This page provides monthly forecasts of the secured overnight financing rate (SOFR), a major benchmark interest rate in the world economy. The rate measures the cost of overnight inter-bank borrowing rates for loans collaterized by Treasury securities. SOFR was created in 2019 as a replacement for the London interbank offered rate (Libor) following the 2012 Libor rate manipulation scandal.

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Our Market Consensus Forecast for the secured overnight financing rate (SOFR) is generated utilizing data on publicly-traded SOFR futures and other closely related benchmark interest rates. Using this information, we construct a forward term structure for the full yield curve. The term structure is interpolated and smoothed using a three-factor parametrization model, generating the final forecast.

This forecast can be interpreted as the mean market-expected values of future SOFR values.

This model is updated daily around 10:30 ET (14:30/15:30 UTC) on market days.

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Recommended citation for the Consensus Interest Rate Forecast Model :
econforecasting.com (2023). Consensus Interest Rate Forecast Model. Retrieved from https://econforecasting.com/forecast-sofr.