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About the Rate: SOFR Features and Mechanics

About the Rate: SOFR Features and Mechanics

  • To be published by the Federal Reserve Bank of New York and the U.S. Office of Financial Research beginning on April 3, 2018.
  • Underpinned by the U.S. Treasury overnight repurchase (repo) market, for which the pool of eligible transactions is ~$800 billion per day**
  • Calculated as a transaction-volume-weighted median repo rate
  • Data to be sourced from tri-party repo data from Bank of New York Mellon (BNYM), and cleared bilateral and GCF Repo data from the Depository Trust & Clearing Corporation (DTCC)
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