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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 ...
Money Markets and the Federal Funds Rate: The Path Forward
Remarks at the MFA Outlook 2019, New York City.
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).
Prepare for Landing
Remarks at the ISDA Benchmark Strategies Forum (delivered via videoconference).
2020: The Time is Now: Presentation by Nathaniel Wuerffel at the ISDA and SIFMA AMG Benchmark Strategies Forum
Joint presentation delivered by Nathaniel Wuerffel, Senior Vice President at the Federal Reserve Bank of New York, Tom Wipf, Chair of the Alternative Reference Rates Committee and Vice Chairman of Institutional Securities at Morgan Stanley, and Harri Vikstedt, Senior Director at the Bank of Canada. This presentation was delivered at the International Swaps and Derivatives Association (ISDA) and Securities Industry and Financial Markets Association's Asset Management Group (SIFMA AMG) Benchmark Strategies Forum on February 12, 2020.
The Fed has developed a new reference rate to replace the troubled LIBOR. Will banks make the switch?
Money Market Developments: Views from the Desk
Remarks at the Annual Primary Dealer Meeting, Federal Reserve Bank of New York, New York City.
The LIBOR Countdown Has Not Stopped
Remarks at the IMN Virtual Investors' Conference on LIBOR.
LIBOR: The Clock Is Ticking
Remarks at the 2019 U.S. Treasury Market Conference, Federal Reserve Bank of New York, New York City.