OFR Updates Financial Stress Index with Alternative Reference Rate Indicators

Contact: OFR Public Affairs

WASHINGTON, DC – The Office of Financial Research (OFR) announced today that it is replacing seven indicators that feed its Financial Stress Index (FSI). The new indicators are based on the Secured Overnight Financing Rate (SOFR) and other recommended alternative reference rates.

The OFR’s Financial Stress Index provides a daily monitor of stress within financial markets based on 33 economic indicators, 7 of which were previously based on benchmark rates—such as various London Interbank Offered Rate (LIBOR) settings—that have ceased or will cease publication. The FSI’s new indicators use rates based on the officially recommended reference rates in each currency jurisdiction. For example, the replacements for USD LIBOR-based indicators are indicators based on SOFR, which is the alternative reference rate recommended by the Alternative Reference Rate Committee (a group of private-market participants that was convened by the Federal Reserve Board and the Federal Reserve Bank of New York to identify robust alternatives to USD LIBOR). Similarly, indicators that were based on Japanese Yen LIBOR were replaced with the indicators that use the Tokyo Interbank Offered Rate (TIBOR) or the Tokyo Overnight Average Rate (TONAR).

The full set of replacement indicators appears in a new OFR Working Paper, “The Transition to Alternative Reference Rates in the OFR Financial Stress Index,” and its accompanying Fact Sheet. The working paper also explains the methodology the OFR uses to produce the FSI, including several statistical properties that are desirable for a daily index.


The OFR helps promote financial stability by looking across the financial system to measure and analyze risks, perform essential research, and collect and standardize financial data, principally to support the Financial Stability Oversight Council and its member agencies. In addition, the Dodd-Frank Wall Street Reform and Consumer Protection Act requires the OFR to analyze threats to the financial stability of the United States each year and provide a report to Congress with its key findings.