People who work with US dollar interest rate swaps, loans and bonds use SOFR as the reference for floating rates. Which repo transactions does SOFR come from, and how is it calculated and published?

The repo transactions behind SOFR

SOFR is a benchmark rate that gives a broad measure, across the market, of the cost of borrowing cash overnight with US Treasury securities as collateral1.

In a repo transaction, the party borrowing cash delivers Treasury securities, then repays the cash on an agreed date and receives the securities back2. SOFR is built from the rates on overnight transactions, in which the cash is repaid on the next business day.

Repo transactions come in types that differ in how the collateral is chosen. In tri-party repo, the range of acceptable collateral is set in advance. DVP (Delivery-versus-Payment) repo is a bilateral transaction in which the counterparties choose the specific Treasury securities to deliver for each trade. It is cleared by FICC (Fixed Income Clearing Corporation)3.

The New York Fed publishes three benchmarks for Treasury repo rates, and SOFR covers the widest range of transactions among them3.

Benchmark Transactions included
TGCR (Tri-Party General Collateral Rate) Tri-party repo transactions in which the collateral securities are assigned later (general collateral) and the counterparties know each other. Transactions with the Federal Reserve as a counterparty are excluded
BGCR (Broad General Collateral Rate) A rate on Treasury general collateral repo transactions. The TGCR transactions plus FICC's GCF Repo transactions
SOFR The BGCR transactions plus FICC's DVP repo transactions

DVP repo is also used to obtain specific securities temporarily. A cash lender may accept a lower rate to receive a particular security as collateral, and that security is then said to be trading "special". The rates on special transactions do not reflect the general cost of financing. For this reason, the New York Fed removes the lowest-rate 20% of DVP repo volume each day before calculating the rate4.

How the volume-weighted median is found

SOFR is a volume-weighted median. The transactions are ordered from lowest to highest rate, their volumes are added up in that order, and the rate of the transaction at which the running total reaches 50% of the total volume becomes SOFR. The published value is rounded to 1bp (0.01%)5.

Consider a hypothetical example in which five transactions total USD 100 billion in volume. You look for the transaction at which the running total reaches half of that, USD 50 billion.

Order Rate (%) Volume (USD billion) Running total (USD billion)
1 2.00 10 10
2 2.02 30 40
3 2.03 20 60
4 2.05 25 85
5 2.10 15 100

The running total is USD 40 billion through the second transaction and USD 60 billion through the third, so USD 50 billion falls within the third transaction. SOFR in this example is 2.03%. A simple average of the five rates would be 2.04%, which differs from the median.

The median does not change when the rates of transactions at the ends move. In this example, if the rate of the fifth transaction changed from 2.10% to 3.00%, the order of the rates and the running totals would stay the same, so SOFR would remain 2.03%. A simple average would rise from 2.04% to 2.22% with the same change.

Along with SOFR, the New York Fed publishes the rates at the 1st, 25th, 75th and 99th percentiles of volume, found by the same method, and the total volume used in the calculation (rounded to the nearest USD 1 billion)5.

How SOFR is calculated and published

SOFR is calculated and published in the order shown in the figure below.

Market participantsProviders (BNY, OFR)New York Fed>1bp changeOvernight repoagainst Treasuries(value date)Send value datedata to theNew York FedNext business day:review data,calculate SOFRPublish on websiteat approx.8:00 a.m.Revised SOFRpublished atapprox. 2:30 p.m.
Figure 1From calculation to publication of SOFR
Figure description

The figure shows value date data moving from market participants to the data providers and then to the New York Fed, which calculates SOFR on the next business day and publishes it at approximately 8:00 a.m. Eastern Time. A revision after publication, at approximately 2:30 p.m. Eastern Time, is an exceptional path taken only when the value changes by more than 1bp. The numbered list below gives the details of each step and their sources.

  1. Market participants enter into overnight repo transactions collateralized by Treasury securities. This day is the SOFR "value date" (the term the New York Fed uses).
  2. Data on tri-party repo transactions reach the New York Fed from BNY (Bank of New York Mellon) and the US Department of the Treasury's Office of Financial Research (OFR), and data on GCF Repo and DVP repo transactions reach it from the OFR1. The New York Fed collects the data under the supervisory authority of the Board of Governors of the Federal Reserve System and the authority of the OFR6.
  3. On the business day after the value date, the New York Fed reviews the data on the value date's transactions and calculates SOFR. It may use its judgment to exclude transactions that appear not to have been conducted at arm's length or that seem potentially erroneous7.
  4. At approximately 8:00 a.m. US Eastern Time on the business day after the value date, the New York Fed publishes SOFR on its website1.
  5. If, after publication, an error in the calculation is found or data that missed the morning publication arrive, and SOFR would change by more than 1bp, the New York Fed revises the rate at approximately 2:30 p.m. the same day. Revisions are made only on the day of publication8.

