New York Fed’s SOFR Tweaks Seek ‘Cleaner Read’ as Market Evolves

The Federal Reserve Bank of New York is rolling out changes to a key benchmark tied to repurchase agreements next month aimed at ensuring the rate remains robust as the market for overnight lending shifts to more central clearing.

Beginning Nov. 25, calculation of the Secured Overnight Financing Rate, or SOFR, will be modified by removing transactions between affiliated institutions when relevant, while the influence of so-called “specials” transactions — repo trades that command a premium relative to the general collateral rate — will be adjusted to “eliminate day-to-day variability,” the New York Fed said in a statement Wednesday. ...