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:

4.62% on December 11, 2024

This was based on $2.3 Trillion of repo transactions where 98% of them used rates between 4.56% and 4.72%.

The resulting overnight LIBOR fallback rate for December 11, 2024 is 4.62644% using the fixed 0.00644% overnight fallback spread.

The latest published SOFR 1-month, 3-month, and 6-month averages are for December 12, 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 days4.59757%0.11448%4.71205%
Last 90 days4.80859%0.26161%5.07020%
Last 180 days5.12121%0.42826%5.54947%

The latest published SOFR Index is for December 12, 2024: 1.17204163

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
2024-11-134.594.805635.050455.24239
2024-11-144.584.798275.041905.23829
2024-11-154.574.788905.033605.23414
2024-11-184.574.760785.008285.22147
2024-11-194.574.751764.999845.21726
2024-11-204.564.742734.991525.21304
2024-11-214.574.734034.983085.20872
2024-11-224.574.725334.974555.20445
2024-11-254.584.699224.948785.19163
2024-11-264.584.690874.940125.18735
2024-11-274.574.682514.931465.18308
2024-11-294.594.665764.914505.17431
2024-12-024.644.638984.889885.16148
2024-12-034.644.631644.882015.15755
2024-12-044.594.624284.874025.15362
2024-12-054.594.616584.865485.14941
2024-12-064.604.608894.857065.14520
2024-12-094.634.594504.832095.13282
2024-12-104.644.595554.824225.12895
2024-12-114.624.596904.816575.12513

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
2024-11-134.596444.920115.312065.67065
2024-11-144.586444.912755.303515.66655
2024-11-154.576444.903385.295215.66240
2024-11-184.576444.875265.269895.64973
2024-11-194.576444.866245.261455.64552
2024-11-204.566444.857215.253135.64130
2024-11-214.576444.848515.244695.63698
2024-11-224.576444.839815.236165.63271
2024-11-254.586444.813705.210395.61989
2024-11-264.586444.805355.201735.61561
2024-11-274.576444.796995.193075.61134
2024-11-294.596444.780245.176115.60257
2024-12-024.646444.753465.151495.58974
2024-12-034.646444.746125.143625.58581
2024-12-044.596444.738765.135635.58188
2024-12-054.596444.731065.127095.57767
2024-12-064.606444.723375.118675.57346
2024-12-094.636444.708985.093705.56108
2024-12-104.646444.710035.085835.55721
2024-12-114.626444.711385.078185.55339

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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