SOFR is not published on days for which SIFMA recommends a full market closure for trading in US government securities8.

If data for one type of transaction are not received on a given day, the calculation uses that type's data from the last day for which they were received. In that case, the rates in those data are shifted by the change in rates since the last day the data were received. The change in rates comes from a daily survey of primary dealers' repo borrowing conducted by the New York Fed's Trading Desk9.

SOFR averages and index, and Term SOFR

For transactions that use daily SOFR directly, the rate is not fixed until the end of the interest period10. To find the rate for the period, you apply compound interest to the SOFR values over the period. The calculation is covered in Compounding in Arrears. To support this calculation, the New York Fed publishes 30-, 90- and 180-day averages of compounded SOFR, and a SOFR Index11. The SOFR Index starts at 1.00000000 on April 2, 2018, the first value date of SOFR, and compounds each SOFR thereafter. From the ratio of the index on two dates, you can find the compounded average over any period you choose12.

For transactions that need a rate fixed at the start of the interest period, SOFR also has a term rate. The ARRC (Alternative Reference Rates Committee) is a group of private-sector market participants convened by US authorities. On July 29, 2021, the ARRC formally recommended CME Group's Term SOFR (a term rate based on SOFR)13. The tenors it recommended at that time were one month, three months and six months. In May 2022, the ARRC announced that it would also endorse the 12-month tenor14.

Term SOFR is built from SOFR-linked derivative transactions15. Like Term SOFR, term risk-free rates (RFRs) for the major currencies are based on the fixed rates of OIS (overnight index swaps), which are exchanged for the overnight RFR compounded in arrears, or on the prices of interest rate futures16.

The ARRC recommends limiting the scope of use of Term SOFR. It supports its use in business lending (multi-lender facilities, middle market loans and trade finance). By contrast, it does not support using Term SOFR in derivatives, because most derivatives already use SOFR compounded in arrears. It recommends that derivatives use Term SOFR only in transactions that hedge clients' positions such as loans that reference Term SOFR. The reason is that a decline in the derivatives transactions that Term SOFR is built from would weaken the robustness of Term SOFR itself17.

The successor to US dollar LIBOR

On June 22, 2017, the ARRC selected a broad rate on Treasury repo transactions as the RFR to replace US dollar LIBOR19. This rate is SOFR, and the first SOFR was published on April 3, 2018, for the value date of April 2, 201820.

The US dollar LIBOR panel banks (the banks that submitted rates for calculating LIBOR) made their last submissions on June 30, 2023. With that, US dollar LIBOR ceased to represent the cost at which banks raise unsecured funding21. The history of the transition, including how contracts that referenced US dollar LIBOR were moved (such as through fallbacks), is covered in The Transition from LIBOR.

The RFRs for other currencies are TONA (Tokyo Overnight Average Rate) for the Japanese yen, €STR (euro short-term rate) for the euro, and SONIA (Sterling Overnight Index Average) for the pound sterling22.

Notes

  1. Federal Reserve Bank of New York, "Secured Overnight Financing Rate Data", the introductory description and the second paragraph on the publication time ("at approximately 8:00 a.m. ET"). ↩ ↩2 ↩3

  2. Bank of Japan Financial Markets Department, "本邦レポ市場のトレンドと近年の特徴点" (Trends and recent features of the Japanese repo market, Bank of Japan Review 2025-J-7, August 2025, in Japanese), "はじめに" (Introduction) and note 4. It describes the Japanese repo market, but the mechanism of exchanging funds and bonds for a set period is the same. ↩

  3. Federal Reserve Bank of New York, "Additional Information about Reference Rates Administered by the New York Fed", the TGCR, BGCR and SOFR paragraphs of "Primary Data Inputs for the Treasury Repo Reference Rates". ↩ ↩2

  4. The same document, the SOFR paragraph of "Primary Data Inputs for the Treasury Repo Reference Rates". The 20% is removed after trades between affiliated entities are excluded. ↩

  5. Federal Reserve Bank of New York, "Additional Information about Reference Rates Administered by the New York Fed", "Calculation Methodology for the TGCR, BGCR, and SOFR". ↩ ↩2 ↩3

