SOFR: Key Facts and Datapoints

SOFR?:  “Secured Overnight Financing Rate”

Secured or unsecured:  secured

Collateral type:  U.S. Treasury securities

Publisher:  New York Federal Reserve Bank

Interest rate benchmark replaced:  Effective Federal Funds Rate (“EFFR”) (from a commercial perspective, SOFR was developed to replace LIBOR (or the London Inter-Bank Offered Rate) for lending- and derviatives-related instruments, in each case linked to the US market)

Publishing start date:  April 3, 2018

Source material: transaction-level data collected in the course of the New York Federal Reserve Bank’s daily open market operations

Underlying transactions: the rate at which banks and other financial institutions are willing to loan funds to their counterparts in transactions collateralized by U.S Treasury securities

Publishing schedule: in both real time and on a daily basis (real-time SOFR is published every minute from 8:00 a.m. to 5:00 p.m. ET on the New York Federal Reserve Bank’s website. Daily SOFR is published at 8:00 a.m. ET the following day on the New York Fed Reserve Bank’s website)

Place of publication (for SOFR Averages and Index Data): https://www.newyorkfed.org/markets/reference-rates/sofr-averages-and-index

Approximate volume of financial instruments utilizing SOFR (as of July 2019): more than $240 billion in SOFR bonds and nearly $200 billion in SOFR swaps (however, such volume represents varying percentages of the overall portions of such markets):

The International Swaps and Derivatives Association (“ISDA”) reports that in the second quarter 2019, derivatives traded notional referencing SOFR was $84.7 billion or 0.25% of the $32.4 trillion derivatives traded notional referencing LIBOR during the period. The securities side has made better progress: in the second quarter of 2019, 65% of floating rate notes issued were LIBOR-indexed, 17% referenced SOFR and 15% referenced Treasury Bill rates.

Federal Home Loan Bank (“FHLB”) System’s involvement with SOFR-related financial instruments: “the FHLB System began issuing SOFR bonds in November 2018 and today the FHLB System is the #1 issuer of SOFR Bonds, with more than $118 billion issued as of August 2019.”