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Working Paper
Inferring Term Rates from SOFR Futures Prices

The Alternative Reference Rate Committee, a group of private-sector market participants convened by the Federal Reserve, has recommended that markets transition to the use of the Secured Overnight Financing Rate (SOFR) in financial contracts that currently reference US dollar LIBOR. This paper examines the feasibility of using SOFR futures prices to construct forward-looking term reference rates that are conceptually similar to the term LIBOR rates commonly used in loan contracts. We show that futures-implied term SOFR rates have closely tracked federal funds OIS rates over the eight months ...
Finance and Economics Discussion Series , Paper 2019-014

ICMA's Official Sector Panel on the Transition to Risk Free Rates

This virtual event presented an opportunity to hear from the UK Financial Conduct Authority, the Federal Reserve Bank of New York, the Swiss National Bank, and the European Central Bank about progress and the remaining challenges in the transition from LIBOR/interbank offered rates to risk-free rates, international coordination, and key messages from the official sector for market firms in the run-up to the end of 2021.

Working Paper
What Drives Bank Funding Spreads?

We use matched, bank-level panel data on Libor submissions and credit default swaps to decompose bank-funding spreads at several maturities into components reflecting counterparty credit risk and funding-market liquidity. To account for the possibility that banks may strategically misreport their funding rates in the Libor survey, we nest our decomposition within a model of the costs and benefits of lying. We find that Libor spreads typically consist mostly of a liquidity premium and that this premium declined at short maturities following Federal Reserve interventions in bank funding ...
Working Paper Series , Paper WP-2014-23

Transitioning Away From LIBOR: Understanding SOFR’s Strengths and Considering the Path Forward

Remarks at the Bank Policy Institute’s Credit-Sensitive Benchmark Symposium (delivered via videoconference).

Act Now, and Choose Wisely

Remarks at the 2021 ISDA North America Conference (delivered via videoconference).

The role of the New York Fed as administrator and producer of reference rates: remarks at the Annual Primary Dealer Meeting, Federal Reserve Bank of New York, New York City

Remarks at the Annual Primary Dealer Meeting, Federal Reserve Bank of New York, New York City.
Speech , Paper 270

Restoring confidence in reference rates

Remarks at the Salomon Center for the Study of Financial Institutions, New York University Stern School of Business, New York City.
Speech , Paper 143

Journal Article
Leaving LIBOR

The Fed has developed a new reference rate to replace the troubled LIBOR. Will banks make the switch?
Econ Focus , Issue 3Q , Pages 3-5

Working Paper
Credit Risk, Liquidity and Lies

We reexamine the relative effects of credit risk and liquidity in the interbank market using bank-level panel data on Libor submissions and CDS spreads. Our model synthesizes previous work by combining the fundamental determinants of interbank spreads with the effects of strategic misreporting by Libor-submitting firms. We find that interbank spreads were very sensitive to credit risk at the peak of the crisis. However, liquidity premia constitute the bulk of those spreads on average, and Federal Reserve interventions coincide with improvements in liquidity at short maturities. Accounting for ...
Finance and Economics Discussion Series , Paper 2015-112

Prepare for Landing

Remarks at the ISDA Benchmark Strategies Forum (delivered via videoconference).


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LIBOR 25 items

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Secured Overnight Financing Rate (SOFR) 5 items

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