1. What is the LSTA Calculator?

The SOFR Calculator (the “Calculator”) is located on the LSTA website: (www.LSTA.org).  The 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 user inputs the date range, and the Calculator calculates the respective average SOFR.

2. Is the average SOFR generated by the Calculator calculated in accordance with the LSTA definition of “Cost of Carry Rate” outlined in the LSTA Standard Terms and Conditions for Primary Allocations, Par/Near Par Trade and Distressed Trade Confirmations (the “STCs”)?

Yes, 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 “STCs”).  LSTA Trade Confirms must support the trading of all syndicated loans.  As the USD loan market transitioned from utilizing LIBOR to the SOFR benchmark, it became evident that calculating cost of carry based on different underlying benchmarks would be cumbersome and suboptimal. Therefore, for trades entered into on and after December 1, 2021, the LSTA updated Section 6 of the STCs to have a single cost of carry calculation that utilizes one “Cost of Carry Rate”, including a static spread adjustment, regardless of the underlying benchmark or currency of the facility traded. Below please find the definition of “Cost of Carry Rate”.

Cost of Carry Rate means, for the Delay Period (i) (a) the sum of all the individual daily simple 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 (b) the total number of days in such period plus (ii) a spread adjustment equal to 11.448 basis points.

3. How is the average SOFR calculated, and what SOFR is used?

As required by the STCs, the LSTA Calculator uses the daily simple SOFR published by the New York Fed on the New York Fed website at approximately 8AM (ET) setting forth the rate for the prior Business Day. For any given period, the SOFR Calculator takes the arithmetic mean of the SOFR for each day in the period. For any day that the New York Fed does not publish a SOFR, the previous day’s rate is used. For example, SOFR is not published on weekends, so the rate for Saturday and Sunday is Friday’s rate. For any weekday holiday on which SOFR is not published, the last published SOFR is used for that day.

4. What date range should I use to calculate the Average SOFR?

The “Cost of Carry Rate” is calculated by taking the sum of the individual SOFRs in the period from (and including) the date two (2) Business Days before your Commencement Date and to (but excluding) the date that is two (2) Business Days before your Delayed Settlement Date, divided by the total number of days in this period. When using the Calculator, you should type in the following two dates: (1) the Commencement Date and (2) the Delayed Settlement Date. For example, if your Commencement Date is Thursday, April 7th and you are closing on Friday April 22nd, then input April 7th and April 22nd into the SOFR Calculator. The SOFR Calculator will generate average SOFR for April 5th through April 19th, per the definition in the STCs, as the sum of the individual SOFRs will be divided by the 15 days in this range. By entering the Purchase Price on the Commencement Date, the SOFR Calculator will automatically calculate the “Cost of Carry” amount.  It is worth noting that by looking back to access the daily rates, the date range that is used to calculate the average SOFR may not be the same as the number of days in the Delay Period.

5. How is SOFR produced and published?

The SOFR is published by the Federal Reserve Bank of New York (New York Fed) on https://www.newyorkfed.org/markets/reference-rates/sofr at approximately 8AM (ET). The SOFR is calculated as a volume-weighted median of transaction-level tri-party repo data collected from the Bank of New York Mellon as well as GCF Repo transaction data and data on bilateral Treasury repo transactions cleared through FICC’s DVP service, which is obtained from DTCC Solutions LLC, an affiliate of the Depository Trust & Clearing Corporation.

6. How is the “Cost of Carry”, referencing SOFR, calculated?

The “Cost of Carry” is calculated by multiplying the average SOFR for the stated period by the Purchase Price calculated on the Commencement Date, then multiplying this product by a fraction the numerator of which is the number of days in the Delay Period and the denominator of which is 360. For purposes of the Calculator, we assume that there have been no commitment decreases and that the Purchase Price on the Commencement Date remains unchanged as of the Delayed Settlement Date; otherwise, it would be necessary to adjust the “Cost of Carry” calculation per the STCs. The “Cost of Carry” is generated for informational purposes and each user should independently verify the actual Cost of Carry due under any particular transaction (see response 9 below).

7. What is the relationship between LSTA and the New York Fed?

The LSTA is not affiliated with the New York Fed. The New York Fed does not sanction, endorse, or recommend any products or services offered by the LSTA.

