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”.a

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 DTCC Solutions LLC, an affiliate of the Depository Trust & Clearing Corporation. Each business day, the New York Fed publishes the SOFR on the New York Fed website at approximately 8:00 a.m. ET.b

For more information on the production of the SOFR, please see Additional Information about the Treasury Repo Reference Rates.

To access historical data, please see: Repo Rates Data Historical Search

Download daily historical indicative SOFR and accompanying volumes from August 2014 – March 2018 

Use of the Secured Overnight Financing Rate is subject to important disclaimers, limitations and indemnification obligations. See the Terms of Use. The New York Fed has no liability for publication of the rate on this webpage or in any other sources.

Data provided under a license granted to the Federal Reserve Bank of New York by DTCC Solutions LLC (“Solutions”), an affiliate of the Depository Trust & Clearing Corporation. DTCC Solutions, its affiliates, and third parties from which they obtained data have no liability for the content of this material.

  
  Printer version
E-mail Alert E-mail alert
RSS Feed RSS feed
Secured Overnight Financing Rate Data
Statistics on the Secured Overnight Financing Rates
  
  Export to:
Excel | XML: Volume | Rates
DATE RATE
(Percent) 		PERCENTILES
VOLUME (US$ BILLIONS)
1ST
(Percent) 		25TH
(Percent) 		75TH
(Percent) 		99TH
(Percent)
12/02 0.08 0.05 0.06 0.10 0.15 926
12/01 0.08 0.05 0.06 0.10 0.16 972
11/30 0.09 0.06 0.08 0.12 0.17 1,055
11/27 0.08 0.05 0.06 0.10 0.16 900
11/26 Holiday, no data.
11/25 0.08 0.05 0.06 0.10 0.15 937
11/24 0.07 0.04 0.05 0.09 0.14 910
11/23 0.05 0.03 0.04 0.07 0.13 913
11/20 0.05 0.03 0.04 0.07 0.13 920
11/19 0.06 0.03 0.04 0.07 0.13 911
11/18 0.07 0.04 0.05 0.09 0.16 941
11/17 0.09 0.05 0.07 0.11 0.17 970
11/16 0.10 0.06 0.08 0.12 0.18 953
11/13 0.09 0.06 0.07 0.11 0.17 904
11/12 0.09 0.05 0.07 0.11 0.17 912
11/11 Holiday, no data.
11/10 0.10 0.06 0.07 0.12 0.17 923
11/09 0.10 0.06 0.08 0.12 0.18 904
11/06 0.10 0.07 0.08 0.13 0.18 888
11/05 0.11 0.07 0.08 0.13 0.18 938
11/04 0.10 0.06 0.08 0.13 0.18 899
11/03 0.10 0.06 0.07 0.12 0.17 948
11/02 0.11 0.07 0.07 0.13 0.17 956
10/30 0.09 0.06 0.07 0.12 0.18 873
10/29 0.09 0.05 0.06 0.10 0.16 866
10/28 0.08 0.05 0.06 0.10 0.16 910
10/27 0.09 0.06 0.07 0.11 0.16 931
 
Secured Overnight Financing Rate Chart
 
r Revised
1 Rate was calculated with reduced volume
2 Rate was calculated using survey data
3 Because of insufficient current data, the published rate is a republication of the prior day's rate


a “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.
b The Treasury repo reference rates will be published each business day that is not recognized as a holiday by the SIFMA calendar for secondary market trading of U.S. government securities. The Treasury repo reference rates, reflecting activity for the business day preceding a holiday will be published on the subsequent business day. Please note that on days in which trading in U.S. government securities is subject to an early close, the reference rates administered by the Desk will still be published. In the event that market participants recognize a previously unscheduled holiday, the New York Fed will publically communicate its approach to publishing reference rates it administers, with the goal of aligning as closely as possible to the approach used for scheduled holidays.