On April 3, 2018, in preparation for the discontinuation of the London Interbank Offered Rate (LIBOR; for background on the discontinuation of LIBOR, see our prior blog post), the Federal Reserve Bank of New York (“Reserve Bank”) began publishing three new reference rates. The three new rates are the Secured Overnight Financing Rate (SOFR), the Broad General Collection Rate (BGCR), and the Tri-Party General Collateral Rate (TGCR).

The new reference rates, which are based on overnight repurchase agreement (repo) transactions collateralized by Treasury securities, are intended to reflect the cost of borrowing cash secured against U.S. government debt. The SOFR, which provides a broad measure of the general cost of financing Treasury securities overnight, was previously selected by the Alternative Reference Rates Committee in June 2017 as its recommended alternative to U.S. dollar LIBOR for use in certain U.S. dollar financial contracts.

With market participants preparing for LIBOR to be discontinued as early as the end of 2021, the Reserve Bank will be updating the International Organization of Securities Commissions (IOSCO) Statement of Compliance, which currently covers the Effective Federal Funds Rate (EFFR) and the Overnight Bank Funding Rate (OBFR), to also cover the three new reference rates. Potential users of these reference rates may access additional information about policies and procedures for the administration of the reference rates, including the Terms of Use, which establish the terms governing use of the rates by external parties.

For daily SOFR levels, see Secured Overnight Financing Rate Data. To learn more about the three new reference rates including how each is calculated, click here. Potential users of these reference rates can subscribe here for updates from the Reserve Bank.

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