term sofr vs daily simple sofr

The term structure for forward-looking SOFR term rates has generally been upward sloping, though it became nearly flat around the turn of the year. File; Blackline-Form-of-Credit-Agreement-Revolving-Credit-Facility-Term-SOFR-Feb-27-2023-vs-July-8-2022-version.pdf: Downloads. The 1-month USD LIBOR forward curve represents market-implied future settings for 1-month USD LIBOR, an index rate used in many legacy floating-rate . While the ARRC Conventions cover both compounded and . endstream endobj startxref This ongoing Liberty Street Economics series analyzes disparities in economic and policy outcomes by race, gender, age, region, income, and other factors. 3 LIBOR vs. SOFR. The SOFR Term Rate is known in advance of . But since the hike hasnt occurred yet, Compounded SOFR is still hanging out around 0.05% and will take some time to catch up once Overnight SOFR moves. There are Treasury Affiliates, special securitization vehicles, cooperatives and other entities that are in the business of predominately engaging in financial activities, but think of themselves as end-users. Compounded SOFR could either be compounded, Because interest accrues over the interest period, parties using Simple Daily SOFR in Arrears or SOFR Compounded in Arrears will not know the final interest amount due until the end of the interest period. Learn more by reading our strategy. %PDF-1.6 % For more resources or help, check out Pensford.com/SOFR or give us a shout. Sustainable Principles. This ongoing Liberty Street Economics series analyzes disparities in economic and policy outcomes by race, gender, age, region, income, and other factors. Using this regression, one can model a fitted SOFR for the longer history, which is shown in Figure 4. There are four different types of SOFR that may be used in loan agreements: (i) daily simple SOFR in arrears, (ii) SOFR compounded in arrears, (iii) SOFR compounded in advance, and (iv). The Economic Inequality & Equitable Growth hub is a collection of research, analysis and convenings to help better understand economic inequality. SOFR is a measure of the cost of borrowing cash overnight, collateralized by U.S. Treasury securities. Compounded SOFR in arrears and Daily Simple SOFR may still be used by borrowers and lenders if they choose. A breakage cost can also occur if a borrower refuses to accept a loan that it had previously requested or does not prepay a loan on a date for which . The US secondary loan market hit its first speed bump of the year in late February. H\j@}l/qgZ@} dKt?a6tblt.%6vB6/\5lNyw=vCUyWwjfkl-vn>[.NF7sk>^|jiw:+9eP7pkt-3r[*P$`O`!X However, parties may prefer to use different periods of time to determine SOFR Compounded in Advance: Additional conventions will need to be developed around either Simple or Compound SOFR, including day count conventions and how the rate should be applied over weekends and holidays. If the notional is constant, the total interest accrued would be the same as applying the simple average of the SOFR resets at the end of the period. In lieu of the rate being determined two business days prior to the beginning of the interest period, it will be known two business days prior to the end of the period. Whether youre using a compounded average set-in advance or set in arrears, interest rate hedges are available from several counterparties. The New York Federal Reserve Bank now publishes SOFR daily, as well as SOFR Averages and a SOFR Index. The Term SOFR forward curves represent market-implied future settings for 1-month and 3-month Term SOFR, index rates commonly used in floating rate commercial real estate and corporate financings. 777 0 obj <>stream The Exposure Drafts are single currency facility agreements based on the compounded average of the RFR calculated on an in arrear basis over an observation period starting before the start of, and ending before the end of, an interest period. endstream endobj 2617 0 obj <>stream SOFR vs. LIBOR: Key Differences and Resulting Challenges for a LIBOR Transition FCA Board Meeting October 8, 2020. . Term SOFR vs Daily Simple SOFR - Whats the Difference. &J7YlbN7tk#[Vl4w1tyK #`O(\2`|6)R'?$Wrhvf>{K/SJCn}dK'|d|Mb v~|44[x= E Term SOFR, the forward-looking term rate based on the Secured Overnight Financing Rate (SOFR), has become an established benchmark rate for new US Dollar lending in the US syndicated loan market. Keeping Them ApartOne challenge with the transition from LIBOR to alternative rates has been that SOFR is used as a catchall that can mean one of several things. Since the rate is calculated in arrears, the reset for that accrual period won't be known until approximately 1 month after the reset date for the period in question. 