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Introducing the Revised Broad Treasuries Financing Rate

Author

Listed:
  • Kathryn Bayeux
  • Alyssa Cambron
  • Marco Cipriani
  • Adam Copeland
  • Scott Sherman
  • Brett Solimine

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
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    File URL: https://libertystreeteconomics.newyorkfed.org/2017/06/introducing-the-revised-broad-treasuries-financing-rate.html
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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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