SOFR–EFFR Spread
What is SOFR–EFFR Spread?
The SOFR–EFFR spread is the Secured Overnight Financing Rate minus the Effective Federal Funds Rate. It compares the cost of collateralized overnight repo borrowing to unsecured interbank borrowing.
Why it matters
A persistently positive SOFR–EFFR spread is one of the earliest signals of funding-market stress: dealers paying up for repo while unsecured rates stay anchored signals collateral scarcity, year-end balance-sheet constraints, or reserve drainage.
How to read prints
When it rises
Repo trading rich to fed funds; funding stress, collateral scarcity.
When it falls
Repo at or below fed funds; ample reserves and collateral.
Frequently asked
What is the SOFR–EFFR spread?⌄
Why does the spread widen?⌄
What level signals stress?⌄
How does this relate to the standing repo facility?⌄
Track it on Market Ontology
Monitor SOFR–EFFR Spread in real time on Liquidity Regime, alongside regime classification, transmission mapping, and cross-asset context.
| Source | Calculated (NY Fed) |
| Frequency | Daily |
| Category | Money Markets |
| FRED Series | SOFR |
| Unit | bp |
| Related Module | Liquidity Regime |
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