8. What is the required New York Fed Disclaimer?

THE SECURED OVERNIGHT FINANCING RATE IS SUBJECT TO THE TERMS OF USE POSTED AT NEWYORKFED.ORG. THE NEW YORK FED IS NOT RESPONSIBLE FOR PUBLICATION OF THE SECURED OVERNIGHT FINANCING RATE BY THE LSTA, DOES NOT SANCTION OR ENDORSE ANY PARTICULAR REPUBLICATION, AND HAS NO LIABILITY FOR YOUR USE.

9. What is the LSTA Disclaimer?

YOU UNDERSTAND, ACKNOWLEDGE AND AGREE, THAT USE OF THE SERVICES IS AT YOUR SOLE RISK; THAT THE SERVICES ARE PROVIDED “AS IS;” AND THAT, TO THE FULLEST EXTENT PERMISSIBLE BY LAW, THE LSTA DOES NOT WARRANT, AND EXPLICITLY DISCLAIMS ANY WARRANTY OR REPRESENTATIONS OF ANY KIND, EXPRESS, IMPLIED OR STATUTORY, REGARDING YOUR USE OF THE SERVICES, INCLUDING THE ACCURACY, COMPLETENESS, NON-INFRINGEMENT, TIMELINESS OR ANY OTHER CHARACTERISTIC OF THE SERVICE, OR THE RESULTS TO BE OBTAINED FROM THE USE OF THE SERVICE, OR THE FIGURE AT WHICH ANY CONTENT STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DAY OR OTHERWISE. ALL CONTENT CONTAINED WITHIN OR PRESENTED ON THE CALCULATIONS SHOULD BE CONSIDERED AS A REFERENCE ONLY.  SOME STATES DO NOT ALLOW THE EXCLUSION OF CERTAIN WARRANTIES.  IN THOSE STATES, THE LSTA’S WARRANTIES ARE LIMITED TO THE EXTENT PERMITTED BY LAW.

10. What is the LSTA limitation of liability?

THE LSTA SHALL NOT BE LIABLE, AND TO THE FULLEST EXTENT PERMISSIBLE BY LAW, HEREBY DISCLAIMS ALL LIABILITY, FOR ERRORS, INACCURACIES OR DELAYS IN THE SERVICE, OR FOR ANY ACTIONS TAKEN IN RELIANCE THEREON, OR FOR ANY LOSS OR DAMAGE THAT MAY RESULT FROM THE USE OF THE SERVICE. IN THE EVENT THAT LIABILITY IS NEVERTHELESS IMPOSED ON THE LSTA OR ITS PROVIDERS, IN NO EVENT SHALL THE MAXIMUM CUMULATIVE LIABILITY OF THE LSTA AND ITS PROVIDERS IN CONNECTION WITH THE SERVICE AND/OR THESE TERMS OF USE, REGARDLESS OF THE FORM(S) OF ACTION, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE, EXCEED ONE HUNDRED DOLLARS (US$100). NO ACTION, REGARDLESS OF FORM, ARISING FROM OR PERTAINING TO YOUR USE OF OR CONSEQUENTIAL BE BROUGHT BY YOU MORE THAN ONE (1) YEAR AFTER SUCH ACTION HAS ACCRUED.

THE LSTA AND ITS PROVIDERS SHALL NOT BE LIABLE TO YOU OR TO ANY OTHER ENTITY OR INDIVIDUAL, INCLUDING, BUT NOT LIMITED TO THE USER, FOR ANY LOSS OF PROFITS, REVENUES, TRADES OR DATA OR FOR ANY DAMAGE TO USER’S EQUIPMENT, OR FOR ANY INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR INCIDENTAL LOSS OR DAMAGE OF ANY NATURE ARISING FROM ANY CAUSE WHATSOEVER, EVEN IF THE LSTA AND/OR ITS PROVIDERS HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.

SOME STATES AND FOREIGN COUNTRIES DO NOT ALLOW LIMITATION OF LIABILITY FOR  CONSEQUENTIAL OR INCIDENTAL DAMAGES. THE LSTA’S LIABILITY IS LIMITED TO THE EXTENT PERMITTED BY LAW.

11. How much does it cost to use the Calculator?

The Calculator is complimentary for LSTA members. If you do not have a login and your firm is a member of the LSTA, please contact us and one will be created for you.

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