3 posts on "Reference Rate"
May 6, 2019
Selected Deposits and the OBFR
In this Liberty Street Economics post, Cipriani and coauthors discuss changes in the calculation of the Overnight Bank Funding Rate (OBFR), the reason for including selected deposits, and the likely impact of the change on the OBFR’s published value.
June 19, 2017
Introducing the Revised Broad Treasuries Financing Rate
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.
December 19, 2016
Investigating the Proposed Overnight Treasury GC Repo Benchmark Rates
In its recent “Statement Regarding the Publication of Overnight Treasury GC Repo Rates,” the Federal Reserve Bank of New York, in cooperation with the U.S. Treasury Department’s Office of Financial Research, announced the potential publication of three overnight Treasury general collateral (GC) repurchase (repo) benchmark rates.
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