Federal Reserve Bank of New York web page provides some information on the computation of the SOFR rate.
According to this webpage, the SOFR is calculated as the volume-weighted median:
"The SOFR, the BGCR, and the TGCR are each calculated as a volume-weighted median, which is the rate associated with transactions at the 50th percentile of transaction volume. Specifically, the volume-weighted median rate is calculated by ordering the transactions from lowest to highest rate, taking the cumulative sum of volumes of these transactions, and identifying the rate associated with the trades at the 50th percentile of dollar volume. At publication, the volume-weighted median is rounded to the nearest basis point."
Question 1: What does exactly "a volume-weighted median" mean?
According to the webpage presented at the begining of my post:
"DVP repo transactions with rates below the 25th volume-weighted percentile rate are removed from the distribution of DVP repo data each day."
Question 2: What does exactly "25th volume-weighted percentile" mean?