SOFR glossary

This glossary defines the vocabulary a treasury or lending professional meets in SOFR term sheets, credit agreements, swap confirmations and New York Fed publications. Most entries fall into three groups: the repo market that SOFR is measured from (repo, tri-party, DVP, specials), the published rates and how they are built (SOFR, TGCR, BGCR, EFFR, the SOFR Averages and Index), and the contract mechanics that turn a daily rate into an interest payment (lookback, observation shift, lockout, floors, day counts and LIBOR fallbacks). Where a figure appears, it comes from the New York Fed data snapshot this site publishes, which runs through October 8, 2026.

Jump to: 0–9 · A · B · C · D · E · F · G · I · L · M · O · P · R · S · T · V · Rates compared

0–9

30/360

A day-count basis that treats every month as 30 days and the year as 360, so the year fraction depends on the calendar dates rather than the days elapsed. Under the U.S. (bond basis) variant, January 31 to July 31, 2026 counts as 180 days although 181 actual days pass. The New York Fed's SOFR compounding uses ACT/360 instead; compare the two in the day count calculator.

A

ACT/360

Actual calendar days in the period divided by 360. It is the basis the New York Fed uses to compound SOFR in the SOFR Averages and SOFR Index, and it makes a full year of interest slightly larger than the quoted rate: 365 days at 3.87% accrues 3.87% × 365/360 = 3.924% of principal.

ARRC (Alternative Reference Rates Committee)

The committee the Federal Reserve Board and the New York Fed convened in 2014 to identify a replacement for U.S. dollar LIBOR. On June 22, 2017 it selected a broad Treasury repo financing rate, later named SOFR, then published conventions and recommended fallback language for cash products. It was terminated in November 2023 after fulfilling its mandate; the LIBOR to SOFR transition guide follows its milestones.

B

Basis point (bp)

One hundredth of a percentage point: 0.25% is 25 bp, and a move from 3.87% to 3.62% is −25 bp. On $10,000,000 for 92 days at ACT/360, each basis point is worth $255.56 of interest and 25 bp is worth $6,388.89. The basis point calculator runs the same arithmetic for any balance and period.

BGCR (Broad General Collateral Rate)

A New York Fed reference rate covering every trade in TGCR plus GCF Repo trades, calculated as a volume-weighted median. It printed 3.85% for October 8, 2026; the benchmarks page sets it beside SOFR, TGCR and EFFR.

Business day (U.S. Government Securities Business Day)

In ARRC-recommended SOFR note terms, "any day except for a Saturday, a Sunday or a day on which the Securities Industry and Financial Markets Association recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S. government securities." SOFR is not published for SIFMA full-closure days, and the rate for the business day before a weekend or holiday is applied to every calendar day until the next business day, which is why a Friday print usually carries a weight of three.

C

Compounding in arrears

Building a period's rate by compounding each daily SOFR across the period, so the rate is known only at its end: rate = [Π(1 + SOFR_i × n_i/360) − 1] × 360/d, where n_i is the calendar days each print applies and d is the days in the period. From published SOFR Index values, the 92 days from July 1 to October 1, 2026 compound to 3.68470%, or $94,164.48 of interest on $10,000,000. Run any period in the compounded SOFR calculator, and see the conventions guide for how notice periods change the result.

Credit spread adjustment (CSA)

A fixed spread added to SOFR when a legacy USD LIBOR contract falls back, bridging the historical gap between LIBOR, an unsecured term rate, and SOFR, a secured overnight one. ISDA's method is the five-year median difference between each LIBOR tenor and SOFR compounded over that tenor, and the values were fixed on March 5, 2021, when ISDA treated the FCA and ICE Benchmark Administration announcements as an Index Cessation Event: 11.448 bp for 1-month and 26.161 bp for 3-month USD LIBOR. The credit spread adjustment guide lists every tenor.

D

Day count convention

The rule that converts a date range into the year fraction used to accrue interest. The choice alone matters: a 92-day period is 0.25556 of a year under ACT/360 but 0.25205 under ACT/365 Fixed, so ACT/360 produces about 1.4% more interest on the same rate. The day count calculator covers ACT/360, ACT/365F, 30/360, 30E/360 and ACT/ACT.

