The New York Fed produces a number of reference interest rates that provide insight into the dynamics of money markets, which is useful for evaluating the effectiveness of monetary policy implementation. Reference rates play several important roles in financial markets that support efficient market functioning. They facilitate trading in standardized contracts, which can lower transaction costs and improve market liquidity. They can reduce information asymmetries by providing a transparent, independent pricing source. And a well-designed, robust reference rate that is resistant to manipulation can limit participants’ incentives to misreport pricing for settling a contract. The New York Fed has served as an administrator and producer of reference rates since at least the 1950s, when it began publishing the daily effective federal funds rate. The New York Fed is committed to producing robust and resilient reference rates that are aligned with international best practices.
Key Features and Coverage on RIMES
For this data source, RIMES hosts the following 3 reference rates:
1. Broad General Collateral Rate – is a measure of rates on overnight Treasury general collateral repurchase agreement (repo) transactions. General collateral repo transactions are those for which the specific securities provided as collateral are not identified until after other terms of the trade are agreed. The BGCR includes all trades in the Tri-Party General Collateral Rate plus GCF Repo transactions.
2. Tri-party General Collateral Rate – provides a measure of the rate on overnight, tri-party GC repo transactions secured by Treasury securities that are executed between counterparties that know each other’s identity at the time of the trade, and is calculated based on data collected from the Bank of New York Mellon, excluding GCF Repo.
3. Secured Overnight Financing Rate (SOFR) – is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. The SOFR includes all trades in the Broad General Collateral Rate plus bilateral Treasury repurchase agreement (repo) transactions cleared through the Delivery-versus-Payment (DVP) service offered by the Fixed Income Clearing Corporation (FICC), which is filtered to remove a portion of transactions considered “specials”. The Alternative Reference Rate Committee (ARRC) identified the SOFR as its preferred alternative to USD LIBOR.
Some of the data items available include:
- Date of Portfolio
- Database Domain Code
- Series Value
- Database Symbol
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