Throughout September ‘Tradition predictive overnight repo‘ (TPOR) continued to track the Federal Reserve’s SOFR extremely closely, recording a 99.9% correlation.

The predictive qualities of the dataset remained evident throughout the month, including several perfect matches. Overall, the September results demonstrate the consistency and accuracy of TPOR in anticipating movements in SOFR, even around a significant shift in the Federal Reserve’s policy rate.

Precision: The average Delta deviation from the actual SOFR print was approximately 0.4 bps during September.
Reliability: Three exact matches recorded, on September 10th, 15th, and 30th.
Edge: A proprietary methodology that turns trade data into actionable, forward-looking intelligence.

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Tradition predictive overnight repo

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

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