DVP repo

Bilateral Treasury repo cleared through FICC's Delivery-versus-Payment service, in which cash and securities settle simultaneously. It is the segment SOFR adds on top of BGCR, using data the New York Fed obtains from the OFR; how SOFR is calculated walks through each segment.

DVP trim

Each day, after excluding relevant trades between affiliates, the New York Fed removes the lowest-rate 20% of DVP transaction volume before computing SOFR, cutting trades at the 20th volume-weighted percentile pro rata. The trim removes "some (but not all)" specials.

E

EFFR (effective federal funds rate)

A volume-weighted median of overnight unsecured federal funds transactions reported on the FR 2420, published at about 9:00 a.m. ET for the prior business day. It printed 3.88% for October 8, 2026, against SOFR at 3.87%. SOFR averaged 4.5 bp below EFFR across 2022 and 3.0 bp above it across 2025; track the gap in the SOFR spread tracker and read why it moves in secured vs unsecured rates.

F

Fallback

Contract language naming the trigger events, replacement rate and spread adjustment that apply if the original benchmark stops or ceases to be representative. For USD LIBOR the triggers were permanent cessation or an FCA determination of non-representativeness, and the replacement came from ISDA's protocol for derivatives, ARRC-recommended clauses for many cash products, or Regulation ZZ where a contract had no workable fallback.

Fallback Rate (SOFR)

ISDA's all-in replacement for USD LIBOR in derivatives: SOFR compounded in arrears over the LIBOR tenor with a two-business-day backward shift, plus the fixed spread adjustment. Bloomberg Index Services Limited publishes it on a T+1 basis, because the compounding cannot finish until the tenor ends. The LIBOR fallback calculator rebuilds it from SOFR history.

Federal funds target range

The range the FOMC sets for the federal funds rate; EFFR is the market outcome measured against it, not the target itself. In the New York Fed's EFFR data the range moved from 3.50%–3.75% to 3.75%–4.00%, with September 17, 2026 the first EFFR date in the new range, and the latest range is 3.75%–4.00%. Every change since 2018 is on the Fed target range history page.

FICC (Fixed Income Clearing Corporation)

The clearing corporation whose Delivery-versus-Payment service supplies SOFR's DVP segment and whose GCF Repo trades are part of BGCR.

Floor

A minimum written into a loan, usually on the benchmark and sometimes on the all-in rate. SOFR printed 0.01% on 89 business days between March 24, 2020 and June 16, 2021, so a loan with a 0.50% SOFR floor accrued at 0.50% plus margin on every one of them. Check whether the floor applies to SOFR, to SOFR plus any CSA, or to the all-in rate. The floating-rate loan calculator applies it to SOFR or to the all-in rate; for a CSA-inclusive floor, enter SOFR plus the CSA as the benchmark.

FR 2420

The Federal Reserve's Report of Selected Money Market Rates, filed by domestic banks and U.S. branches and agencies of foreign banks. Its federal funds, Eurodollar and selected-deposit data are the inputs to EFFR and OBFR.

FRN (floating-rate note)

A bond whose coupon resets off a benchmark. The ARRC's August 2019 SOFR FRN conventions matrix set out three in-arrears structures: a lockout with a one-day lookback, a five-day lookback with no lockout, and a two-day backward-shifted observation period. In practice SOFR FRNs have tended to use lookbacks of 2–3 business days.

G

GCF Repo

FICC's General Collateral Finance repo, a centrally cleared market for general collateral trades between dealers. The New York Fed adds GCF Repo trades, with data from the OFR, to the tri-party trades in TGCR to form BGCR.

General collateral (GC)

Repo in which the cash lender accepts any security from a broad eligible set rather than one particular issue, so the rate reflects the price of cash rather than demand for a specific bond. TGCR and BGCR are general collateral rates; SOFR adds DVP trades, which include specials, and then trims the cheapest of them.

I

In advance

A rate fixed at the start of the interest period, so the payment is known from day one. Term SOFR and a SOFR Average observed before the period are the usual in-advance choices; the ARRC's user guide notes that the SOFR Averages "are more likely to be used in advance." The trade-off is that the rate reflects past SOFR or market expectations rather than the period actually accrued; Term SOFR vs overnight SOFR compares the approaches.

