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.b
For more information on the production of the SOFR, please see Additional Information about the TGCR, BGCR and SOFR.
To access historical data, please see: Repo Rates Data Historical Search
Download daily historical indicative SOFR and accompanying volumes from August 2014 – March 2018
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.