  6. The same document, the first paragraph of "Primary Data Inputs for the Treasury Repo Reference Rates". Before January 24, 2022, data were also obtained from DTCC Solutions LLC. ↩

  7. The same document, "Data Exclusions for the Treasury Repo Reference Rates". ↩

  8. The same document, "Details on Publication and Revisions for the Treasury Repo Reference Rates". ↩ ↩2

  9. The same document, "Data Contingencies for the Treasury Repo Reference Rates". ↩

  10. Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks, "日本円金利指標の適切な選択と利用等に関する市中協議" (Public Consultation on the Appropriate Choice and Usage of Japanese Yen Interest Rate Benchmarks, in Japanese), July 2019, page 10 (page 11 of the PDF), the description of option (2), "O/N RFR 複利（後決め）" (O/N RFR compounded in arrears). It says "金利の計算期間の最終日が近づいた時点で適用金利が確定します（＝後決め）" (the applicable rate is fixed when the last day of the interest calculation period approaches, that is, in arrears; our translation). It describes the yen overnight rate, but the mechanism of setting a rate by compounding an overnight rate is the same. An English version is available: "Public Consultation on the Appropriate Choice and Usage of Japanese Yen Interest Rate Benchmarks". ↩

  11. Federal Reserve Bank of New York, "Additional Information about Reference Rates Administered by the New York Fed", the first paragraph of "Calculation Methodology for the SOFR Averages and Index". ↩

  12. The same document, the SOFR Index paragraph of "Calculation Methodology for the SOFR Averages and Index" and the paragraph with the formula for finding an average from the index. ↩

  13. Alternative Reference Rates Committee, "ARRC Formally Recommends Term SOFR" (July 29, 2021), first paragraph. The description of the ARRC is in "About the ARRC" in the same document. ↩

  14. Bank of Japan, "LIBOR 移行対応に関する国内外の動向" (Domestic and international developments in the LIBOR transition, Cross-Industry Forum on Interest Rate Benchmarks, December 2023, in Japanese), pages 2–3, the entry for the ARRC meeting of March 23, 2022 ("ARRC が 2021 年に同 1、3、6 か月物を推奨した", the ARRC recommended the one-, three- and six-month tenors in 2021; our translation) and the entry for the ARRC meeting of May 18 ("endorse することを承認（5 月 19 日発表）", approved endorsing [the 12-month tenor] (announced May 19); our translation). ↩

  15. Alternative Reference Rates Committee, "ARRC Best Practice Recommendations Related to Scope of Use of the Term Rate" (July 2021), the second paragraph of "Background". ↩

  16. Bank of Japan, "LIBOR 公表停止後のドル調達プレミアムのモニタリングにおける留意点について" (Points to note in monitoring the dollar funding premium after the cessation of LIBOR, Bank of Japan Review, February 2022, in Japanese), note 2 to Chart 1. ↩

  17. The same document, items 1 and 2 of "Recommended Best Practices for Use of the SOFR Term Rate in New Contracts". ↩

  18. The same document, the first paragraph of "Recommended Best Practices for Use of the SOFR Term Rate in New Contracts". ↩

  19. Alternative Reference Rates Committee, "The ARRC Selects a Broad Repo Rate as its Preferred Alternative Reference Rate" (June 22, 2017), first paragraph. That the rate selected is SOFR is stated in the first paragraph of "Background" in "ARRC Best Practice Recommendations Related to Scope of Use of the Term Rate". ↩

  20. Federal Reserve Bank of New York, "Additional Information about Reference Rates Administered by the New York Fed", the note to the SOFR Index table. ↩

  21. Bank of Japan, "LIBOR 移行対応に関する国内外の動向" (Domestic and international developments in the LIBOR transition, Cross-Industry Forum on Interest Rate Benchmarks, December 2023, in Japanese), page 12, the entry for the ARRC meeting of June 22, 2023 ("米ドル LIBOR のパネル行は 6 月 30 日をもって最後のレート呈示を行うこと、これをもって、同指標は指標性を喪失し、無担保ホールセール市場における銀行の資金調達コストの実態を表すものではなくなること", that the US dollar LIBOR panel banks would make their last rate submissions on June 30, and that with this the benchmark would lose its representativeness and no longer reflect the actual cost of bank funding in the unsecured wholesale market; our translation). ↩

  22. Financial Conduct Authority, "About LIBOR transition", the table "RFRs recommended as alternatives to LIBOR". ↩