Home Products USD – SOFR Indicative Rate Service

USD – SOFR Indicative Rate Service

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

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SUMMARY

Monitor trends and track stress indicators with the TraditionData SOFR Indicative Rate Service.

The SOFR Indicative Rate Service combines market leading general collateral repo trade and volume data sourced from our number one inter-dealer brokerage desk with anonymized tri-party repo trade and volume data from BNY Mellon.

By taking incoming data from both Tradition and BNY Mellon, and using a proprietary methodology, we produce a volume-weighted median repo rate throughout the day which informs our clients of where SOFR will fix the following day.

The industry in the US is at a critical juncture in the move from LIBOR to SOFR, the leading alternative benchmark, with a deadline of 30^th June 2023. The ability to offer indicative rate data to financial market participants will help facilitate a more seamless transition, as well as improve marketplace efficiency and transparency.

Related products

Americas – IBOR Transition CAD – CORRA

USD – AMERIBOR USD – SOFR

Key stats

350

days of data since launch

0.003

average deviation to the Fed’s SOFR data

data sources

450

combined cumulative volume of sourced SOFR Indicative data

BENEFITS

Key benefits of the TraditionData SOFR Indicative Rate service:

Market relevance -This rate form the benchmark interest rate for dollar-denominated derivatives and loans around the world.

Market insight – Every day at 8am the NY Fed publishes the SOFR rate by calculating the volume-weighted median (50th percentile) of transactions in three overnight US Treasury repo markets: Tri-party Repo cleared through BNYM, General Collateral Finance (GCF) Repo cleared through FICC, and Bilateral Repo (DVP).

Delivery channels & frequency – The indicative SOFR rate is available directly from TraditionData and AWS Data Exchange. Shortly it will also be available through
BNYM’s Marketplace. The rate is available throughout the day on an hourly snap basis and as an end-of-day rate at 4:30pm.

Value experienced – Our SOFR Indicative Rate Service helps inform your decision making whether you participate directly in the overnight repo market or you leverage financial instruments where SOFR is used in determining the amount of interest paid.

“SOFR is here, and it is here to stay. We are acutely aware of the significance of this and the requirement for high quality data services around it. This new development from our data product team will provide a valuable insight during the trading day as to where SOFR is likely to fix tomorrow. In addition, this intra-day service will allow the global trading community to monitor trends and track stress indicators.”

Scott Fitzpatrick, Global Head of TraditionData

USD – SOFR

TraditionData’s SOFR packages provide the most robust, comprehensive and accurate view of the American Markets.