SOFR: Difference between revisions
imported>Doug Williamson m (Categorise.) |
imported>Doug Williamson (Updated SOFR to provide more background and detail. Sourced used include https://www.newyorkfed.org and https://www.fca.org.uk) |
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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 ARRC of the Federal Reserve. | ||
It is published by the New York Fed at approximately 8am local time. April 3rd, 2018 is 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 trasaction volume has on average been approximately 800 billion USD. | |||
LIBOR which is currently used as benchmark rate is expected to discontinue by 2021 in light of multiple irregularities and lack of sustainability in the absence of an active underlying market. 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. | |||
Revision as of 22:25, 6 July 2018
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 ARRC of the Federal Reserve.
It is published by the New York Fed at approximately 8am local time. April 3rd, 2018 is 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 trasaction volume has on average been approximately 800 billion USD.
LIBOR which is currently used as benchmark rate is expected to discontinue by 2021 in light of multiple irregularities and lack of sustainability in the absence of an active underlying market. 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.
See also
