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This week the NY Fed is introducing SOFR, it's LIBOR alternative, ahead of LIBOR's scheduled 2021 demise. Unlike LIBOR, SOFR is calculated using the rate at which banks actually lend to each other - versus a survey of the rate they might lend at. Firms are not yet showing urgency in leaving LIBOR, though they are expected to slowly transition off over the next few years.
To develop and implement a replacement for the dollar-denominated version of Libor, the Federal Reserve in 2014 set up the Alternative Reference Rates Committee (ARRC), which brought together representatives from the private sector and regulators. By May 2016, the committee had narrowed the search to two options: the New York Fed’s overnight bank funding rate, and a rate based on repurchase agreements, which are transactions for overnight loans collateralized by Treasury securities. After a series of roundtable discussions, and with feedback from advisory groups, the committee identified the latter -- SOFR -- as the best candidate.
