What Is SOFR? The Repo Market and the Fed's Rate Corridor Explained

SOFR, the Secured Overnight Financing Rate, is the New York Fed's daily measure of what it costs to borrow cash overnight with US Treasuries as collateral.

SOFR is the benchmark that replaced US dollar LIBOR, and it is built from one market: repo, where cash is lent overnight against Treasuries. This page covers what a repo is, how haircuts and specials work, how the New York Fed computes SOFR and when it publishes it, the Federal Reserve's rate corridor that usually keeps SOFR inside a band, why some dates, such as quarter ends, can push it up, a worked example from the New York Fed's published figures, and how SOFR took over from LIBOR. It is descriptive throughout.

What a repo is

A repurchase agreement, or repo, is a sale of securities paired with an agreement to buy them back later at a slightly higher price. The New York Fed describes a repo as economically similar to a loan collateralized by securities. The side that sells the securities and buys them back is borrowing cash; the side that buys and later resells them is lending cash. The difference between the two prices is the interest, and the rate it implies is the repo rate. Most repo is overnight: the cash goes out today and comes back on the next business day.

Seen from the cash lender, the same trade is a reverse repo. The word used depends on which side is speaking, which is why the Fed's operation that takes cash in from money funds is called the overnight reverse repo facility: the Fed sells securities and buys them back the next day.

Two terms come up in every repo market:

• Haircut. The Office of Financial Research defines the haircut as the amount of collateral provided in excess of the amount of cash lent, often expressed as a percentage of the collateral's value. It protects the lender if the borrower defaults and the collateral has to be sold at a lower price. Haircuts vary by market segment, and the OFR's 2022 pilot study of bilateral repo that is not cleared through a central counterparty found 70 percent of it carried a zero haircut; its daily data for the first five months of 2025 put the share at 56 percent.
• General collateral and specials. In a general collateral (GC) repo the lender accepts any security from an agreed set, such as any Treasury, and the exact securities are identified only after the other terms are agreed. In a specific-issue repo the lender wants one particular security. When demand for that security is strong, for example to deliver it against a short sale, lenders of cash accept a lower rate to get it, and the security is said to trade "special".

What SOFR measures and who publishes it

The Federal Reserve Bank of New York administers SOFR and calls it a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. It is the widest of three Treasury repo rates the New York Fed publishes, each built on the one before:

The filter matters. Because the DVP segment is where specific securities change hands, it carries the specials, whose low rates would drag a measure of the general cost of financing down. The New York Fed removes the lowest-rate 20 percent of DVP transaction volume each day before computing SOFR.

How SOFR is computed and when it is published

SOFR is a volume-weighted median. The New York Fed orders the day's eligible overnight transactions from the lowest rate to the highest, adds up their dollar volume, and takes the rate at which the running total reaches half of all volume. The published rate is rounded to the nearest basis point, a hundredth of a percentage point. Alongside it the New York Fed publishes the 1st, 25th, 75th and 99th volume-weighted percentiles and the total volume behind the print, rounded to the nearest billion dollars.

A median, rather than an average, means a handful of trades at extreme rates cannot move the headline much on their own; the percentiles show how wide the spread of trades was.

The timing confuses many readers. Each business day, at about 8:00 a.m. Eastern time, the New York Fed publishes SOFR for the previous business day. The repo trades in it were struck on that earlier day and matured on the publication day, so the rate is always dated one business day before it appears. If transaction data turn out to be wrong or late, the rate can be revised at about 2:30 p.m. the same day, but only when the change would exceed one basis point. No rate is published for days on which SIFMA, the bond-market trade association, recommends a full market closure.

The Fed's corridor and why SOFR sits where it does

The Federal Open Market Committee sets a target range for the federal funds rate, 25 basis points wide, and holds overnight rates inside it with rates the Fed administers itself. The New York Fed's Open Market Desk runs the two repo facilities at the edges.

• Interest on reserve balances (IORB). The rate the Fed pays banks on the reserves they hold at it, set by the Board of Governors inside the range. A bank has little reason to lend overnight for much less than it earns by leaving the cash at the Fed.
• Overnight reverse repo facility (ON RRP). A broad set of counterparties, including money market funds and government-sponsored enterprises that cannot earn IORB, can lend cash to the Fed overnight at a fixed offering rate. The New York Fed says these operations help provide a floor under overnight rates. Trades with the Fed itself are excluded from the data behind TGCR, so the ON RRP's own trades sit outside the repo rates built on it.
• Standing repo operations (SRP). The reverse of ON RRP: eligible counterparties can borrow cash from the Fed overnight against eligible securities at a fixed rate. The Fed has run these operations since 2021, and the New York Fed says they help provide a ceiling on money market rates.

