About the Rate: SOFR Features and Mechanics

• To be published by the Federal Reserve Bank of New York and the U.S. Office of Financial Research beginning on April 3, 2018.
• Underpinned by the U.S. Treasury overnight repurchase (repo) market, for which the pool of eligible transactions is ~$800 billion per day**
• Calculated as a transaction-volume-weighted median repo rate
• Data to be sourced from tri-party repo data from Bank of New York Mellon (BNYM), and cleared bilateral and GCF Repo data from the Depository Trust & Clearing Corporation (DTCC)