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Working Paper
Credit Risk, Liquidity and Lies
Lewis, Kurt F.; King, Thomas B. (2015-12-18)
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

Working Paper
Inferring Term Rates from SOFR Futures Prices
Heitfield, Erik; Park, Yang-Ho (2019-03-05)
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

Working Paper
What Drives Bank Funding Spreads?
Lewis, Kurt F.; King, Thomas B. (2014-11-13)
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

Discussion Paper
How the LIBOR Transition Affects the Supply of Revolving Credit
Cooperman, Harry; Luck, Stephan; Yang, Yilin; Duffie, Darrell; Kang-Landsberg, Alena; Wang, Zachry (2023-02-03)
In the United States, most commercial and industrial (C&I) lending takes the form of revolving lines of credit, known as revolvers or credit lines. For decades, like other U.S. C&I loans, credit lines were typically indexed to the London Interbank Offered Rate (LIBOR). However, since 2022, the U.S. and other developed-market economies have transitioned from credit-sensitive reference rates such as LIBOR to new risk-free rates, including the Secured Overnight Financing Rate (SOFR). This post, based on a recent New York Fed Staff Report, explores how the provision of revolving credit is likely ...
Liberty Street Economics , Paper 20230203

Speech
Reforming culture and conduct in the financial services industry: how can lawyers help?: remarks at Yale Law School's Chirelstein Colloquium, New Haven, Connecticut
Held, Michael (2017-03-08)
Remarks at Yale Law School's Chirelstein Colloquium, New Haven, Connecticut.
Speech , Paper 235

Speech
Restoring confidence in reference rates
Dudley, William (2014-10-02)
Remarks at the Salomon Center for the Study of Financial Institutions, New York University Stern School of Business, New York City.
Speech , Paper 143

Speech
Remarks at the Culture Imperative – an Interbank Symposium
Dudley, William (2017-01-11)
Remarks at the Culture Imperative ? An Interbank Symposium at the Convene Conference Center, New York City.
Speech , Paper 231

Speech
Money markets at a crossroads: policy implementation at a time of structural change: remarks at the Master of Applied Economics' Distinguished Speaker Series, University of California, Los Angeles
Potter, Simon M. (2017-04-05)
Remarks at the Master of Applied Economics' Distinguished Speaker Series, University of California, Los Angeles.
Speech , Paper 240

Speech
The transition to a robust reference rate regime: remarks at Bank of England’s Markets Forum 2018, London, England
Dudley, William (2018-05-24)
Remarks at Bank of England?s Markets Forum 2018, London, England.
Speech , Paper 287

Speech
LIBOR: The Clock Is Ticking
Williams, John C. (2019-09-23)
Remarks at the 2019 U.S. Treasury Market Conference, Federal Reserve Bank of New York, New York City.
Speech

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