SOFR history: 2018

The official SOFR record starts partway through the year. The New York Fed began publishing SOFR, BGCR and TGCR on April 3, 2018, and that first release carried the rate for value date April 2: 1.80%, on $849 billion of Treasury repo. The longer series the New York Fed released for August 2014 through March 2018 is indicative, not official, so 2018 holds only 188 published observations. The opening print sat above the 1.50%–1.75% federal funds target range, something that happened on 23 days in 2018, while SOFR never once printed below the range floor. April 2 is also the base date of the SOFR Index, set to 1.00000000, although the Index itself was not published until 2020.

Policy moved in one direction. The target range reported alongside EFFR rose by 25 bp three times: to 1.75%–2.00% from June 14, to 2.00%–2.25% from September 27 and to 2.25%–2.50% from December 20 (these are the first EFFR dates in each range, not FOMC announcement days). SOFR rose 19 bp, 24 bp and 11 bp on those dates. The December step was the smallest because SOFR had already climbed to 2.31%, 2.32% and 2.30% on December 17–19, above the old 2.25% ceiling. The year's low was 1.65% on May 22; the mean was 1.979% and the median 1.925%.

Quarter-ends did most of the damage. Measured against the average of the five business days before, June 29 printed 20.8 bp higher at 2.12% and December 31 printed 57.0 bp higher at 3.00%. September 28 does not fit that measure: its five-day comparison, 27.4 bp, mostly reflects the September 27 hike, so the cleaner reading is that the 2.25% quarter-end print sat 9 bp above the 2.16% of the first day in the new range. The other six month-ends ran between 2.8 bp and 9.4 bp above their prior five days. December 31 was the year's high, its largest daily move (up 54 bp from 2.46%) and its heaviest volume at $1,000 billion; the 99th-percentile trade that day cleared at 6.25%, and SOFR finished 60 bp above EFFR's 2.40%. Volume does not always rise with the rate, though: June 29 had the lowest volume of the year, $702 billion. For how these patterns compare with later years, see SOFR spikes and month-end effects.

The market around the rate was being built in parallel. Under the ARRC's Paced Transition Plan, CME launched one-month and three-month SOFR futures on May 7, 2018, and LCH cleared its first SOFR swap on July 18, 2018. Average daily SOFR volume rose from $777.2 billion in the second quarter to $859.0 billion in the fourth. The year handed a 3.00% print into January, and the first business day of 2019 came in higher still. To pull any single 2018 date, use the SOFR history lookup; the full sequence of ranges is on the federal funds target range page.

Reading the 2018 tables

The daily table at the bottom lists each published print with its change from the previous business day, the 1st–99th percentile band and the day's volume. The percentiles come from the same volume-weighted ranking the New York Fed uses for the median: the 1st-percentile figure is the rate below which the cheapest 1% of dollar volume traded, and the 99th-percentile figure the rate above which only the most expensive 1% traded. On a typical 2018 day the band was narrow, with a median width of 17 bp.

December 31 shows what the column is for. The median was 3.00% and the middle half of volume traded between 2.95% and 3.20%, but the 99th percentile reached 6.25%, a band 355 bp wide. The headline rate says little about how expensive the costliest year-end cash was. The second-widest band of the year was on the first value date, April 2, at 100 bp (1.25% to 2.25%). The monthly table averages the daily volume figures, which the New York Fed rounds to the nearest $1 billion.

SOFR against EFFR and TGCR

Secured overnight funding usually cost more than unsecured funding in 2018. SOFR printed above EFFR on 112 of its 188 days, below it on 54 and level on 22. It averaged 2.4 bp above EFFR, with a range from 5 bp below to the 60 bp above of December 31. Use the benchmarks page to compare the series over later years.

Against TGCR the gap ran one way. TGCR covers tri-party general collateral repo only; SOFR adds bilateral trades cleared through FICC's DVP service. In 2018 SOFR never printed below TGCR, averaged 2.5 bp above it and peaked at 7 bp over it on April 16. The quarter-ends barely moved that spread: SOFR stood 2 bp over TGCR on June 29, 1 bp on September 28 and 5 bp on December 31, when TGCR itself jumped 50 bp to 2.95%. The year-end pressure was in tri-party repo too, not only in the cleared bilateral segment. BGCR, which adds GCF Repo trades to TGCR, matched TGCR on all but three days.

SOFR and the target range in 2018

2018 summary statistics

SOFR by month, April–December 2018

Every 2018 observation

Related tools and guides

• SOFR historyEvery SOFR observation since April 2018, summarized by year with links to daily tables.
• SOFR in 2019Daily SOFR observations, monthly summary and Fed moves for 2019.
• Fed target range historyEvery federal funds target range since 2018 and where SOFR traded inside or outside it.
• SOFR spikes and month-endSeptember 2019, March 2020 and the recurring month-end and quarter-end moves in SOFR.
• SOFR history lookupPull SOFR for any date range with statistics, a chart and CSV export.
• What is SOFR?What the Secured Overnight Financing Rate measures, who publishes it and where it is used.
• SOFR percentiles & volumeDaily transaction volume and the 1st–99th percentile distribution behind each SOFR print.