Learn how SOFR works
Guides written for treasury, lending and operations staff who handle SOFR-based contracts. Each one works through real New York Fed data, current through October 8, 2026.
These guides cover the rate itself, the contract mechanics that turn a daily rate into an interest payment, and the market behavior that moves it. Figures in them come from the New York Fed's published data, and rules and dates come from the New York Fed, the ARRC, ISDA, the FCA, the Federal Reserve Board and CME Group, each named where it is used. Every guide links to the calculator that does its arithmetic.
Foundations
- Start hereWhat is SOFR?The median rate on overnight cash lent against Treasury collateral: who publishes it, which trades it covers and why it replaced LIBOR.
- MethodHow SOFR is calculatedThe three repo segments, the filters, the trim of the lowest-rate 20% of DVP volume, the volume-weighted median, and how to read the published percentiles.
- HistoryThe LIBOR to SOFR transitionThe dates that ended USD LIBOR, from the FCA's 2021 announcement to the last synthetic setting on September 30, 2024, and how legacy contracts moved.
Contracts and conventions
- ConventionsCompounding in arrearsPayment delay, lookback, observation shift and lockout, each run on the same quarter of 2026 data so the differences are visible.
- Published ratesSOFR Averages vs SOFR IndexWhy a 30-, 90- or 180-day average is just an Index ratio over a fixed window, and when a contract should use which.
- Forward vs backwardTerm SOFR vs overnight SOFRCME's futures-based term rate against the overnight rate and its averages, and the ARRC's limits on where Term SOFR belongs.
- LendingFloating-rate loans on SOFRMargins, floors, rate-setting dates and ACT/360, with one $10 million loan priced four ways for the third quarter of 2026.
- FallbacksCredit spread adjustmentWhere ISDA's fixed spreads came from, why they are five-year medians, and how 26.161 bp gets added to SOFR for 3-month LIBOR.
Market behavior
- SpreadsSecured vs unsecured ratesWhy SOFR and the effective federal funds rate differ, how administered rates frame both, and the years SOFR printed above EFFR.
- VolatilitySOFR spikes and month-endThe 282 bp jump of September 17, 2019, the 89 prints at 0.01% from March 2020, and the recurring move on the last business day of each month.
Reference
- 58 termsSOFR glossaryRepo, tri-party, DVP, lookback, lockout, floors and fallbacks, each defined briefly with a link to the page that covers it in depth.
- SourcesSources and methodologyWhich New York Fed series this site uses, when the snapshot was taken and how derived figures such as yearly statistics are computed.
- DataSOFR historyEvery daily print since April 2, 2018, summarized by year with links to full daily tables, for checking any date a guide mentions.
A suggested reading order
If SOFR is new to you, read What is SOFR? and then How SOFR is calculated; together they explain what a single day's print measures and why it is a median rather than an average. Next, SOFR Averages vs SOFR Index shows how daily prints become a rate for a period, and Compounding in arrears shows how contracts adjust that calculation so a payment can be made on time.
Borrowers and loan administrators should then go to Term SOFR vs overnight SOFR and Floating-rate loans on SOFR, which is where the choice of base rate turns into dollars. Anyone still servicing contracts written on USD LIBOR needs the transition and the credit spread adjustment, in that order.
The two market-behavior guides are best read last, because they assume you know what SOFR measures. They explain prints that look wrong at first sight: a secured rate above an unsecured one, or a quarter-end jump with no Fed decision behind it. Keep the glossary open alongside any of them.