IORB (interest on reserve balances)

The rate the Federal Reserve pays depository institutions on balances held at Federal Reserve Banks, set administratively by the Fed rather than by trading. It is not part of this site's data snapshot; the Board publishes the current rate on its interest on reserve balances page.

IOSCO Principles

The International Organization of Securities Commissions' Principles for Financial Benchmarks, a standard for benchmark construction, governance and accountability. The ARRC used consistency with them as a selection criterion in 2017, and the New York Fed's Audit Group assesses annually that production of EFFR, OBFR, TGCR, BGCR and SOFR complies with the applicable sections.

ISDA

The International Swaps and Derivatives Association, which writes the standard definitions incorporated into interest rate derivative confirmations. Its IBOR Fallbacks Supplement, Supplement number 70 to the 2006 ISDA Definitions, built LIBOR fallbacks into new trades from January 25, 2021.

ISDA 2020 IBOR Fallbacks Protocol

The multilateral agreement through which adhering parties wrote ISDA's fallbacks into their legacy non-cleared derivatives with other adhering parties. It launched on October 23, 2020 with 257 participants who adhered during the pre-launch escrow period, and took effect on January 25, 2021.

L

LIBOR

The London Interbank Offered Rate, a family of rates for unsecured interbank funding, administered by ICE Benchmark Administration, that SOFR replaced in U.S. dollar contracts. U.S. regulators encouraged banks on November 30, 2020 to stop new USD LIBOR contracts by December 31, 2021; the 1-week and 2-month USD settings ended after that date and the overnight, 1-, 3-, 6- and 12-month panel settings after June 30, 2023. The transition guide has the full timeline.

LIBOR Act

The Adjustable Interest Rate (LIBOR) Act, enacted on March 15, 2022 as division U of Public Law 117-103 and codified at 12 U.S.C. 5801 et seq. It sets a uniform nationwide process for replacing USD LIBOR in existing contracts that lack a clearly defined or practicable replacement, and is implemented by Regulation ZZ.

LIBOR replacement date

Under Regulation ZZ, the first London banking day after June 30, 2023, which fell on Monday, July 3, 2023. From that date the Board-selected replacement rates applied in covered contracts.

Lockout (suspension period)

A convention that freezes the SOFR used for the last few days of an interest period at the rate observed a set number of days before the period ends, giving time to calculate the payment. The ARRC's user guide notes that 2–5 day lockouts have been used in some SOFR FRNs and that a lockout may not suit loans that can be repaid at any time.

Lookback

Each day in the interest period accrues the SOFR published for k business days earlier, while the day weights still come from the interest period itself. The ARRC's business-loan conventions contemplate a 5-business-day lookback without observation shift, while SOFR FRNs have tended to use 2–3 days; the conventions guide works an example of each.

M

Margin

The fixed spread over SOFR that prices the borrower's credit, quoted in percent or basis points, as in SOFR + 2.25%. It is separate from any credit spread adjustment, and documents differ on whether it is added to the compounded rate or to each daily rate, which do not give identical results. Floating-rate loans on SOFR covers how margin, floor and benchmark combine.

Month-end effect

The recurring rise in SOFR on the last business day of a month. Across the 102 complete months from April 2018 to September 2026, the month's final print exceeded the average of the five prior business days in 81 of them, by a median of 3.2 bp in those 81 months (2.1 bp across all 102); on December 31, 2018 the gap was 57 bp. A few large gaps coincide with a Fed rate change inside the five-day window, so read them with the target range history and SOFR spikes and month-end.

O

OBFR (Overnight Bank Funding Rate)

A New York Fed rate built from the same FR 2420 federal funds trades as EFFR plus certain overnight Eurodollar transactions and, since May 1, 2019, overnight "Selected Deposits." It was first published for March 1, 2016, is released at about 9:00 a.m. ET, and is revised whenever EFFR is.

Observation shift

A form of lookback in which the daily weights also come from the shifted observation period, so a long weekend inside the observation window, not the interest period, gets the multi-day weight. ISDA's fallback rate uses a two-business-day shift, and a rate computed from the SOFR Index between two shifted dates produces essentially the same result; the ARRC FRN matrix calls it a "two-day backward shifted observation period."

