As of 24 October 2022, we have made a change to the calculation methodology of the SOFR Indicative Rate Service product. We have moved from a weighted average combination of the BNYM and TraditionDATA data set to a simple average combination.

Why are we doing this?

This change to the weighting methodology is better correlated to the current rate environment. As part of our internal model governance process, we conduct periodic model validation reviews of our price discovery and data generation analytics that serve our broking and data businesses. Given the ever-changing dynamics of markets, model validation techniques such as back testing, benchmarking and sensitivity analysis enable us to minimize model risk and to ensure that our analytics is best in class.

USD-SOFR Indicative rate service
Related Product

USD – SOFR Indicative Rate Service

A valuable insight during the trading day as to where SOFR will fix tomorrow.

Read more