3 Using SOFR as reported by the FRBNY and simple interest On the swaps, if BSBY and Adjusted Term SOFR are supposed to roughly track each other (because both are an approximation of LIBOR), maybe a swap desk gets comfortable with not caring if the Borrower swap is Term SOFR or BSBY for pricing purposes, because any effort to hedge/price that risk will depend on the Fixed Rate in the Dealer-to-Dealer SOFR Compounding In-Arrears market? Not only does it more closely match their cost of funds, but (1) they will want a 1-for-1 match and (2) they likely will not have systems in-place to confirm any compounded in-arrears calculation or otherwise just prefer to not have cash flow management based on this sort of floating rate calculation. Overall, this should be top-of-mind for Lenders to determine how this mismatch will be addressed. July 22, 2021 - by Meredith Coffey. First, if these loans use hardwired fallbacks, they will apply an ARRC spread adjustment to minimize the difference between LIBOR (a generally higher, unsecured rate) and SOFR (a generally lower, secured rate). There is a much more robust market supporting the calculation of SOFR. endstream endobj 2618 0 obj <>stream Need to file a report with the New York Fed? Term SOFR constitutes forward-looking estimates of overnight SOFR over tenors of one month, three months, six months and twelve months. Check it out here. For that reason, its often referred to as overnight SOFR. The recommended day count convention is similar to USD LIBOR (Actual/360), but it is possible to use other day count fractions (e.g., Actual/365). It is not only sub-2Y activity. HV xM> B8&&1FB !1MD"H$"BP)}J$}bYijvoJ=- ACxL#Ffh"R3Uo@IM||]f!bcj h@B})+j5B"#P7w@e?<1bJUh~+#]V>o$'MLNONNv2{$S4Yt1 !dYI?hu]/r jdZ5kcS^}v ;4n;9W-Zjg^:zuk=zo. In short: BSBY will not have mismatch risk. H`RDH`0,"Ad:d,y$T ?/ 64 4.30 %. The New York Fed offers the Central Banking Seminar and several specialized courses for central bankers and financial supervisors. SOFR Rates For Dummies - A Helpful Overview in Layman's Terms, https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2021/users-guide-to-sofr2021-update.pdf, https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2020/ARRC_SOFR_Synd_Loan_Conventions.pdf, https://www.newyorkfed.org/arrc/sofr-transition, https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2021/USD-LIBOR-transition-progress-report-mar-21.pdf. hm1l)djkq/R Xwe7o${',$3T@r@.B$(#X|"(=N5Tndq4j~*?Ck7o{c[;2kiitUXmEoY>| pMK?7M\s?U?f-YzXwkA;gc,d>"i|Csre_0{ LY`B0L>0p|^/Pce3);3k?%g6,$h-t,\ t$)"Hef+y?.9)H*sYH 7? For more information, contact mcoffey@lsta.org, tvirmani@lsta.org or ehefferan@lsta.org. An artificially low SOFR could negatively impact a loan portfolio that could otherwise better perform if the same loans were priced based on BSBY or other CSR. The GCF repo market is a tri-party repo market used only between dealers who borrow cash against general collateral (i.e., securities that are not specified until the end of the trading day). The ARR does not support the use of the SOFR Term Rate for The intention is for Term SOFR, a rate to be available during the first half of 2021, if there is sufficient liquidity, to be a USD LIBOR replacement. Think LIBOR. In contrast, because Term SOFR is known in advance of the interest period just like LIBOR today the Term SOFR loan conventions are very similar to LIBOR loan conventions. The New York Fed has been working with tri-party repo market participants to make changes to improve the resiliency of the market to financial stress. Also, many of these small banks really do execute 1-for-1 between a Borrowers swap and the small banks hedge that is counterparty to a Swap Dealer. In addition, on July 29, 2021, the ARRC formally recommended the CME Group's forward looking 1-month, . hb```&f AXXc #i `Qkp``# U(-8]q_CMq%2f)sHXkUCf *NKse|`Pb1aCD]+:9U^^*U&8R4{:i^u"=/JdO;bmbZUz]UzAyZM]w y7%s=sMbXW|#a};5:0g^gN3;{M,y:i&I&X/c]tc2wP'c^'M,z:iTu6M}%n6```pb`:Ph` , R^PL1*mM)WkRHIv4j$LDPvFXJ3;/0\al[$0)({IiLUF%Uw7BwW3H2pX@]vBT1: !p March 2, 2023 - The FT recently commented that, as LIBOR deadline looms, leveraged borrowers and lenders are scrapping over the fine print as the, The SECs proposed Safeguarding Rule includes sweeping and transformative revisions to the current Custody Rule. You can find the updated data here or on Bloomberg under ticker . This is a simple interest calculation. Term rates Compound In Arrears . The Secured Overnight Financing Rate (SOFR) is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. Forward looking term SOFR rates are simply segments of an overnight SOFR-OIS curve that includes a fixed and floating leg. Banks have since started issuing debt and selling hedges based on Term SOFR. SOFR activity is spreading across the curve. The exact spread adjustments for Term SOFR, as recently locked-in by ISDA, are included in the definition of Benchmark Replacement. 