Secured Overnight Financing Rate (SOFR)Fed Policy RatesMortgage RatesUS LIBOR Cessation

Latest SOFR rate

SOFR is published by the New York Federal Reserve every business day for the previous business day, the latest is:

4.81% on November 6, 2024

This was based on $2.1 Trillion of repo transactions where 98% of them used rates between 4.78% and 4.88%.

The resulting overnight LIBOR fallback rate for November 6, 2024 is 4.81644% using the fixed 0.00644% overnight fallback spread.

The latest published SOFR 1-month, 3-month, and 6-month averages are for November 7, 2024. Note these term rates are calculated in arrears (they average historical SOFR rates) as opposed to being forward-looking like swap rates.

TermSOFR AverageFallback SpreadLIBOR Rate
Last 30 days4.84243%0.11448%4.95691%
Last 90 days5.09783%0.26161%5.35944%
Last 180 days5.26544%0.42826%5.69370%

The latest published SOFR Index is for November 7, 2024: 1.16681563

SOFR rate history

History of Secured Overnight Financing Rate (SOFR) since 2019 including 98% transaction volume bounds

SOFR values over last 30 calendar days

Note that the historical averages are calculated in arrears. For example the 30-day average averages overnight SOFR rates over the last 30 days and is not a forward-looking term rate for the next 30 days.

  Historical averages
DateSOFR30 day90 day180 day
2024-10-094.835.026885.264055.34475
2024-10-104.825.009815.258315.34202
2024-10-114.814.992745.252475.33923
2024-10-154.864.923415.228465.32774
2024-10-164.864.907685.222955.32523
2024-10-174.854.890285.217555.32268
2024-10-184.844.872555.212055.32006
2024-10-214.824.857135.195275.31201
2024-10-224.834.856825.189425.30921
2024-10-234.834.856825.183685.30647
2024-10-244.834.856825.177825.30369
2024-10-254.834.856485.171995.30090
2024-10-284.824.855795.154655.29239
2024-10-294.824.855155.148915.28954
2024-10-304.814.854485.142615.28675
2024-10-314.904.849465.136535.28391
2024-11-014.864.844445.131495.28157
2024-11-044.824.843755.115275.27387
2024-11-054.824.843435.109535.27107
2024-11-064.814.843105.103795.26828

LIBOR fallback values over last 30 calendar days

Note that the historical averages are calculated in arrears. For example the 30-day average averages overnight SOFR rates over the last 30 days and is not a forward-looking term rate for the next 30 days. The LIBOR fallback rates are calculated by adding the SOFR rates for each term to the appropriate fallback spreads.

  Historical averages
DateOvernight30 day90 day180 day
2024-10-094.836445.141365.525665.77301
2024-10-104.826445.124295.519925.77028
2024-10-114.816445.107225.514085.76749
2024-10-154.866445.037895.490075.75600
2024-10-164.866445.022165.484565.75349
2024-10-174.856445.004765.479165.75094
2024-10-184.846444.987035.473665.74832
2024-10-214.826444.971615.456885.74027
2024-10-224.836444.971305.451035.73747
2024-10-234.836444.971305.445295.73473
2024-10-244.836444.971305.439435.73195
2024-10-254.836444.970965.433605.72916
2024-10-284.826444.970275.416265.72065
2024-10-294.826444.969635.410525.71780
2024-10-304.816444.968965.404225.71501
2024-10-314.906444.963945.398145.71217
2024-11-014.866444.958925.393105.70983
2024-11-044.826444.958235.376885.70213
2024-11-054.826444.957915.371145.69933
2024-11-064.816444.957585.365405.69654

What is SOFR and why was it created?

The 2008 financial crisis underscored the need for a more reliable benchmark than LIBOR, which was vulnerable to manipulation. SOFR, based on the U.S. Treasury repo market, emerged as a sturdy alternative, signifying a move towards more transparent, market-based benchmarks. The Secured Overnight Financing Rate (SOFR) stands as a crucial benchmark in financial markets, representing the cost of borrowing cash overnight, collateralized by Treasury securities. Its advent marks a shift from legacy benchmarks like LIBOR to a more transparent, transaction-based model, enhancing its reliability in financial operations. Overnight financing rates, such as SOFR, are key indicators of short-term borrowing costs. Derived from real transactions, SOFR offers insights into market liquidity and financial stability, reflecting the current state of the lending and borrowing environment.

SOFR is a volume-weighted median rate, calculated from a variety of repo transactions. Repos, or repurchase agreements, involve the sale and later repurchase of securities. SOFR includes General Collateral Finance (GCF) repos, which are standardized repo contracts traded in a specific market segment, tri-party repos, managed by a third party that handles the collateral, and cleared bilateral repos, involving two parties with a central clearinghouse mitigating risk. This diverse mix, secured against U.S. Treasury securities, minimizes risk and differentiates SOFR from unsecured rates like LIBOR. SOFR's calculation uses data from a broad spectrum of repo transactions, ensuring a comprehensive market representation. This variety in data sources contributes to SOFR's stability and reliability, making it a crucial tool for financial decision-making and policy development.

SOFR's establishment, grounded in actual market transactions, marks a significant evolution in financial benchmarks. Its role in providing stability and transparency is growing, poised to become a foundational element in financial markets and shaping a more resilient and transparent financial future.

Major central banks globally have taken on similar reforms to replace their US LIBOR equivalents with more reliable rates.

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