The current settings come from the implementation note the Fed issued with the FOMC decision of 16 September 2026, effective 17 September 2026:

SOFR has no administered level of its own. It is set by repo trades between private firms, and the corridor bounds it from both sides: a cash lender with access to ON RRP has an alternative at 3.75 percent, and a borrower with access to standing repo has one at 4.0 percent. Where SOFR lands between them depends on how much cash and how much Treasury collateral need to meet on a given day. The rates move with the corridor: SOFR was 3.62 percent on 16 September 2026 and 3.85 percent on 17 September, the day the new settings took effect. The Federal Reserve explainer covers who sets each of these rates, and what a central bank policy rate is compares the Fed's corridor with other central banks.

Pressure dates and the September 2019 spike

Repo rates can rise on particular dates, when cash leaves the market or more Treasuries need financing at once. Familiar causes are quarterly corporate tax dates, when payments move from bank and money fund accounts to the Treasury's account at the Fed; the settlement of large Treasury auctions, which leaves dealers with new securities to finance; and quarter ends, around which Federal Reserve staff note that SOFR has shown a seasonal pattern.

The most cited case is September 2019. In a Federal Reserve note, staff describe how corporate tax payments due on 16 September and $54 billion of Treasury coupon securities settling the same day drained cash while adding collateral, and reserves fell by about $120 billion over two business days. In the New York Fed's data, SOFR for 17 September 2019 was 5.25 percent, against a target range of 2.00 to 2.25 percent, and the 99th percentile of trades that day was 9.00 percent. The effective federal funds rate printed 2.30 percent, above the top of the range. The standing repo operations that now sit at the top of the corridor did not exist then.

Most quarter ends are far quieter. The worked example below shows the latest one.

A worked example: SOFR around the 30 September 2026 quarter end

All figures are from the New York Fed's published reference rates, read on 15 October 2026.

Three readings from the table:

• The quarter end showed in volume more than in the rate. On 30 September, volume rose by $263 billion from the day before, while the median moved up by 2 basis points and fell back to 3.87 percent the next day.
• SOFR sat just under IORB. The 13 October print of 3.89 percent was 1 basis point below IORB at 3.90 percent, 14 basis points above the ON RRP rate and 11 basis points below the standing repo rate. Measured from the bottom of the target range, it sat 56 percent of the way up: (3.89 minus 3.75) divided by 0.25.
• The dates lag. The 13 October rate was published on the morning of 14 October. There is no print dated 12 October, the Columbus Day bond-market holiday, so the series steps from 9 October to 13 October.

Kresmion's free money markets page, open with no account, lists SOFR beside the federal funds target range, IORB and the ON RRP award rate, with each market rate's position inside the range, its gap to IORB, its 1-day, 1-week and 1-month move, the transaction volume behind it and its own observation date and primary source, above a year of the corridor drawn as a chart. The percentile spread behind each print and the study of what month ends and quarter ends do to funding rates sit in the research views that need a free account.

From LIBOR to SOFR

LIBOR was set each day from submissions by a panel of banks estimating what they would pay to borrow unsecured. The New York Fed's Alternative Reference Rates Committee (ARRC) notes that it was not anchored in actual market activity. In 2017 the ARRC selected SOFR as its recommended alternative for US dollar contracts, and the same year LIBOR's regulator, the UK Financial Conduct Authority, said it could not guarantee LIBOR's existence after 2021. The New York Fed's published SOFR series begins with 2 April 2018.

US banking regulators told supervised firms to stop new use of US dollar LIBOR after 31 December 2021, and all US dollar LIBOR panel settings ceased after 30 June 2023. The FCA required temporary "synthetic" 1-month, 3-month and 6-month US dollar settings for legacy contracts, published for the last time on 30 September 2024, which the FCA calls the end of LIBOR overall.

