Accessible Version
Historical Proxies for the Secured Overnight Financing Rate Accessible Data
Figure 1: Overnight Treasury Repo Rates
This figure is a line chart of daily data that shows DTCC's GCF rate, the ICAP brokered repo rate, the Secured Overnight Financing Rate (SOFR), the Primary Dealer Survey Treasury GC Repo rate, the Tri-party General Collateral rate, the BNY Mellon Treasury Tri-Party Repo Index from August 2014 to February 2018. All six series move closely together over time and trend higher over the period, taking sequential incremental steps up (in line with the FOMC's policy decisions over this period). The DTCC GCF rate and ICAP brokered rate are typically somewhat higher than the Tri-party General Collateral rate and the BNY Mellon Treasury Tri-Party Repo Index, while SOFR and the Primary Dealer Survey rate generally lie in the middle of the range of rates with SOFR generally a bit higher than the Primary Dealer Survey rate.
Source: Bank of New York Mellon; Bloomberg; DTCC Solutions LLC, an affiliate of The Depository Trust & Clearing Corporation; Federal Reserve Bank of New York.
Figure 2: GCF - BNY Mellon Treasury Tri-Party Repo Index Spread
This figure is a line chart of daily data that shows spread between the DTCC GCF rate and the BNY Mellon Treasury Tri-Party Repo Index from August 2012 to August 2018 along with two lines indicating the average of this spread between 2012-2014 and between 2015-2018. The spread is positive and shows some volatility on a daily basis, but a clear jump in the average from about 4 basis points between 2012 and 2014 to a higher 12 basis points between 2015-2019.
Source: Bank of New York Mellon; DTCC Solutions LLC, an affiliate of The Depository Trust & Clearing Corporation.
Figure 3: SOFR and its Fitted Value
This figure is a line chart of daily data that shows the SOFR rate and the fitted value for the SOFR rate based on the simple regression discussed in the Note from August 2014 to August 2017. The two series move together over time and trend higher over the period, taking sequential incremental steps up (in line with the FOMC's policy decisions over this period). The two rates exhibit some day-to-day volatility but move very closely together even on a day-to-day basis.
Source: Author's calculations using data data from DTCC Solutions LLC, an affiliate of The Depository Trust & Clearing Corporation, and the Federal Reserve Bank of New York.
Figure 4: PD Survey Rate versus Fitted SOFR
This figure is a line chart of daily data that shows the Primary Dealer Survey rate at the fitted value from the simple regression discussed in the note from 2004 to 2017. The two series move very closely together on a day-to-day basis, rising from 2004 through 2006 and then falling close to zero between 2007 and 2009 and then remaining positive but near zero until beginning to gradually rise in 2015.
Source: Author's calculations using Federal Reserve Bank of New York data.
Figure 5: Quarterly Compounded EFFR and SOFR/P.D. Survey Data
This figure is a line chart of daily data that shows rolling 3-month averages of SOFR and the effective federal funds rate (EFFR). The two series move smoothly through time and move very closely together over time. The two series rise 1999 to 2000 and then decline from close to 7 percent to about 1 percent between 2000 and 2004 from 2004 before rising again to a bit above 5 percent through 2006. The two series then fall close to zero between 2007 and 2009 and then remain positive but near zero until beginning to gradually rise in 2015.
Source: FRBNY; Federal Reserve Board staff calculations.
Figure 6: Comparing an Indicative SOFR Term Rate to EFFR OIS
This figure is a line chart of daily data showing a 3-month indicative SOFR forward looking term rate and a 3-month EFFR OIS rate from June 2018 to March 2019. The two series move together and trend upward, starting at about 1.9 percent and ending at about 2.3 percent, with only modest day-to-day volatility.
Source: Bloomberg; Heitfield and Park (2019).