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SECURED OVERNIGHT FINANCING RATE DATA

The Secured Overnight Financing Rate (SOFR) is a broad measure of the cost of
borrowing cash overnight collateralized by Treasury securities. The SOFR
includes all trades in the Broad General Collateral Rate plus bilateral Treasury
repurchase agreement (repo) transactions cleared through the
Delivery-versus-Payment (DVP) service offered by the Fixed Income Clearing
Corporation (FICC), which is filtered to remove a portion of transactions
considered “specials”. Note that specials are repos for specific-issue
collateral, which take place at cash-lending rates below those for general
collateral repos because cash providers are willing to accept a lesser return on
their cash in order to obtain a particular security.

The SOFR is calculated as a volume-weighted median of transaction-level
tri-party repo data collected from the Bank of New York Mellon as well as GCF
Repo transaction data and data on bilateral Treasury repo transactions cleared
through FICC's DVP service, which are obtained from the U.S. Department of the
Treasury’s Office of Financial Research (OFR). Each business day, the New York
Fed publishes the SOFR on the New York Fed website at approximately 8:00 a.m.
ET.

For more information on the SOFR’s publication schedule and methodology, see
Additional Information about Reference Rates Administered by the New York Fed.

  

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About the Reference Rates
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Additional Information about Reference Rates Administered by the New York Fed
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SECURED OVERNIGHT FINANCING RATE DATA
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r Revised
1 Rate was calculated with reduced volume
2 EFFR, OBFR: Rate was calculated using brokered data
TGCR, BGCR, SOFR: Rate was calculated using survey data
3 Because of insufficient current data, the published rate is a republication of
the prior day's rate
For more information on these footnotes, click here.
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