Two differences between the old and new benchmarks explain much of the work the transition took:

Because SOFR is an overnight rate, contracts that need a rate for a longer period either compound daily SOFR over the period, using the averages and index the New York Fed publishes, or reference forward-looking term SOFR rates built from SOFR derivatives markets, which the ARRC recommended for limited uses. SOFR futures are among the contracts described in what a futures contract is.

Honest limitations

SOFR covers Treasury repo only; repo against other collateral, such as mortgage-backed or corporate securities, is outside it. The volume-weighted median says where the middle of the day's dollar volume traded, not what any single borrower paid, and the percentiles are the only view of the spread. The worked example is a few days of published values, read on 15 October 2026, and the corridor settings are those in force from 17 September 2026; both change with each FOMC decision. Nothing on this page describes where SOFR goes next.

Key takeaways

Frequently asked questions

Who publishes SOFR?

The Federal Reserve Bank of New York, which administers the rate. It publishes SOFR at about 8:00 a.m. Eastern time each business day on its website, together with the percentile distribution, the volume behind it and the SOFR averages and index.

Why is SOFR published a day late?

Because it is calculated from transaction data that BNY and the Office of Financial Research supply after the trading day. The rate published each morning covers repo trades struck on the previous business day, which mature on the morning it appears.

What is the difference between SOFR and the fed funds rate?

SOFR is a secured rate: the borrower hands over Treasuries as collateral. The effective federal funds rate measures unsecured overnight borrowing of reserves between banks and some other institutions. Both are volume-weighted medians published by the New York Fed, and both usually trade inside the Fed's corridor, but they come from different markets and can differ by a few basis points.

Can SOFR go above the Fed's target range?

Yes. The target range is set for the federal funds rate, and SOFR is a market rate. It printed 5.25 percent on 17 September 2019, with a range of 2.00 to 2.25 percent. Standing repo operations, run since 2021 at the top of the range, give eligible firms a source of cash at that rate, which the New York Fed says helps provide a ceiling, but not every repo borrower has access to them.

Why did SOFR replace LIBOR?

LIBOR rested on bank estimates rather than trades, and in 2017 its regulator said it could not guarantee the rate beyond 2021. SOFR is calculated from actual transactions, close to $3,000 billion a day in early October 2026, and the ARRC selected it as its recommended alternative for dollar contracts.

This page is information, not investment advice.

---

Source: Federal Reserve Bank of New York, Secured Overnight Financing Rate Data, https://www.newyorkfed.org/markets/reference-rates/sofr ; Federal Reserve Bank of New York, Additional Information about Reference Rates Administered by the New York Fed (calculation, specials trim, publication and revision rules), https://www.newyorkfed.org/markets/reference-rates/additional-information-about-reference-rates ; Federal Reserve Bank of New York, Reference Rates data (SOFR for 2 April 2018, 16 to 17 September 2019, 16 to 17 September 2026, 29 September to 13 October 2026, and EFFR for 17 September 2019), read 15 October 2026 from the New York Fed's reference rates search, https://www.newyorkfed.org/markets/reference-rates/sofr ; Federal Reserve Bank of New York, Repo and Reverse Repo Agreements, https://www.newyorkfed.org/markets/domestic-market-operations/monetary-policy-implementation/repo-reverse-repo-agreements ; Federal Reserve, Implementation Note issued 16 September 2026, https://www.federalreserve.gov/newsevents/pressreleases/monetary20260916a1.htm ; Federal Reserve, Standing Repurchase Agreement Operations, https://www.federalreserve.gov/monetarypolicy/standing-overnight-repurchase-agreement-facility.htm ; Federal Reserve, FEDS Notes, "What Happened in Money Markets in September 2019?" (2020), https://www.federalreserve.gov/econres/notes/feds-notes/what-happened-in-money-markets-in-september-2019-20200227.html ; Office of Financial Research, "Are Zero-Haircut Repos as Common as Advertised?" (2025), https://www.financialresearch.gov/the-ofr-blog/2025/08/12/are-zero-haircut-repos-as-common-as-advertised/ ; Alternative Reference Rates Committee, SOFR Transition, https://www.newyorkfed.org/arrc/sofr-transition ; UK Financial Conduct Authority, About LIBOR transition, https://www.fca.org.uk/markets/libor-transition ; position in the range and spreads computed by Kresmion from those figures ; Kresmion money markets page, observed 15 October 2026.

Kresmion Research.