2621 0 obj <>/Filter/FlateDecode/ID[<71CD6515EA1070449EA276D512E2A5FA>]/Index[2612 15]/Info 2611 0 R/Length 63/Prev 737784/Root 2613 0 R/Size 2627/Type/XRef/W[1 2 1]>>stream Much of the day-to-day fluctuation in daily SOFR rates appears to reflect idiosyncratic factors that tend to average out over time. Among other differences from LIBOR, SOFR (i) is considered a "'near risk-free rate'" (i.e., it lacks a credit risk component) because it is secured by U.S. Treasuries; and (ii) at least until recently lacked a forward-looking component such as LIBOR's one-week and one-, two-, three-, six- and twelve-month tenors. For example, term SOFR is a period-specific forward-looking term rate that is published for periods of 1, 3, 6 or 12 months. Each business day, the New York Fed publishes the SOFR Averages and SOFR Index on the New York Fed's website, shortly after the SOFR is published at approximately 8:00 a.m. While there has been a positive trend in the adoption of SOFR . %PDF-1.6 % To calculate the interest rate, the ratio of two values (the period start and period end) are used to calculate compounded averages. Yes. Some of the factors that impact supply and demand in the Treasury repo market are: The market dynamics of the Treasury repo market make daily spot SOFR more volatile than spot USD LIBOR. SOFR Average can also be used in arrears. Alternatively, if we ever do see rates rise, then BSBY may be higher than an Adjusted SOFR agreed to during a low interest rate environment. This was one of the arguments against using Compounded SOFR reset in advance for loans. Use of the Reference Rates are subject to important disclaimers, limitations and indemnification obligations. If you are not an experienced user of the derivatives markets, capable of making independent trading decisions, then you should not rely solely on this communication in making trading decisions. CHA is registered with the Commodity Futures Trading Commission (CFTC) as a commodity trading advisor and is a member of the National Futures Association (NFA); however, neither the CFTC nor the NFA have passed upon the merits of participating in any advisory services offered by CHA. On the flipside, the more an institution has exposure to swaps, the lower rate environment would increase the likelihood that the Borrower-facing swaps are in-the-money to the banks (but the banks portfolio hedges are out-of-the-money, so this may be a wash). Maybe, if Borrowers notice that, traditionally, Term SOFR is overestimating Daily Simple SOFR, then Borrowers will move towards Daily Simple SOFR? SOFR Loan Product Challenges Using an overnight rate in a market accustomed to How SOFR, the benchmark rate chosen by the ARRC to replace USD LIBOR, works and what drives its movements. hbbd``b`$g! The transition away from LIBOR benchmarks in financial markets, begun in 2017, accelerated in 2022, especially in the US. The NY Fed calculates and publishes SOFR each morning using the data from the preceding business day and its the basis for all other SOFR calculation methodologies. The overnight financing part of its name references how SOFR sets rates for. Its effectively last months rate, so it lags Term SOFR in a rising rate environment. hb```f``jf`a`z @1V 0;C CDk P%uf qGsGRGCx||`sQ(x11KV,,,B,YLq 2f;O2$ The Center for Microeconomic Data offers wide-ranging data and analysis on the finances and economic expectations of U.S. households. With all that said, people much smarter than me have very likely already thought this one through and can discuss forward looking curves for both rates. With multiple SOFR indices available for use, in addition to rates such as Bloombergs BSBY (read more about BSBY here), borrowers may find themselves with a term sheet listing an index theyve unfamiliar with. I have been on various industry calls and the view: There is no regulatory risk with BSBY i.e., no bank or other regulator is going to make BSBY illegal or otherwise go away, in an effort to promote SOFR. Earlier this year, the CME Group began publishing its calculation of "term SOFR" rates for 1-, 3-, 6- and 12-month tenors.2 After a period of evaluation as to whether the CME Group rates met . SOFR Index is based on the same calculation methodology as SOFR Average, so calculating the rate using the same start and end dates as SOFR Average should produce materially similar results. In this note, the ARRC Business Loans Working Group focuses on the use of orwardf - looking term SOFR. USD markets started transitioning from LIBOR to SOFR in 2017 after the FCA announced that LIBOR was at risk of discontinuation at the end of 2021. When a CMBS loan is originated, its common to then securitize that loan, which is the conversion A slightly irreverent take on interest rate markets and the economy. 