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.

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.