October 30, 2017
Ann E. Misback
Board of Governors of the Federal Reserve System
20th Street and Constitution Avenue NW,
Washington, DC 20551
Re: Docket Number OP-1573,
Request for Information Relating to Production of Rates
Dear Ms. Misback:
The Securities Industry and Financial Markets Association 1 and the Financial Services Roundtable2 (collectively referred hereinafter as “We”) appreciate the opportunity
to comment on the Board of Governors for the Federal Reserve System’s (the “Federal Reserve’s”) Request for Information Relating to Production of Rates (the “RFI”). The RFI solicits stakeholder feedback on three rates based on overnight repurchase agreement (“repo”) transactions on U.S. Treasury securities (“Treasury repo”) which the Federal Reserve Bank of New York (“FRBNY”), in cooperation with the U.S. Office of Financial Research (“OFR”), are considering publishing. The RFI states that the publication of these proposed rates, targeted to commence by mid-2018, is intended to improve transparency into the repo market by increasing the amount and quality of information available about the market for overnight Treasury repo activity.
We support the Federal Reserve’s proposal to publish the following three rates:
1. The Tri-party General Collateral Rate (“TGCR”) would measure the rate of return available on overnight repo transactions against Treasury securities in the tri-party repo market, excluding General Collateral Financing (“GCF”) Repo and transactions in which the Federal Reserve is a counterparty.
2. The Broad General Collateral Rate (“BGCR”) would provide a broader measure of rates on overnight Treasury GC repo transactions by using the same transaction-level tri-party data as in the TGCR plus General Collateral Financing (“GCF”) Repo data.
3. The Secured Overnight Financing Rate (“SOFR”) would provide the broadest measure of rates on overnight Treasury financing transactions by the same transaction-level data as BGCR but also include bilateral Treasury repo transactions cleared through the Fixed Income Clearing Corporation’s (“FICC’s”) Delivery-versus-Payment (“DVP”) service, filtered to remove some (but not all) transactions considered “specials.”
1 SIFMA is the voice of the U.S. securities industry. We represent the broker-dealers, banks and asset managers whose nearly 1 million employees provide access to the capital markets, raising over $2.5 trillion for businesses and municipalities in the U.S., serving clients with over $18.5 trillion in assets and managing more than $67 trillion in assets for individual and institutional clients including mutual funds and retirement plans. SIFMA, with offices in New York and Washington, D.C., is the U.S. regional member of the Global Financial Markets Association (GFMA). For more information, visit http://www.sifma.org.
2 The Financial Services Roundtable represents the largest integrated financial services companies providing banking, insurance, payment and investment products and services to the American consumer. Member companies participate through the Chief Executive Officer and other senior executives nominated by the CEO. FSR member companies provide fuel for America’s economic engine, accounting for $54 trillion in managed assets, $1.1 trillion in revenue, and 2.1 million jobs. Learn more at FSRoundtable.org.