In Anycast RP, two or more RPs are configured with the same IP address on loopback interfaces. The Anycast RP loopback address should be configured with a 32-bit mask, making it a host address. All the downstream routers should be configured to "know" that the Anycast RP loopback address is the IP address of their local RP. IP routing automatically will select the topologically closest RP for each source and receiver.
MSDP used for Anycast RP is an intradomain feature that provides redundancy and load-sharing capabilities. Enterprise customers typically use Anycast RP for configuring a Protocol Independent Multicast sparse mode (PIM-SM) network to meet fault tolerance requirements within a single multicast domain.
https://www.cisco.com/c/en/us/td/docs/ios/solutions_docs/ip_multicast/White_papers/anycast.html#wp1029118
https://www.cisco.com/c/en/us/support/docs/ip/ip-multicast/115011-anycast-pim.html
" You need to have a loopback on each prospective RP router, which is different than the loopback that is being used as the RP address."