Introducing the Revised Broad Treasuries Financing Rate

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

Discussion Paper

Introducing the Revised Broad Treasuries Financing Rate

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;

JEL Classification: G1;