226 0 obj <> endobj Is that delta enough to make a difference to a Borrower? The above issue is really much broader. Compounded SOFR in arrears and Daily Simple SOFR may still be used by borrowers and lenders if they choose. This variation is also a form of compounded SOFR in arrears and is the sum of (i) the Adjusted Reference Rate and (ii) the Spread Adjustment, each for the relevant LIBOR tenor. Existing LIBOR Loans that fall back to Term SOFR: For existing LIBOR loans that fall back from LIBOR to SOFR, there are just a few additional conventions. (Term SOFR being step 1 in the replacement rate waterfall) upon a certain number of publicly available USD-denominated syndicated credit agreements being originated with, or switching over to, a SOFR-based rate. Monday, August 2, 2021. This means that the interest due is based on rates published during the interest period, but the payment would not be known until the end of the period. Charlotte, NC 28203. The Governance & Culture Reform hub is designed to foster discussion about corporate governance and the reform of culture and behavior in the financial services industry. Additional Term Loans means any term loan added pursuant to Section 2.22, 2.23 or 9.02 (c) (i). hbbd``b`y H0[lA7@B6H\u}_ > We read the Users Guide with interest and offer our key takeaways below. The monthly Empire State Manufacturing Survey tracks the sentiment of New York State manufacturing executives regarding business conditions. It is derived and implied from futures trading in SOFR, which is used as a measure reflecting the cost of overnight borrowing in the U.S. Treasury repo market. Our economists engage in scholarly research and policy-oriented analysis on a wide range of important issues. Membership in the LSTA offers numerous benefits and opportunities. 769 0 obj <>/Filter/FlateDecode/ID[<0A16976CAFCF2F4BAF285B5543FF241D>]/Index[751 27]/Info 750 0 R/Length 99/Prev 566604/Root 752 0 R/Size 778/Type/XRef/W[1 3 1]>>stream Bilateral Treasury repo transactions cleared through FICCs DVP Service (Fixed Income Clearing Corporations Delivery vs. Payment Service). All rights reserved. The price at the close of any liquid market-wide short-term credit-risky debt instrument would replace LIBOR . When a CMBS loan is originated, its common to then securitize that loan, which is the conversion A slightly irreverent take on interest rate markets and the economy. ISDA has modified its definitions in early May 2021 to accommodate these rates specifically, AMERIBOR and BSBY. I am assuming that most Borrowers will be less focused on the nature of the floating rate, and more focused on the cost of any hedge. ET. One interesting fact we came across is that the difference between a simple and compounded average of SOFR over the previous two decades would have only ranged from 0-10 bps. The more recent margin rules for swaps have expanded out what buyside entities believe themselves to be eligible for treatment as an end-user. SOFR is a reference rate (benchmark rate) and an alternative to the US Dollar LIBOR rate. In the DVP repo market, asset managers and other investors (e.g., REITs) borrow specific securities from broker-dealers and securities lenders on a bilateral or cleared basis. Overall, the more I look and think about the two rates, it seems like a bank is best positioned if it has both SOFR and BSBY exposure. Our economists engage in scholarly research and policy-oriented analysis on a wide range of important issues. The LSTA is a member of the ARRC, co-chairs the ARRCs BLWG and the BLWGs Operations Sub-Group. At the New York Fed, our mission is to make the U.S. economy stronger and the financial system more stable for all segments of society. endstream endobj startxref One of the bigger pieces to this announcement is the announcement that U.S. regulators will also permit Term SOFR Swaps, when one of the parties is an end-user. Since Term SOFR is based on implied market expectations, its forward curve is effectively the same as compounded SOFR, so we dont list separate curves. The ARRC conventions recognize that either simple or compound interest can be charged when using SOFR in arrears. BSBY should not have the mismatch risk i.e., the Floating Rate in the Borrowers swap and the dealer-market swap can be the exact same. [5] ), it is an overnight, fully secured rate. 7.2. Note that specials are repos for specific-issue