Both statements made by Paul Shawn are indeed accurate.

Statement I is true: The Secured Overnight Financing Rate (SOFR) is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. It is indeed the overnight repo rate for loans and derivatives denominated in the US dollar. Repos, or repurchase agreements, are a form of short-term borrowing mainly in government securities. The dealer sells the government securities to investors, usually on an overnight basis, and buys them back the following day. The SOFR is based on actual transactions in the Treasury repurchase market, where investors offer banks overnight loans backed by their bond assets.

Statement II is true: To settle the three-month futures, the rate that would have been earned over the past three months is calculated by rolling an investment forward day-by-day at the SOFR rate. This is a common practice in the financial markets, especially in the context of futures contracts. A futures contract is a legal agreement to buy or sell a particular commodity or asset at a predetermined price at a specified time in the future. The futures price is determined by the spot price and the interest rate. Therefore, the SOFR rate, being an overnight rate, is used to roll forward the investment day-by-day to calculate the rate that would have been earned over the past three months.