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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 ...
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.
The transition to a robust reference rate regime: remarks at Bank of England’s Markets Forum 2018, London, England
Remarks at Bank of England?s Markets Forum 2018, London, England.
LIBOR: The Clock Is Ticking
Remarks at the 2019 U.S. Treasury Market Conference, Federal Reserve Bank of New York, New York City.
Remarks at Securities Industry and Financial Markets Association (SIFMA), New York City.
SOFR and the transition from LIBOR: remarks at the SIFMA C&L Society February Luncheon, New York City
Remarks at the SIFMA C&L Society February Luncheon, New York City.
A Resolution for 2021: No New LIBOR
Remarks at the Securities Industry and Financial Markets Association’s LIBOR Transition Forum (delivered via videoconference).