Indicative Forward-Looking SOFR Term Rates Accessible Data
Figure 1: Average daily trading volume in CME SOFR futures contracts
This figure is an area chart that shows the trading volume of 1-month and 3-month CME SOFR futures contracts from May 1, 2018 to January 1, 2019. Both series fluctuate but trend upward over time.
Source: Authors’ calculations using Refinitiv data.
Figure 2: Secured Overnight Financing Rate and Effective Federal Funds Rate over time
This figure is a line chart that shows the Secured Overnight Financing Rate (SOFR) and the Effective Federal Funds Rate (EFFR) from January 2015 to February 2019. Both series are similar and increase by discrete jumps periodically. The SOFR series is somewhat more volatile than the EFFR series.
Source: Federal Reserve Board, Federal Reserve Bank of New York.
Figure 3: Forward-looking SOFR term rates over time
This figure is a line graph which shows the SOFR rate and one-month, three-month, and six-month SOFR term rates from June 2018 to February 2019. All series trend upward over time. The overnight SOFR series is considerably more volatile than the three term-rate series.
Source: Authors’ calculations using Refinitiv and Federal Reserve Bank of New York data.
Figure 4: SOFR, OIS, and LIBOR term rates over time
This figure consists of three panels labelled one-month, three-month, and six-month. Each panel is a line chart that show a term SOFR rate, a federal funds OIS rate, and a LIBOR rate of a given tenor from June 2018 to February 2019. On each graph, the overnight EFFR is also shown. All series trend upward over time. The SOFR term rate series are very similar to the OIS series and lie below the LIBOR rates.
Source: Federal Reserve Board and authors’ calculations using Refinitiv and Federal Reserve Bank of New York data.