SOFR: Difference between revisions
imported>Doug Williamson (Update for LIBOR transition.) |
imported>Doug Williamson (Add link.) |
||
| Line 18: | Line 18: | ||
==See also== | ==See also== | ||
*[[Alternative Reference Rates Committee]] (ARRC) | *[[Alternative Reference Rates Committee]] (ARRC) | ||
*[[Federal Funds Rate]] | |||
*[[Federal Reserve]] | *[[Federal Reserve]] | ||
*[[IBOR]] | *[[IBOR]] | ||
Revision as of 17:04, 23 October 2022
US interest rate benchmarks.
SOFR is the Secured Overnight Financing Rate.
This is a broad treasuries repo financing rate, recommended as a benchmark by the Alternative Reverence Rates Committee (ARRC) of the Federal Reserve.
It is published by the New York Fed at approximately 8am local time.
3 April 2018 was the first time SOFR was published. It is calculated based on actual transactions and is a volume-weighted median.
In the first three months of the publication of SOFR the underlying overnight lending transaction volume was on average approximately USD 800 billion.
SOFR is the new benchmark USD rate (alternatively known as risk-free rate) and the ARRC is working with the industry to transition to SOFR from LIBOR by 30 June 2023.
See also
- Alternative Reference Rates Committee (ARRC)
- Federal Funds Rate
- Federal Reserve
- IBOR
- LIBOR
- New York Fed
- Reference rate
- Risk-free rates
- Repo
- SOFR term rate
- SONIA
- Treasury
