When I look at FRBNY data as provided through public APIs then SOFR>BGCR>TGCR. Maybe I am missing something here:
1. The SOFR includes all trades in the Broad General Collateral Rate plus bilateral Treasury repurchase agreement (repo) transactions cleared through the Delivery-versus-Payment (DVP) service offered by the Fixed Income Clearing Corporation (FICC), which is filtered to remove a portion of transactions considered “specials”.
2. The BGCR includes all trades in the Tri-Party General Collateral Rate plus GCF Repo transactions.
3. The Tri-Party General Collateral Rate (TGCR) is a measure of rates on overnight, specific-counterparty tri-party general collateral repurchase agreement (repo) transactions secured by Treasury securities.
different published rates will have different methodologies but you would expect GCF rates to trade higher than the average repo transaction, which SOFR tries to measure
dealers borrow at SOFR and lend higher at GCF for a profit
as it says, SOFR also strips out DVP specials (repos with bonds in high demand, therefore lower rates) which would pull the SOFR rate down below BGCR/TGCR
Pulled this data from FRBNY using API service, which shows SOFR is consistently above other two rates. Is it possible that methodologies from OFR and FRBNY differ? Probably OFR is including specials in DVP? Further, I believe, DVP is not SOFR as per my limited understanding after looking at the FRBNY definition.
OFR on DVP: "This is a centrally cleared market in which participants know the specific security used as collateral for a transaction. It contains both unbrokered activity, where participants know their ultimate counterparty, and brokered activity, where participants do not know their ultimate counterparty. Because DVP Service settles on a specific-security basis, some of the activity surrounds securities that lenders want, using DVP Service to gain temporary ownership of the security. "
SOFR is the only one of those three rates to include DVP transactions. Without specials, the DVP portion increases the overall SOFR rate because normal DVP repos trade at higher rates.
“SOFR includes all trades in the Broad General Collateral Rate plus bilateral Treasury repurchase agreement (repo) transactions cleared through the Delivery-versus-Payment (DVP) service offered by the Fixed Income Clearing Corporation (FICC), which is filtered to remove a portion of transactions considered “specials””.
So it goes back to the initiating observation, should SOFR box be above the GCF? Please excuse for any inconvenience, intention is to just learn from such informative posts.
Shouldn't the GCF box be below SOFR, as SOFR rate > GCF rate?
GCF from the OFR usually trades above SOFR https://www.financialresearch.gov/short-term-funding-monitor/market-digests/rates/chart-18/
When I look at FRBNY data as provided through public APIs then SOFR>BGCR>TGCR. Maybe I am missing something here:
1. The SOFR includes all trades in the Broad General Collateral Rate plus bilateral Treasury repurchase agreement (repo) transactions cleared through the Delivery-versus-Payment (DVP) service offered by the Fixed Income Clearing Corporation (FICC), which is filtered to remove a portion of transactions considered “specials”.
2. The BGCR includes all trades in the Tri-Party General Collateral Rate plus GCF Repo transactions.
3. The Tri-Party General Collateral Rate (TGCR) is a measure of rates on overnight, specific-counterparty tri-party general collateral repurchase agreement (repo) transactions secured by Treasury securities.
https://www.newyorkfed.org/markets/reference-rates/sofr
different published rates will have different methodologies but you would expect GCF rates to trade higher than the average repo transaction, which SOFR tries to measure
dealers borrow at SOFR and lend higher at GCF for a profit
as it says, SOFR also strips out DVP specials (repos with bonds in high demand, therefore lower rates) which would pull the SOFR rate down below BGCR/TGCR
Please check this link for last 20 days comparison: https://pasteboard.co/0vPLA73egYOB.png
Pulled this data from FRBNY using API service, which shows SOFR is consistently above other two rates. Is it possible that methodologies from OFR and FRBNY differ? Probably OFR is including specials in DVP? Further, I believe, DVP is not SOFR as per my limited understanding after looking at the FRBNY definition.
OFR on DVP: "This is a centrally cleared market in which participants know the specific security used as collateral for a transaction. It contains both unbrokered activity, where participants know their ultimate counterparty, and brokered activity, where participants do not know their ultimate counterparty. Because DVP Service settles on a specific-security basis, some of the activity surrounds securities that lenders want, using DVP Service to gain temporary ownership of the security. "
SOFR is the only one of those three rates to include DVP transactions. Without specials, the DVP portion increases the overall SOFR rate because normal DVP repos trade at higher rates.
“SOFR includes all trades in the Broad General Collateral Rate plus bilateral Treasury repurchase agreement (repo) transactions cleared through the Delivery-versus-Payment (DVP) service offered by the Fixed Income Clearing Corporation (FICC), which is filtered to remove a portion of transactions considered “specials””.
So it goes back to the initiating observation, should SOFR box be above the GCF? Please excuse for any inconvenience, intention is to just learn from such informative posts.