Presentation, with underlying data, delivered by Joshua Frost, senior vice president, Federal Reserve Bank of New York, at the Alternative Reference Rates Committee (ARRC) Roundtable held on November 2, 2017.
Introducing the Secured Overnight Financing Rate (SOFR)
May 4, 2018: The above data represent a more complete set of indicative rate and volume data for the Tri-Party General Collateral Rate, Broad General Collateral Rate and Secured Overnight Financing Rate than was available at the initial time of publication. Of note, it includes revisions to the bilateral repo transaction data (see Desk statement on 4/16/18 for more information) as well as updated three-month geometric averages of the three rates that more closely align with settlement conventions for USD OIS. These changes did not alter the author’s conclusions.