NY Fed releases longest repo time series data
13 March New York
Image: Shutterstock
The Federal Reserve Bank of New York has released the longest time series of a given repurchase (repo) rate to date.
The release is based on data that has been collected through a daily survey of primary dealer borrowing activity in the US Treasury general collateral repurchase market.
The New York Fed has previously released indicative historical rates for the Secured Overnight Financing Rate (SOFR).
This is scheduled for initial publication on 3 April 2018, having been chosen by the Alternative Reference Rates Committee as representing “best practice for use in certain new US dollar derivatives and other financial contracts”.
However, the SOFR only stretches back to August 2014 due to data availability issues before that date. The New York Fed said it will continue to investigate the possibility of publishing a longer history of indicative historical rates for the SOFR, it cautions that any such extension of the series is unlikely to include more than a few years of additional data.
The New York Fed suggested that it is important to note that there are a number of technical differences between the survey rate and the SOFR. The survey rate is calculated as a volume-
weighted mean, whereas the SOFR is calculated as a volume-weighted median of transaction- level data.
In addition, the transactions underlying the survey rate are not as broad as those underlying the
SOFR. This is because the survey collects only the general collateral segments of the repo market
and does not capture borrowing activity conducted by non-primary dealer market participants.
However, according to the Fed, the survey rate can play an important role in providing insight into how a broad measure of repo market activity would have behaved over a significantly longer time horizon.
The release is based on data that has been collected through a daily survey of primary dealer borrowing activity in the US Treasury general collateral repurchase market.
The New York Fed has previously released indicative historical rates for the Secured Overnight Financing Rate (SOFR).
This is scheduled for initial publication on 3 April 2018, having been chosen by the Alternative Reference Rates Committee as representing “best practice for use in certain new US dollar derivatives and other financial contracts”.
However, the SOFR only stretches back to August 2014 due to data availability issues before that date. The New York Fed said it will continue to investigate the possibility of publishing a longer history of indicative historical rates for the SOFR, it cautions that any such extension of the series is unlikely to include more than a few years of additional data.
The New York Fed suggested that it is important to note that there are a number of technical differences between the survey rate and the SOFR. The survey rate is calculated as a volume-
weighted mean, whereas the SOFR is calculated as a volume-weighted median of transaction- level data.
In addition, the transactions underlying the survey rate are not as broad as those underlying the
SOFR. This is because the survey collects only the general collateral segments of the repo market
and does not capture borrowing activity conducted by non-primary dealer market participants.
However, according to the Fed, the survey rate can play an important role in providing insight into how a broad measure of repo market activity would have behaved over a significantly longer time horizon.
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