Track the latest NY Fed Secured Overnight Financing Rate (SOFR) data including 30, 90, and 180 day averages and fallback rates
SOFR is a risk-free reference rate (“RFR”) selected as the rate for usage in certain United States Dollar (“USD”) derivatives and other financial contracts, by the Alternative Reference Rates Committee (“ARRC”) of the Federal Reserve Bank of New York (“NY Fed”) in the ...
Track the latest NY Fed Secured Overnight Financing Rate (SOFR) data including 30, 90, and 180 day averages and fallback rates
SOFR is administered and published by the Federal Reserve Bank of New York (NY Fed) and is based on transaction data that broadly measures the cost of borrowing cash overnight secured by U.S. treasuries. The key differences between USD LIBOR and SOFR, and their implications for commercial ...
Unlike LIBOR, the SOFR uses actual transactions in the overnight repurchase (repo) market, published by the Federal Reserve Bank of New York (NY Fed). Both the SOFR and ON RRP are closely related to the overnight repo market; thus, it is natural to investigate whether the SOFR can suppor...
be tested. As expected for a forward-looking rate, Term SOFR will rise in anticipation of interest-rate increases from the Federal Reserve. SOFR and the NY Fed 30-day SOFR rates, which reflect current and trailing 30-day market conditions, respectively, will not move on possible rate changes...
SOFR One-Year Chart (Source: NY Fed) LIBOR to SOFR Transition: Why is LIBOR Being Replaced? The transition from LIBOR to SOFT was prompted after a highly-publicized scandal was revealed in which traders at major financial institutions had colluded to manipulate LIBOR. The traders implicated in ...
SOFR is published and administered by the Federal Reserve Bank of New York (FRBNY, or New York Fed to you and I). Included Transactions The SOFR rate is calculated using a very broad spectrum of repo trades (repurchase agreements).
No. AXI is a spread which is added to SOFR. AXI is not a proxy for any interest rate. AXI can be used in conjunction with overnight SOFR (published by the NY Fed),CME Term SOFR,or other SOFR variants to form a credit-sensitive interest rate benchmark for loans, derivatives, and oth...
5 In this context, relevant business days are US Government Securities business days (corresponding to those for which the Federal Reserve Bank of New York (the "NY Fed") calculates and publishes (overnight) SOFR). 6 See CME Group's12 October 2021 CME Term SOFR Reference Rates FAQs. ...