The Transition to Alternative Reference Rates in the OFR Financial Stress Index

Jeremy Bejarano

No 23-07, Working Papers from Office of Financial Research, US Department of the Treasury

Abstract: The OFR Financial Stress Index (OFR FSI or FSI) is a daily market-based snapshot of stress in global financial markets. Originally, the OFR FSI was constructed from 33 financial market variables that are correlated with some form of financial stress. Seven of these variables are based on LIBOR or other ceasing and/or already-ceased benchmark interest rates. As such, these seven variables are now obsolete. However, since its inception, the OFR FSI was intended to allow for the periodic replacement of obsolete variables as the need arises (Working Paper no. 23-07).

Date: 2023-06-27
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