Risk glossary


Secured overnight financing rate (SOFR)

Originally known as the broad Treasuries financing rate, the secured overnight financing rate, or SOFR, is a measure of the cost of borrowing cash on an overnight basis in the US Treasury repo markets. It is the US successor to Libor. The rate includes the tri-party general collateral rate collected by the Bank of New York Mellon, the GCF repo rate from the Depository Trust & Clearing Corporation, and the rate used in bilateral Treasury repo transactions cleared at the Fixed Income Clearing Corporation.

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