Calculator
SOFR overnight compounding & carry calculator
Wholesale USD funding and floating-rate notes compound the Secured Overnight Financing Rate (SOFR) daily in arrears over an observation period using an ACT/360 day count. This calculator computes compounded SOFR, all-in financing cost and net carry against a target asset yield.
Compounded SOFR + spread (ACT/360)
5.132%
5.306% effective annual (ACT/365)
- Accrued funding cost
- 128,307.13
- Net carry over horizon
- 6,076.43
- Positive carry
- Annualised net carry
- 24.6 bps
Formula
Compounded factor = (1 + (SOFR + spread) ÷ 360)^days − 1
Annualised SOFR (ACT/360) = Compounded factor × (360 ÷ days)
Net carry = Notional × Asset yield × (days ÷ 365) − Notional × Compounded factor
How to use it
Enter the notional position size, the overnight SOFR rate, any repo or financing spread in basis points, the asset yield you earn and the holding period in calendar days.
The calculator compounds daily on an ACT/360 money-market basis and compares funding cost with accrued asset income.
Assumptions and limits
- Uses a constant daily SOFR rate across the holding window; actual ARRC / ISDA settlements compound each business day’s published NY Fed fix with weekend weights.
- Ignores initial margin haircuts and intraday funding adjustments.
Common questions
Why does SOFR use ACT/360 instead of ACT/365?
US dollar money markets quote overnight repo and SOFR on an Actual/360 basis by convention. Over a 365-day calendar year, a 5.00% ACT/360 rate equates to roughly 5.07% on an ACT/365 basis before compounding.
What is positive vs negative carry?
Positive carry means the asset’s yield exceeds the compounded financing cost over the holding period; negative carry means you pay more to fund the position than the asset yields.
For education only, not investment advice. Results depend entirely on the inputs and assumptions above; check important numbers independently.