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.
Each colored line represents a forecast generated on a single date. Click a date on the chart legend to add or remove a forecast. The most recent forecast as well as the first forecast of each month are available.
The grey line shows realized (actual) values of the variable†.
† If the date is for the current period, this value represents an average of data available so far.
ROLLING PREDICTION HISTORIES
Pulling data...
Each colored line represents forecasts over time for a single target period. Click a date on the chart legend to change the target date. The most recent forecast as well as the first forecast of each month are available.
The grey line shows realized (actual) values of the variable. Thus, the difference between the grey line and the forecast line represents how much the variable is forecasted to change between the time the forecast was made and the target date. For forecasts whose target dates have already arrived, the ✕ indicator displays the realized value of the target forecast†.
† If the date is for the current period, this value represents an average of data available so far.