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Glossary

SOFR

Category — Rates
The Secured Overnight Financing Rate (SOFR) is a near-risk free rate measuring the cost of borrowing cash overnight collateralized by Treasury securities.

While most LIBOR submissions are still based on expert judgment, the SOFR is fully transacted-based, with Bank of New York Mellon (BNYM) and the Depository Trust and Clearing Corporation (DTCC) providing transaction-level data for three repo market segments: General Tri-Party, Inter-dealer Tri-Party and FICC-Cleared Bilateral. This reference rate encompasses a robust underlying market, is nearly risk-free and correlates closely with other money market rates, but is less volative than bank rates (e.g. LIBOR).

Each business day the Federal Reserve Bank of New York calculates and publishes the SOFR at approximately 8:00-8:30 a.m.

First SOFR linked bonds were issued by the GSE Fannie Mae in July 2018 (with maturity of 0.5, 1 and 1.5 years:
Fannie Mae, FRN 30jan2019, USD
Fannie Mae, FRN 30jul2019, USD
Fannie Mae, FRN 30jan2020, USD

SOFR rates are published with a one business day delay in our Indices website section.
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