The Secured Overnight Financing Rate (SOFR) is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities.
The dataset represents the historical term-structure for SOFR, including the boot-strapped term-structure of zero-rate curve interpolated to standard offset points.
This dataset is used for computing initial margins for Interest Rate Swap referencing USD-SOFR-OIS-COMPOUND as floating index. The curve is used for forecasting the SOFR OIS index rate as well as discounting the cashflows for any swap referencing USD-SOFR-OIS-COMPOUND index.
There are 24 key tenors: 1D, 2D, 3D, 91D, 183D, 274D, 365D, 457D, 548D, 639D, 731D, 1096D, 1461D, 1826D, 2192D, 2557D, 2922D, 3287D, 3653D, 4383D, 5479D, 7305D, 9131D, 10958D.
The data is available from June 19, 2008 to May 4, 2018
Reach out to CMEDataSales@cmegroup.com for data post May 4, 2018
CME DataMine does not show any of the data graphically, but you can see charts of all the data we offer.
The data will be delivered in CSV file format.
The construction of SOFR term-structure is constructed based on the available data:
Fixing history for SOFR index is published by The Fed at:
Yes click here to download a sample file.