New York Fed launches index of LIBOR alternative

Mar 03, 2020

The Federal Reserve Bank of New York began publishing Secured Overnight Financing Rate averages and a SOFR index to support the transition away from the London Interbank Offered Rate, or LIBOR.

The reserve bank will publish 30-, 90-, and 180-day SOFR averages as well as a daily index that allows users to calculate compounded average rates over custom time periods.

SOFR is the alternative to LIBOR recommended by the Alternative Reference Rates Committee, which is implementing the transition. In a statement, ARRC Chair Tom Wipf said market participants can use the data to create new SOFR-based contracts.

ICBA serves on the ARRC and encourages community banks to begin preparing for the transition from LIBOR.