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Introducing the Revised Broad Treasuries Financing Rate

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Abstract

The Federal Reserve Bank of New York, in cooperation with the Office of Financial Research, is proposing to publish three new overnight Treasury repurchase (repo) benchmark rates. Recently, the Federal Reserve decided to modify the construction of the broadest proposed benchmark rate (the other two proposed rates are expected to remain unchanged; see the Bank’s announcement on May 24). In this post, we describe the changes to this rate in further detail. We compare this revised rate to the originally proposed benchmark rate and show that, in the post-liftoff period, it trades higher, on average.

Suggested Citation

  • Kathryn Bayeux & Alyssa Cambron & Marco Cipriani & Adam Copeland & Scott Sherman & Brett Solimine, 2017. "Introducing the Revised Broad Treasuries Financing Rate," Liberty Street Economics 20170619, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:87197
    Note: Editor’s notes: When this post was first published, the linked file with historical rates and volumes for the three Treasury repo rates had some minor errors. The data and related charts and table have been corrected. (May 17, 2018). Separately, this post originally stated that the three-month geometric averages of the benchmarks were calculated using the same methodology as OIS contracts. This is not the case, and the actual methodology is explained in the data file accompanying this post. These changes did not alter the authors’ conclusions. (March 19, 2019).
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    File URL: https://libertystreeteconomics.newyorkfed.org/2017/06/introducing-the-revised-broad-treasuries-financing-rate.html
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    File URL: http://www.newyorkfed.org/medialibrary/media/research/blog/2017/LSE_2017_Cipriani_broadfinancing_data.xlsx
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    More about this item

    Keywords

    GC; Reference Rate; Repo; Specials;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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