SOFR in 2022

From 0.05% to 4.30% in seven steps

SOFR printed 0.05% on January 3, 2022 and 4.30% on December 30. Between those dates the federal funds target range rose seven times, from 0%–0.25% to 4.25%–4.50%, a cumulative 425 bp. Before the first increase SOFR spent 51 business days at 0.04% or 0.05%; the year's low, 0.04%, first printed on January 20 and recurred on four more days, the last of them February 9.

The table lists each change by the first date EFFR was published inside the new range, which is how the New York Fed data mark it. Those are effective dates, not the dates of the FOMC announcements.

The seven effective-date moves in SOFR add up to exactly 425 bp, the same as the change in the range. Four of them, on June 16, July 28, September 22 and November 3, are among the ten largest daily moves since SOFR publication began in 2018. December 15 also produced the year's high, 4.32%.

Sixteen days below the floor

SOFR normally prints inside the target range. In 2022 it fell below the lower bound on 16 days, the only such days in the entire series through October 2026:

• June 13–15: 0.69% to 0.73% against a floor of 0.75%.
• June 16–24: 1.44% to 1.46% against a floor of 1.50%.
• September 22–30: 2.96% to 2.99% against a floor of 3.00%.

June was also when SOFR sat furthest below EFFR: 13 to 14 bp lower on each business day from June 14 to June 23. Across the whole year SOFR was below EFFR on all 249 days, by 4.5 bp on average. The benchmarks page tracks that spread through to the latest data.

The shortfall was not confined to SOFR's DVP segment. On all 16 days the 25th percentile of SOFR volume was also below the floor, by 3 to 8 bp, and on 15 of them so was the tri-party rate: TGCR printed 0.73% on June 14 and 15, 1.45% to 1.46% from June 16 to 24 and 2.97% to 2.99% from September 22 to 30. EFFR, by contrast, stayed 8 bp above the lower bound on every one of those days, at 0.83%, 1.58% and 3.08%. The data show where repo traded; they do not by themselves say why cash was offered below the bottom of the range.

Reading the averages

The 2022 mean of 1.636% describes a year that never stayed at any level for long. The median print was 1.52%, lower than the mean because the hikes were back-loaded: 114 of the 249 observations were below 1%, and SOFR did not reach 1.52% until June 28. At the other end, 107 prints were at or above 2.25%, so the year split into a low-rate half and a high-rate half with little time in between. For accrual, the SOFR Index is more useful. It rose from 1.04238518 on January 3, 2022 to 1.06018323 on January 3, 2023. That is 1.70744% compounded over 365 days, or 1.684% annualized on an actual/360 basis. Measured the same way, about four-fifths of it accrued after August 1, when SOFR was at or above 2.25%: the index grew 1.36% from August 1 to year-end and 0.34% before that. A rate-shock calculation on a floating-rate balance shows the same effect from the borrower's side.

The day with the widest distribution was July 28, when the 1st and 99th percentile rates were 1.55% and 2.45%. Volume averaged $968 billion a day, 6.8% more than in 2021, and reached $1,174 billion on December 1. December's daily average was $1,065 billion, the highest of the year.

Data and legal changes during the year

• January 24. The New York Fed's methodology page says that before this date some of the transaction data behind the rates came from DTCC Solutions LLC, under a commercial agreement.
• March 15. Congress enacted the Adjustable Interest Rate (LIBOR) Act. SOFR was 0.05% that day.
• May 19. The ARRC endorsed the 12-month CME Term SOFR rate.
• December 16. The Federal Reserve Board adopted its final rule implementing the LIBOR Act.

The transition guide explains what those steps meant for legacy contracts.

Charts and tables

Monthly summary

Daily observations