SOFR: Difference between revisions
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''US interest rate benchmarks''. | ''US interest rate benchmarks''. | ||
SOFR is the Secured Overnight Financing Rate. | SOFR is the Secured Overnight Financing Rate. | ||
This is a broad treasuries repo financing rate, recommended as a benchmark by the ARRC of the Federal Reserve. | 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. | |||
SOFR is the benchmark risk-free USD rate that superseded USD LIBOR. | |||
==See also== | ==See also== | ||
*[[ARRC]] | *[[Alternative Reference Rates Committee]] (ARRC) | ||
*[[Federal Funds Rate]] | |||
*[[Federal Reserve]] | *[[Federal Reserve]] | ||
*[[IBOR]] | |||
*[[LIBOR]] | *[[LIBOR]] | ||
* [[New York Fed]] | |||
*[[Reference rate]] | *[[Reference rate]] | ||
*[[Risk-free rates]] | *[[Risk-free rates]] | ||
*[[Repo]] | *[[Repo]] | ||
*[[SOFR term rate]] | |||
*[[SONIA]] | |||
*[[Treasury]] | *[[Treasury]] | ||
* [[USD LIBOR]] | |||
==Other resources== | |||
*[https://www.bankofengland.co.uk/markets/transition-to-sterling-risk-free-rates-from-libor/working-group-on-sterling-risk-free-reference-rates Working Group of Sterling Risk-Free Reference Rates - latest announcements & publications] | |||
*[https://www.treasurers.org/hub/technical/practical-guide-libor A Practical Guide to LIBOR transition - Slaughter & May - Association of Corporate Treasurers] | |||
*[https://www.bankofengland.co.uk/markets/sonia-benchmark SONIA and other benchmarks] | |||
*[https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2018/ARRC-Second-report ARRC: Second Report] | |||
[[ | [[Category:Accounting,_tax_and_regulation]] | ||
[[Category:Financial_products_and_markets]] | |||
Latest revision as of 18:09, 11 March 2024
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.
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
