SOFR

Secured Overnight Financing Rate (SOFR) is an secured interbank overnight interest rate and reference rate.

History

In June 2017, US Federal Reserve Bank's Alternative Reference Rates Committee selected SOFR as the preferred alternative to Libor.[1] The committee has noted the stability of the repurchase market on which the rate is based.[2]

New York Federal Reserve began publication of the rate in April 2018.[2]

In August 2018, Barclays became the first bank to issue commercial paper tied to the rate; selling some US $525 million of short-term debt.[3]

Technical details

SOFR is based on the Treasury repurchase market, Treasuries loaned or borrowed overnight.[2]

References

  1. ↑ https://www.bakermckenzie.com/en/insight/publications/2017/11/libor-where-things-now-stand
  2. 1 2 3 https://www.reuters.com/article/us-usa-bonds-sofr-explainer/what-is-sofr-the-new-u-s-libor-alternative-idUSKCN1HA0H1
  3. ↑ https://www.bloomberg.com/news/articles/2018-08-27/libor-challenger-embraced-in-debut-commercial-paper-transaction
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