Introducing the Revised Broad Treasuries Financing Rate

Kathryn Bayeux, Alyssa Cambron, Marco Cipriani, Adam Copeland, Scott Sherman and Brett Solimine

No 20170619, Liberty Street Economics from Federal Reserve Bank of New York

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.

Keywords: GC; Reference Rate; Repo; Specials (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2017-06-19
New Economics Papers: this item is included in nep-mon
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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