OFR (Office of Financial Research)

A U.S. Treasury office that cooperates with the New York Fed in producing TGCR, BGCR and SOFR. It supplies tri-party, GCF Repo and DVP transaction data, and the underlying data are collected partly under its authority.

OIS (overnight index swap)

A swap in which one side pays a fixed rate and the other pays an overnight rate compounded over each period, here SOFR. Standard SOFR OIS generally pay two days after the period ends (T+2), and cleared SOFR OIS began in July 2018, when LCH cleared its first SOFR swap on July 18.

ON RRP (overnight reverse repo facility)

The Federal Reserve facility through which the New York Fed's Open Market Trading Desk takes cash overnight from eligible counterparties, including money market funds, against Treasury collateral at a rate the FOMC sets. Trades with the Federal Reserve as counterparty are excluded from TGCR, and therefore from BGCR and SOFR; the New York Fed reports daily results on its reverse repo operations page.

Open repo

A repo with no fixed maturity that rolls until either side ends it. The New York Fed includes open trades in SOFR "to the extent possible" when their pricing resets daily, and excludes trades negotiated for forward settlement.

P

Paced Transition Plan

The ARRC's 2017 timetable for building SOFR markets. It ran from SOFR futures and uncleared OIS in May 2018 (CME listed 1- and 3-month SOFR futures on May 7, 2018) and cleared OIS in July 2018, through the switch of CME and LCH discounting and price alignment from EFFR to SOFR on October 16, 2020, to the ARRC's recommendation of CME Term SOFR on July 29, 2021.

Payment delay

Interest accrues exactly as in plain compounding in arrears, but the payment falls a fixed number of days after the period ends. It mirrors standard SOFR OIS, which settle two days after the end of the interest period (T+2).

Percentile

Alongside each rate the New York Fed publishes the 1st, 25th, 75th and 99th volume-weighted percentile rates, which show how widely the day's trades were spread. On Friday, September 13, 2019 they were 2.16%, 2.19%, 2.27% and 2.40% around SOFR of 2.20%; two business days later, on September 17, 2019, the 1st and 99th were 2.25% and 9.00% around a 5.25% SOFR. The percentiles and volume page charts the full history.

R

Regulation ZZ

The Federal Reserve Board's rule implementing the LIBOR Act, codified at 12 CFR part 253, adopted on December 16, 2022 and effective February 27, 2023. It selects ISDA's Fallback Rate (SOFR) for derivatives, the matching CME Term SOFR tenor plus a fixed spread for most non-consumer cash contracts (overnight LIBOR maps to SOFR + 0.00644%), and 30-day Average SOFR for most FHFA-regulated-entity contracts.

Repo (repurchase agreement)

A transaction in which one party sells securities and agrees to buy them back later at a higher price, which makes it economically a loan secured by those securities. The price difference, annualized, is the repo rate; SOFR measures it for overnight trades backed by Treasuries, as what is SOFR explains.

Reset date

The date on which a floating rate is set for the next interest period. With Term SOFR or a SOFR Average used in advance it falls at or before the period start; with compounding in arrears the rate is known only near the period end, earlier by any lookback or lockout. Project in-advance resets in the floating-rate loan calculator, and compute an in-arrears period, with any lookback, observation shift or lockout, in the compounded SOFR calculator.

Revision

A same-day correction of a published rate. The New York Fed may revise TGCR, BGCR or SOFR at about 2:30 p.m. ET, but only on the day of first publication and only if the rate changes by more than one basis point; the SOFR Averages and Index are revised only if that day's SOFR is revised or a calculation error is found.

S

SOFR (Secured Overnight Financing Rate)

In the New York Fed's words, "a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities," computed from tri-party, GCF Repo and DVP repo trades. Its first value date was April 2, 2018, and each rate is published at about 8:00 a.m. ET on the next business day. The latest print is 3.87% for October 8, 2026, on $2,963 billion of transactions; SOFR history holds every observation since launch.

SOFR Averages

The New York Fed's 30-, 90- and 180-day compounded averages of SOFR, published since March 2, 2020 and rounded to five decimal places. Each window starts exactly 30, 90 or 180 calendar days before the publication date; for October 9, 2026 they were 3.81569%, 3.70963% and 3.68823%. See SOFR Averages and Index for the history.

