SOFR
From ACT Wiki
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SOFR is the benchmark risk-free USD rate that superseded USD LIBOR.
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
- USD LIBOR