collateral, which take place at cash-lending rates below those for general collateral repos because cash providers are willing to accept a lesser return on their cash in order to obtain a particular security. While LIBOR and SOFR historically trend together, LIBOR is generally higher than SOFR. In June 2017, the Alternative Reference Rates Committee (ARRC), a private-public partnership convened by the Federal Reserve Board of Governors (the Fed) and the Federal Reserve Bank of New York (the New York Fed), identified the Secured Overnight Financing Rate (SOFR) as its preferred replacement for USD LIBOR. This spread adjustment is currently 12 basis points for 1-month LIBOR and 26 basis points for 3-month LIBOR, reflecting the difference between SOFR as a secured rate and LIBOR as an . As part of our core mission, we supervise and regulate financial institutions in the Second District. Each CME Term SOFR Reference Rates tenor will start on (and include) the second US Government Securities Business Day No: Yes. What Is a REMIC and How Does It Play Into My Defeasance? Based on these and other criteria, the ARRC identified SOFR, where disinterested third-party clearinghouses report the terms of the large volume of transactions underlying the rate, as compared with determining LIBOR, which, as a practical matter, is based on panel banks submitting borrowing costs based on expert judgment because there is so little unsecured bank-to-bank lending post-Great Financial Crisis. endstream endobj 2616 0 obj <>stream The New York Fed calculates SOFR by taking the volume-weighted median (50th percentile) of transactions in three markets for repurchase (repo) agreements collateralized by U.S. Treasury securities: The New York Fed publishes SOFR at 8 a.m. EST each day. The New York Fed provides a wide range of payment services for financial institutions and the U.S. government. Term SOFR could involve a credit adjustment spread being added to the benchmark rate (in particular for legacy loans switching to this methodology). What about forward curves?The forward curve available on our website here includes SOFR. Home / News & Resources / News / Term SOFR Conventions: (Almost) Just Like LIBOR. Permit movement from daily SOFR to term SOFR - It is possible that term SOFR (the first level of the waterfall) will not exist at the time a SOFR-priced loan agreement is entered into, and the loans will thus be priced at a rate based on daily SOFR (the second level of the waterfall). Published each business day at 8:30 a.m. EST in USD. The creation of a forward-looking term SOFR index based on derivatives markets was the final step in the ARRCs Paced Transition Plan. The adjustments, which were fixed in March 2021, were based on the five-year median difference between LIBOR and SOFR. Term SOFR is eligible for use in general business loans (in contrast to the much narrower use cases for Term SONIA or any STR1 -based forward-looking term rate). The forward rate is simply the fixed leg of the swap. %PDF-1.6 % As an extension of the Secured Overnight Financing Rate (SOFR), the SOFR Averages are compounded averages of the SOFR over rolling 30-, 90-, and 180-calendar day periods. As outlined above, ISDA SOFR is set in arrears where LIBOR was set in advance. Term SOFR is a proactive rate, meaning it moves in anticipation of a Fed hike. The SOFR is calculated directly from transaction data in the US Treasury repurchase market. The hedge/loan accrues interest daily based on SOFR and the total amount due is known at the end of the period. Background: The ARRCs Daily Simple SOFR and Daily Compounded SOFR in Arrears Conventions (published in July 2020) were complicated because these rates are not known in advance of the interest period and therefore many conventions differed from LIBOR conventions. The sole value of SOFR Index on any given day is of little value, but this is because the index is a means rather than an end. For example, SOFR spiked at the end of 2018, but as you can see below the impact on 1-month compounded SOFR was minimal. Sample 1 Sample 2 Based on 2 documents Unfortunately, it isn't that simple. LIBOR, a reference rate for more than $300 trillion contracts globally and nearly $200 trillion U.S. dollar contracts, likely will end after 2021. Using a forward term rate for USD loans will result in a different market convention than in effect for Sterling loans, where the market convention is to use SONIA compounded in arrears. We are connecting emerging solutions with funding in three areashealth, household financial stability, and climateto improve life for underserved communities. Said another way, if the LIBOR rate for the August period was based on the 