SOFR futures

CME's 1-month (SR1) and 3-month (SR3) futures contracts on SOFR, listed on May 7, 2018. CME Term SOFR is derived from trading in thirteen consecutive SR1 contracts and five consecutive quarterly SR3 contracts.

SOFR Index

The cumulative compounded value of one unit invested at SOFR since April 2, 2018, when it was set to 1.00000000, published to eight decimal places since March 2, 2020. The compounded rate between two dates is (Index_end ÷ Index_start − 1) × 360 ÷ days; the latest value is 1.26208139 for October 9, 2026. The SOFR Index calculator applies the formula, and SOFR Averages vs SOFR Index explains when to use which.

Specials

Repos for a specific security, which trade below general collateral rates because cash providers accept a lower return to obtain that particular issue. They pull SOFR down if left in, which is why the New York Fed trims the lowest-rate 20% of DVP volume each day.

Synthetic LIBOR

A non-representative version of the 1-, 3- and 6-month USD LIBOR settings that the FCA required ICE Benchmark Administration to publish after June 30, 2023, calculated as the relevant CME Term SOFR rate plus the ISDA fixed spread adjustment. New use was prohibited from July 1, 2023, legacy use was allowed in contracts other than cleared derivatives, and the last values were published on September 30, 2024.

T

Term SOFR

CME Group's forward-looking 1-, 3-, 6- and 12-month rates, derived from SOFR futures and published at 5:00 a.m. CT each day the New York Fed publishes SOFR; the ARRC recommended the first three tenors on July 29, 2021 and the 12-month on May 19, 2022. Using it in valuation, pricing or a service requires a CME licence (a borrower is not required to hold one merely by being party to a loan), so this site explains Term SOFR but does not display its values. The ARRC recommended limiting it mainly to business loans, certain securitizations and legacy LIBOR fallbacks; see Term SOFR vs overnight SOFR.

TGCR (Tri-Party General Collateral Rate)

The New York Fed's measure of overnight, specific-counterparty tri-party general collateral repo secured by Treasuries, centrally cleared or not, excluding trades with the Federal Reserve. It uses tri-party data from BNY and the OFR, and printed 3.85% for October 8, 2026. From January 2 through October 8, 2026, SOFR averaged 2.0 bp above TGCR and never printed below it.

Tough legacy contract

A LIBOR contract with no clearly defined or practicable replacement benchmark rate, which is the gap the LIBOR Act was written to fill. The LIBOR Act and Regulation ZZ supply a replacement for such U.S. contracts, and the FCA said synthetic LIBOR was intended for tough legacy contracts only.

Tri-party repo

Repo settled on a third-party agent's platform, which holds the collateral and handles settlement between cash lender and borrower; in the U.S. Treasury market the agent behind the TGCR data is BNY. The tri-party segment is the base layer of the New York Fed's rates: TGCR is computed from it, BGCR adds GCF Repo, and SOFR adds DVP.

V

Value date (effective date)

The date a SOFR print belongs to, which is the day the overnight trades were negotiated; publication follows on the next business day, so SOFR for October 8, 2026 was published on October 9. The SOFR Averages and Index carry a value date one business day after the last SOFR value date they include. Look up any value date in the SOFR history lookup.

Volume-weighted median

The rate at which half of the day's dollar volume traded at or below it, found by ordering trades by rate and cumulating volume to the 50th percentile; it is how TGCR, BGCR, SOFR, EFFR and OBFR are set, then rounded to the nearest basis point. In the New York Fed's example, $10 billion at each of 5, 10, 15 and 20 bp plus $60 billion at 25 bp gives a median of 25 bp, because the middle dollar sits in the 25 bp block. Through October 8, 2026, the highest daily SOFR volume was $3,508 billion, on January 2, 2026; how SOFR is calculated covers the steps.

The overnight rates compared

Five of the terms above are published rates that people often confuse. The New York Fed computes all five as volume-weighted medians, but from different markets and data. The latest column updates with this site's data snapshot.

Because each rate adds a segment to the one above it, the gaps between them say something specific: SOFR above TGCR means the GCF and DVP trades it adds were priced above tri-party general collateral, and SOFR against EFFR compares secured with unsecured overnight money. The SOFR spread tracker charts both gaps for any period.