SECURED OVERNIGHT FINANCING RATE (SOFR) - FORECAST CHART

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    VARIABLE DESCRIPTION

    This page provides monthly averages and forward projections of the Secured Overnight Financing Rate (SOFR) — the volume-weighted median rate on overnight Treasury-collateralised repo transactions collected and published each U.S. business day by the New York Fed. Launched in April 2018, SOFR has replaced USD LIBOR as the core risk-free rate for dollar-denominated derivatives and floating-rate instruments.

    All historical entries and forecasts on this page reflect simple monthly averages of the daily fixings.

    PRIMARY FORECAST MODEL

    Our market-implied forecast is a daily-updated forecast of key benchmark rates. It is generated primarily using yield data and futures market prices, using minimal theoretical assumptions. Forecasts can be interpreted as the median expectation of market participants.

    The SOFR component of the forecast reflects overnight rates and is extracted from SOFR futures with 1 and 3-month tenors and a model derived term premium. See the riskless rate extraction process in the model documentation for details.

    While the model prioritizes consistency with market expectations, its forecast accuracy has historically exceeded that of survey and agency-based forecasts due to its higher update frequency and timeliness. Prior forecast values are available below for transparency.

    Updates post daily at 9:35 ET, using prior-day settlement data.

    ALTERNATE FORECASTS

    Other forecasts included on this page:

    1. Wells Fargo's U.S. Economic Outlook