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.
JEL Classification: G1;
Access Documents
File(s):
File format is text/html
https://libertystreeteconomics.newyorkfed.org/2017/06/introducing-the-revised-broad-treasuries-financing-rate.html
Description: Full text
File(s):
File format is application/vnd.ms-excel
http://www.newyorkfed.org/medialibrary/media/research/blog/2017/LSE_2017_Cipriani_broadfinancing_data.xlsx
Description: Data
Authors
Bibliographic Information
Provider: Federal Reserve Bank of New York
Part of Series: Liberty Street Economics
Publication Date: 2017-06-19
Number: 20170619
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).