The Bank of New York Mellon has developed three separate indices that reflect the daily average of the interest rates negotiated between buyers and sellers for repurchase transactions involving particular collateral types where BNY Mellon acts as agent and intermediary for the buyer and seller. BNY Mellon's three indices are the following:
BNY Mellon's indices are calculated each business day (reflecting transactions entered the preceding business day) as volume weighted Medians for new, overnight trades submitted to BNY Mellon's Automated Deal Matching ("ADM") system for the associated collateral types. The Treasury TRIP reflects the interest rate for repo transactions having a collateral ID for "US Treasuries excluding Strips". Similarly, the MBS TRIP reflects the interest rate for repo transactions having a collateral ID for "Agency MBS", and the Agency TRIP is for collateral having a collateral ID for "Agency Debentures and Strips".
The Bank of New York Mellon is the sole owner of the above indices, the index names and service marks.
Markit is the calculation agent.
The Bank of New York Mellon is the administrator.
The index is published on repoindex.bnymellon.com
The index will be calculated on every business day that both:
For any transactions entered with an actual pricing rate of less than 0%, BNY Mellon’s Tri-Party Repo Indices reflect such transactions as having a pricing rate of 0%, and not the actual pricing rate for such transactions.
This information and data is provided for general informational purposes only. The Bank of New York Mellon and our information suppliers do not warrant or guarantee the accuracy, timeliness or completeness of this information or data. We provide no advice nor recommendation or endorsement with respect to any company or securities. We do not undertake any obligation to update or amend this information or data. Nothing herein shall be deemed to constitute an offer to sell or a solicitation of an offer to buy securities.