This SOFR Calculator has been established as a service to LSTA Members to calculate the average Secured Overnight Floating Rate (“SOFR”) for a given period of time. The Calculator provides a user with an average SOFR for use in calculating “cost of carry” in accordance with LSTA practices.

The average SOFR generated by the Calculator satisfies the “Cost of Carry Rate” that is set forth in the LSTA Standard Terms and Conditions for Primary Allocations, Par/Near Par Trade and Distressed Trade Confirmations, as revised from time to time.

The Cost of Carry Rate for the Delay Period means (i) (a) the sum of all the individual daily SOFRs for each day in the period from (and including) the date two (2) Business Days before the Commencement Date and to (but excluding) the date that is two (2) Business Days before the Delayed Settlement Date divided by the total number of days in such period plus (ii) a spread adjustment equal to 11.448 basis points.

When performing a SOFR search, enter the Commencement Date as the “Start Date” and enter the Delayed Settlement Date as the “End Date.” The platform is programmed to account for the lookback days.  After the user inputs the date range, the Calculator will calculate the respective average SOFR.

We hope that this SOFR Calculator will facilitate trade settlement. If you have any questions, please go to our FAQs.