SOFR (Secured Overnight Financing Rate)
The US dollar risk-free rate based on overnight Treasury repo transactions, replacing LIBOR since 2023.
SOFR is published daily by the Federal Reserve Bank of New York. It reflects the cost of borrowing cash overnight collateralized by US Treasury securities. SOFR replaced USD LIBOR on June 30, 2023. In derivatives: SOFR OIS (Overnight Index Swaps) are used to construct the risk-free zero curve for discounting. SOFR-based forward rates differ from LIBOR-based rates because SOFR lacks a credit premium — it is truly risk-free.