SOFR–EFFR Spread
SOFR minus EFFR, in basis points: a same-date comparison of secured Treasury repo funding with unsecured federal funds.
SOFR is a transaction-based secured overnight rate backed by Treasury collateral. EFFR is the volume-weighted median rate on unsecured overnight federal-funds transactions. The SOFR–EFFR spread is therefore 100 × (SOFR − EFFR), using observations from the same date.
How it is calculated
SOFR-EFFR spread in basis points = 100 × (secured overnight financing rate − effective fed funds rate)
Definition
SOFR is a transaction-based secured overnight rate backed by Treasury collateral. EFFR is the volume-weighted median rate on unsecured overnight federal-funds transactions. The SOFR–EFFR spread is therefore 100 × (SOFR − EFFR), using observations from the same date.
OIS is a derivatives curve tied to compounded overnight rates; it is not interchangeable with EFFR. A SOFR–OIS basis answers a different question and must be matched by tenor and convention.
Public research record
Research framework · page evidenceCompleted application: SOFR–EFFR Spread
A positive move can reflect Treasury collateral supply, dealer balance-sheet limits, settlement pressure, or reserve scarcity. The spread identifies a funding-market condition; it does not by itself prove which mechanism caused it.
| Type | Claim | Scope |
|---|---|---|
| Release fact | SOFR minus EFFR, in basis points: a same-date comparison of secured Treasury repo funding with unsecured federal funds. | Rates |
| Calculation | On September 17, 2019, the New York Fed published SOFR at 5.25% and EFFR at 2.30%. The same-date spread was 295 basis points: 100 × (5.25 − 2.30). | Worked example |
Countercase, invalidators, and sources
The relationship is conditional: another driver can dominate the same asset over the selected horizon.
- · The underlying observation changes materially.
- · The selected asset has no measurable exposure to this mechanism.
Why it matters
A positive move can reflect Treasury collateral supply, dealer balance-sheet limits, settlement pressure, or reserve scarcity. The spread identifies a funding-market condition; it does not by itself prove which mechanism caused it.
Worked example
On September 17, 2019, the New York Fed published SOFR at 5.25% and EFFR at 2.30%. The same-date spread was 295 basis points: 100 × (5.25 − 2.30).