News
Energy & Commodities
End of day European Light End – Product enhancement
By Francesca Marrone
29 Nov 2024
Energy Market Overview: Oil Price Decline and Renewed Focus on Fossil Fuels
22 Nov 2024
FX & Money Markets
Post-Election Market Rally: USD Appreciation and Central Bank Rate Cuts
By Sal Provenzano
18 Nov 2024
Interest Rate Derivatives
Interest Rate Derivatives Updates: November 2024
By Jessica Kalaria
13 Nov 2024
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Complete the form below to access 30 days of historic SOFR data.
The TraditionData SOFR package is designed to meet the sophisticated users of professional users in financial markets.
Leverage robust SOFR data to structure cash products with confidence, supported by rates designed to perform consistently across diverse market conditions, including periods of low liquidity and negative rate environments.
Access rates grounded in actual transactions from a broad spectrum of market participants, ensuring they are truly representative of market dynamics and resistant to potential manipulation.
Our SOFR rates are derived through a transparent, methodologically sound calculation process that upholds the integrity of the yield curve, offering clarity and reliability for sophisticated financial applications.
Our in-house analytics team use Repo order and transaction data, sourced from our market-leading USD Repobusiness in New York, to create a forward prediction of the SOFR fixing.
In addition to the use of USD Repo data, we take into account events such as end-of-month corporate tax dayswhere demand for cash increases, producing a more robust forward looking curve.
Tradition has dominated the Inter-Dealer Broker USD rates market since 2022 in terms of volume of trades. Thismeans you can count on our data to provide the most robust, comprehensive and accurate view of the USDswaps.
The following 7 datasets are available for resale as part of the SOFR data package:
SOFR Data is available via direct feed from TraditionData, on Bloomberg under TIRS and through LSEG underUSDSROIS=TRDL.
SOFR emerged as a key alternative reference rate in the financial services industry, now that the world has moved away from the London Interbank Offered Rate (LIBOR). As an overnight rate, SOFR is based on transactions in the US dollar overnight repurchase agreement (repo) market, making it a highly reliable and transparent benchmark.
The transition from LIBOR to SOFR was completed on 30th June 2023. Read more on what SOFR is.
SOFR is calculated as the average of the overnight repo lending transactions secured by U.S. Treasury securities that are cleared through the Broad General Collateral Rate (BGCR) and reported by the New York Fed. The calculation is based on data submitted by various market participants, such as primary dealers and market makers, and is performed by the New York Federal Reserve Bank.
SOFR is published each business day at 8:00 a.m. Eastern Standard Time.
Data is derived directly from our leading desks located in New York, London and Tokyo.
Real-time, hourly and end-of day directly from TraditionData or via BBG (B-pipe and/or Data License (DL)) and LSEG (Real-time feed, DataScope Select (DSS) and/or Tick History).
Hourly Snaps: we snap the data 24hrs a day on the hour with some incremental snaps.
Yes, please contact us to request sample files.
Dependant on the currency and product, but in some cases we have 5+ years of historical data.
Data is provided in .csv format (comma separated values).
Ready to enhance your trading and risk management strategies? Request sample data, subscribe to our services, or contact us for more information.
