Secured Overnight Financing Rate (SOFR)

Get the Federal Reserve rates as published by the Federal Reserve Bank of New York. The federal funds market consists of domestic unsecured borrowings in U.S. dollars by depository institutions from other depository institutions and certain other entities, primarily government-sponsored enterprises.

The following rates are available:

• Effective Federal Funds Rate (EFFR)
• Overnight Bank Funding Rate (OBFR)
• Tri-Party General Collateral Rate (TGCR)
• Broad General Collateral Rate (BGCR)
• Secured Overnight Financing Rate (SOFR)

The effective federal funds rate (EFFR) is calculated as a volume-weighted median of overnight federal funds transactions reported in the FR 2420 Report of Selected Money Market Rates.

The overnight bank funding rate (OBFR) is calculated as a volume-weighted median of overnight federal funds transactions, Eurodollar transactions, and the domestic deposits reported as “Selected Deposits” in the FR 2420 Report.

The TGCR is calculated as a volume-weighted median of transaction-level tri-party repo data collected from the Bank of New York Mellon.

The BGCR is calculated as a volume-weighted median of transaction-level tri-party repo data collected from the Bank of New York Mellon as well as GCF Repo transaction data obtained from the U.S. Department of the Treasury’s Office of Financial Research (OFR).

The SOFR is calculated as a volume-weighted median of transaction-level tri-party repo data collected from the Bank of New York Mellon as well as GCF Repo transaction data and data on bilateral Treasury repo transactions cleared through FICC’s DVP service, which are obtained from the U.S. Department of the Treasury’s Office of Financial Research (OFR).

The New York Fed publishes the rates for the prior business day on the New York Fed’s website between 8:00 and 9:00 a.m.

SOFR is the US dollar reference rate that replaced dollar LIBOR in loans and derivatives. Being secured by Treasuries, it usually trades a few basis points from the effective federal funds rate but jumps at month and quarter ends and when reserves get scarce, so the spread between its 1st and 99th percentiles, or between SOFR and the EFFR, is watched as a sign of strain in the repo market.

See source: https://www.newyorkfed.org/markets/reference-rates/

Also known as: Fed rates, federal funds rate, FOMC rate.

Secured Overnight Financing Rate (SOFR) in Python or via the MCP

Install the Finance Toolkit with:

pip install financetoolkit -U

Then call get_federal_reserve_rates as shown below.

from financetoolkit import FixedIncome

fixedincome = FixedIncome(start_date='2023-12-01', end_date="2025-12-31")

effr = fixedincome.get_federal_reserve_rates()

effr.loc[:, ['Rate', '1st Percentile', '25th Percentile', '75th Percentile', '99th Percentile']]

Or, after setting up the Finance Toolkit MCP, ask:

Which returns:

Parameters

get_federal_reserve_rates accepts the following parameters.

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