GCF Repo service.

For BGCR levels, see Broad General Collateral Rate Data. Learn more about how BGCR is calculated.

Tri-Party General Collateral Rate (TGCR)

This rate is a measure of rates on overnight, specific-counterparty tri-party repo transactions secured by Treasury securities, and is calculated based on data collected from the Bank of New York Mellon, excluding GCF Repo. Specific-counterparty transactions refer to those in which the counterparties involved know each other’s identity at the time of the trade.

For TGCR levels, see Tri-Party General Collateral Rate Data. Learn more about how TGCR is calculated.