Indicative Forward-Looking SOFR Term Rates

Posted: 22 Apr 2019

See all articles by Erik Heitfield

Erik Heitfield

Federal Reserve Board - Division of Research and Statistics

Yang-Ho Park

Board of Governors of the Federal Reserve System

Date Written: 2019-04-19

Abstract

This note presents indicative forward-looking term rates derived from end-of-day SOFR futures prices. The accompanying data file also includes compound averages of daily SOFR rates.

Suggested Citation

Heitfield, Erik and Park, Yang-Ho, Indicative Forward-Looking SOFR Term Rates (2019-04-19). FED Notes No. 2019-04-19. Available at SSRN: https://ssrn.com/abstract=3375385 or http://dx.doi.org/10.17016/2380-7172.2347

Erik Heitfield (Contact Author)

Federal Reserve Board - Division of Research and Statistics ( email )

20th & C. St., N.W.
Washington, DC 20551
United States
202-452-2613 (Phone)

Yang-Ho Park

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

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