Search Results
Speech
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
Measure Twice, Cut Once
Remarks at SOFR Symposium: The Final Year (Part II) (delivered via videoconference).
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 ...
Speech
Remarks at the Culture Imperative – an Interbank Symposium
Remarks at the Culture Imperative ? An Interbank Symposium at the Convene Conference Center, New York City.
Speech
Monetary Policy Implementation: Adapting to a New Environment
Remarks before the Money Marketeers of New York University (delivered via videoconference).
Speech
Act Now, and Choose Wisely
Remarks at the 2021 ISDA North America Conference (delivered via videoconference).
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 ...
Speech
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.
Speech
The LIBOR Countdown Has Not Stopped
Remarks at the IMN Virtual Investors' Conference on LIBOR.
Journal Article
Leaving LIBOR
The Fed has developed a new reference rate to replace the troubled LIBOR. Will banks make the switch?