Paper Title
Shedding Light on the Dynamics of the Secured Overnight Financing Rate (SOFR)

Abstract
Abstract - Motivated by the transition from LIBOR to SOFR and the documented volatility of SOFR, we examine the drivers of the SOFR rateby investigating both the SOFR–EFFR and SOFR–IOER spreads. We find that end-of-monthanomalies and Federal Reserve market interventions have a strong impact onthe SOFR rate. Investors in SOFR-linked instruments should be aware of Federal Reserve interventions. JEL Classification: G12 Keywords - Secured Overnight Financing Rate (SOFR), London Interbank Offered Rate (LIBOR), repurchase agreement (repo), effective Federal Funds rate (EFFR), interest on Excess Reserves (IOER).