7/28/2022 LIBOR reset, then under ISDA SOFR the rate would not be available until 8/28/2022. SOFR measures of the cost of borrowing cash overnight collateralized by Treasury securities. New York Fed SOFR Data. SOFR activity is increasing in terms of risk traded. SOFR is typically published on US business days, and CME Term SOFR aligns with that calendar. Yes: Credit Sensitive Component. SOFR Averages and Index Data As an extension of the Secured Overnight Financing Rate (SOFR), the SOFR Averages are compounded averages of the SOFR over rolling 30-, 90-, and 180-calendar day periods. So, rather than constantly refer to Credit Sensitive Rates, I am sticking to BSBY in the event there are unique nuances to this rate. LIBOR identifies the market-wide consensus cost of short-term credit-risky debt daily. There are various SOFR rates/calculation methodologies which often leads to confusion. Simple interest may be computationally easier; compound interest is the more economically correct convention and will allow for more accurate hedging. And the LSTAs Elliot Ganz explains how the revisions are, The panelists will discuss sustainability linked loans (SLLs) and the growing importance that SLLs play in advancing ESG considerations in the loan market. For right now, maybe it is best to not put all your eggs into one basket. When looking only at the loan market, what new reference rate will be the most common? At least one thing in LIBOR transition may be easy(ish)! SOFR interest rate. This release coincided not coincidentally with the publication of Term SOFR Use Cases, which included business loans, related hedges and CLOs. Lastly, if SOFR swaps have a clearing requirement, and BSBY swaps are never cleared, this could greatly impact the market too. The Secured Overnight Financing Rate (SOFR) is a benchmark interest rate for dollar-denominated derivatives and loans that is replacing the London Interbank Offered Rate (LIBOR). Although a Lender will be able to package a Term SOFR Loan and Term SOFR Swap, the Lender will now be hedging the Term SOFR Swap with a SOFR compounding in-arrears swap. Heres an example comparing SOFR Index and SOFR Average: [(1.04136820% / 1.04085026%) 1] * (360/30) = 0.59713% which matches the 4/1/2020 30D SOFR Average print. the 'Daily Simple SOFR in Arrears', 'Daily Compounded SOFR in Arrears', 'SOFR Term Rates', and 'SOFR Averages (Applied in Advance)', ARRC has published its recommended conventions for both new loans that use SOFR, and for legacy loans that fall back from LIBOR to SOFR upon the cessation of LIBOR. Copyright 20192023 Loan Syndications & Trading Association. Is that delta enough to make a difference to a Borrower? The US secondary loan market hit its first speed bump of the year in late February. The mission of the Applied Macroeconomics and Econometrics Center (AMEC) is to provide intellectual leadership in the central banking community in the fields of macro and applied econometrics. The following conventions relate to using SOFR in arrears (Daily Simple SOFR and SOFR Compounded in Arrears) for business loans. The Secured Overnight Financing Rate (SOFR) is intended to replace the US dollar London Interbank Rate (US LIBOR) in future financial contracts. Average SOFR, Simple Daily SOFR and Compounded SOFR, Conventions for Simple Daily and Compounded SOFR. Appendix 1. Not all end-users make widgets. All rights reserved. 0.04 %. CcL;&:l&=,s=-/)b#!'>Y,&s*`xLU?UxN Given the loan market's preference for a forward-looking term rate, Coffey suggested that the choice for business loans may be Term SOFR or one of the newly launched credit sensitive rates featuring a forward-looking term structure, such as the Bloomberg Short Term Bank Yield Index (BSBY). In other words, new Term SOFR loans may almost be plug-and-play with LIBOR documentation and systems. As such, several possibilities for using SOFR for term lending have emerged, with the main recommendation being Daily Simple SOFR plus a spread adjustment. Chatham's U.S. market data includes daily SOFR and SOFR/Term SOFR swap rates. The FOMC has updated this "Fed Dot Plot" quarterly since January 2012. If Jay Pow continues to make the Feds printers go brrrrr, he and future Feds will keep SOFR low. This material has been prepared by a sales or trading employee or agent of Chatham Hedging Advisors and could be deemed a solicitation for entering into a derivatives transaction. The distribution of risk across the curve in SOFR has been fairly consistent since the middle of last year. There are several different types of SOFR: (1) Daily Simple SOFR, (2) Daily Compounded SOFR, (3) Term SOFR, (4) SOFR Averages, and (5) SOFR Index.

term sofr vs daily simple sofr 2023