Treasury Repo Will Be the New LIBOR

The Alternative Reference Rates Committee voted to adopt a new index to eventually replace USD LIBOR as the benchmark index for the US derivatives market.  The lack of transparency and faith in the USD LIBOR index since 2008 led the Committee to explore several alternatives.  They ultimately chose Treasury backed repurchase agreements (or “repos”) over the Overnight Bank Funding Rate based on liquidity and regulatory principles.  Voluntary use of the index will begin next year and market participants anticipate it will take several years to build up sufficient liquidity.  See what Reuters has to say about the move here.

3 Comments

  1. Tom McVay
    June 30, 2017

    Bryan – what is the current Treasury Repo rate?

    Reply
    • BryanKern
      June 30, 2017

      Tom,
      Current Treasury repo rate (Bloomberg ticker GCFTRSY Index) is 1.212% versus 1M LIBOR rate of 1.22389%.

      Reply
  2. Bryan Kern
    June 30, 2017

    Current Treasury repo rate (Bloomberg ticker GCFTRSY Index) is 1.212% versus 1M LIBOR rate of 1.22389%.

    Reply

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