April 10, 2018 / 12:16 PM / 2 months ago

NY Fed evaluating published SOFR rates after feedback

April 10 (Reuters) - The New York Federal Reserve on Tuesday said that it is evaluating data used to determine its new Secured Overnight Financing Rate (SOFR), after receiving feedback that volumes in bilateral repurchase agreements (repo) backing the rate were higher than some had expected.

The New York Fed said it is looking into the issue with its bilateral repo data provider to determine whether there was an impact on the published rate, volume or other statistics.

The bank began publishing SOFR last week, the first step in a multi-year effort to make the rate an alternative to the London interbank offered rate (Libor) in derivatives contracts. (Reporting By Karen Brettell Editing by Chizu Nomiyama)

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