SOFR - A broad measure of the cost of borrowing USD cash overnight, collateralized by U.S. Treasury securities.
SOFR is a broad measure of the cost of borrowing USD cash overnight, collateralized by U.S. Treasury securities.
Though the market is still building, SOFR has a growing notional amount of floating rate instruments tied to it.
Key Benefits:
Transaction-based
Calculated from overnight US Treasury repurchase (repo) activity
Underpinned by around $975B of daily transactions
"SOFR is a good representation of general funding conditions in the overnight Treasury repo market. As such, it will reflect an economic cost of lending and borrowing relevant to the wide array of market participants active in the market..."
- ARRC
Resources
J.P. Morgan has compiled an in-depth review of LIBOR benchmark reform and its implications for the markets.
Alternative Reference Rates Committee
The ARRC is planning the transition from USD LIBOR to SOFR. Visit the ARRC homepage for more information.
CME Group offers an educational course introducing SOFR as a reference rate as well as some information about CME SOFR futures.
The Federal Reserve Bank of New York (FRBNY) provides an introduction on how to use SOFR in cash products, including background for SOFR and much more.
