On Friday, the Federal Reserve Bank of New York (FRBNY) announced that it, together with the Treasury Department’s Office of Financial Research (OFR), is considering publishing three benchmark rates for repurchase agreement (repo) transactions collateralized by Treasury securities (Benchmark Rates). The three Benchmark Rates, as currently contemplated by the FRBNY and OFR, are summarized below:
| Underlying data for Benchmark Rate. | Will the Benchmark Rate include Federal Reserve transactions in the repo market? | |
| Benchmark Rate 1 | Transaction-level data from certain tri-party repo clearing platforms. | No |
| Benchmark Rate 2 | The data in Benchmark Rate 1, plus tri-party transactions within the Depository Trust & Clearing Corporation’s (DTCC) General Collateral Financing (GCF) Service.* | No |
| Benchmark Rate 3 | The data in Benchmark Rate 2, plus the Federal Reserve’s overnight open market operations in the repo market. | Yes |
The FRBNY stated that the publication of the Benchmark Rates is intended to improve the transparency of the repo market, and they are currently targeting a late 2017 or early 2018 launch date for publication. The FRBNY expects to work with the Board of Governors of the Federal Reserve System to seek public comment on the composition and calculation methodology of the Benchmark Rates. The release with additional information is available here.
*The DTCC currently publishes the DTCC GCF Repo Index, which is based on repo transactions collateralized by Treasury securities and other security types. The FRBNY’s Benchmark Rates are focused solely on the repo market for Treasury securities.
Good Day. Good Benchmarks? DR2