Updates To The SOFR Calculation Methodology In The DVP Segment

As of November 25, 2024, the Federal Reserve Bank of New York ("New York Fed"), as administrator of the Secured Overnight Financing Rate ("SOFR"), began publishing SOFR using a modified SOFR calculation methodology. The modifications to the SOFR calculations pertain to affiliated institutions and "specials" transactions within the centrally cleared Delivery-versus-Payment ("DVP") segment of the repo market, which is the largest of the three market segments incorporated into the daily calculation of SOFR. The modifications will not alter SOFR publications prior to November 25, 2024. Additionally, the modified SOFR calculation methodology has been applied to historical data and does not result in notable changes in transaction volumes or rates.