SOFR rates

SOFR is the daily interest rate based on transactions in the treasury repo market, where investors offer banks overnight loans backed by bonds. The secured overnight financing rate (SOFR) is published by the New York Fed and will replace the USD LIBOR as the reference rate for any floating rate loans.

Date Close
05/05/2022 0.79
04/05/2022 0.3
03/05/2022 0.3
02/05/2022 0.3
29/04/2022 0.28
28/04/2022 0.28
27/04/2022 0.28
26/04/2022 0.27
25/04/2022 0.27
22/04/2022 0.27

SOFR Futures implied rates

The Secured Overnight Financing Rate (SOFR) forward curve represents the implied forward rate based on SOFR futures contracts. SOFR is an overnight rate.

id var Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mar-23 Jun-23 Sep-23 Dec-23 Mar-24 Jun-24
2 USD SOFR 0.050 0.060 0.085 0.160 0.255 0.365 0.490 0.620 0.760 0.900 1.020 1.140

SOFR Futures implied rates Delta

id var 21-Sep 21-Dec 22-Mar 22-Jun 22-Sep 22-Dec 23-Mar 23-Jun 23-Sep 23-Dec 24-Mar 24-Jun
2 USD SOFR 0.000 0.000 -0.005 0.005 -0.005 0.000 0.020 0.025 0.020 0.030 0.045 0.050