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.

DateClose
01/07/20210.05
30/06/20210.05
29/06/20210.05
28/06/20210.05
25/06/20210.05
24/06/20210.05
23/06/20210.05
22/06/20210.05
21/06/20210.05
18/06/20210.05

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.

idvarSep-21Dec-21Mar-22Jun-22Sep-22Dec-22Mar-23Jun-23Sep-23Dec-23Mar-24Jun-24
2USD SOFR0.0500.0600.0850.1600.2550.3650.4900.6200.7600.9001.0201.140

SOFR Futures implied rates Delta

idvar21-Sep21-Dec22-Mar22-Jun22-Sep22-Dec23-Mar23-Jun23-Sep23-Dec24-Mar24-Jun
2USD SOFR0.0000.000-0.0050.005-0.0050.0000.0200.0250.0200.0300.0450.050
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