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USD – SOFR & Daily SOFR

SOFR: An Alternative Reference Rate for the American Financial Markets.

What is the current SOFR rate? – Example Data

Tenor
Bid
Ask
1 Month
5.1303
5.1503
3 Month
5.2194
5.2394
6 Month
5.2295
5.2495
1 Year
4.9865
5.0065
As of 2023-06-02

The following 9 datasets are available for resale as part of the SOFR data package:

Dataset Description
Tenors
USD OIS SOFR (24hr curve)
O/N – 60Y
USD OIS SOFR vs Fed Fund
1Y – 50Y
USD OIS SOFR vs 1M LIBOR
3M – 30Y
USD OIS SOFR vs 3M LIBOR
6M – 50Y
USD Spread SOFR vs FOMC Dates
1st FOMC Meeting – 12th FOMC Meeting
USD OIS SOFR Treasury Spreads
2Y – 30Y
USD Spread SOFR Futures Unchanged
6M, 1Y, 2Y Curves
USD OIS SOFR Single Period Swaps
1M, 3M, 6M 12M Curves
USD OIS SOFR Butterfly Spreads
39 prices
SOFR data is available on Bloomberg under TIRS and Refinitiv under USDSROIS=TRDL.
SUMMARY

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

The Federal Reserve Bank of New York began publishing the Secured Overnight Financing Rate (SOFR) in April 2018.

What is SOFR?

SOFR emerged as a key alternative reference rate in the financial services industry, as the world moves 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 will be complete on 30th June 2024.

How is SOFR calculated?

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.

SOFR Packages from TraditionData

Our analytics team use Repo order and transaction data, sourced from our leading USD Repo business 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 days where demand for cash increases, producing a more robust forward looking curve.

Tradition dominated the Inter-Dealer Broker USD rates market in 2022 in terms of volume of trades. This means you can count on our data to provide the most robust, comprehensive and accurate view of the market through packages that best meet your needs.

Key stats

24
hour
updated SOFR curve
+
111
k
updates per hour
0N –
60
Y
tenors on SOFR curve
3
main offices
We continue to outperform our competitors. In 2022 Tradition represented 35% of all Inter-Dealer market activity in the USD rates market. This means you can count on our data to provide the most robust, comprehensive and accurate view of the market through packages that best meet your needs.
Jim Mahn, Global Head of Product
KEY FEATURES

SOFR can be used by financial services professionals in the following ways:

As a benchmark for financial products such as floating rate bonds, loans and derivatives

For risk management purposes, including the calculation of Value-at-Risk and other metrics

For benchmarking financial institutions’ own funding costs diversification: By using FX options, investors can diversify their portfolio by adding exposure to different currencies, which can help to reduce overall portfolio risk.

For compliance with regulatory requirements, such as the new Fundamental Review of the Trading Book (FRTB) rules

As a reference rate in contracts, including ISDA documentation, loan agreements and derivative contracts.

USD-SOFR Indicative rate service
Featured Product

USD – SOFR Indicative Rate Service

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

Read more
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