SOFR

SOFR — Secured Overnight Financing Rate

SOFR (Secured Overnight Financing Rate) is the benchmark interest rate for US dollar financial contracts. It measures the cost of borrowing US dollars overnight, collateralised by US Treasury securities (repurchase agreements, or "repos").

Key Facts

• Published by: Federal Reserve Bank of New York (NY Fed)
• Publication time: ~8:00 AM Eastern Time, each business day
• Represents: Prior business day's overnight repo transactions
• Daily volume: Approximately $1 trillion+
• Calculation method: Volume-weighted median of eligible tri-party, bilateral, and GCF repo transactions
• Day count convention: Actual/360
• Available from: 3 April 2018

Why It Replaced LIBOR

SOFR replaced USD LIBOR, which was permanently discontinued on 30 June 2023. Unlike LIBOR — which was based on expert bank estimates — SOFR is derived entirely from real, observable transactions in the world's most liquid government securities market. This makes it transparent, robust, and manipulation-resistant.

Variants

Variant	Description
Overnight SOFR	Daily rate published by NY Fed
SOFR 30-Day Average	Compounded 30-day rolling average
SOFR 90-Day Average	Compounded 90-day rolling average
SOFR 180-Day Average	Compounded 180-day rolling average
Term SOFR (CME)	Forward-looking 1M, 3M, 6M, 12M rates (licensed)

Use in Loans

SOFR is used in floating-rate syndicated loans, bilateral credit facilities, bonds, and derivatives. The most common loan convention is compounded SOFR in arrears with a 5-business-day lookback, as recommended by the ARRC.

Use the RFR Loan Calculator to calculate SOFR-based loan interest with daily compounding and Excel export.