Fed announces Libor alternative
Secured Overnight Financing Rate will measure overnight treasury financing transactions
The Federal Reserve has opened a consultation on its plan to publish three new reference rates based on overnight repo transactions secured by treasuries.
The Fed’s Board of Governors plan to start publishing the three rates by mid-2018, while the Federal Reserve Bank of New York will be responsible for collating and publishing the rates.
The New York Fed proposes to calculate the central tendency of each rate on the basis of a “volume-weighted median” of transactions. This measure is likely
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