Versatile OTC interest rate derivatives market data for essential investment applications
The Secured Overnight Financing Rate (SOFR) is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities. The SOFR includes all trades in the Broad General Collateral Rate plus bilateral Treasury repurchase agreement (Repo) transactions cleared through the Delivery-versus-Payment (DVP) service offered by the Fixed Income Clearing Corporation (FICC), which is filtered to remove a portion of transactions considered “specials”.
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.
How is SOFR calculated?
The SOFR is calculated as a volume-weighted median of transaction-level tri-party Repo data collected from the Bank of New York Mellon as well as GCF Repo transaction data and data on bilateral Treasury Repo transactions cleared through FICC’s DVP service, which are obtained from the US Department of the Treasury’s Office of Financial Research (OFR). Each business day, the New York Fed publishes the SOFR on the New York Fed website at approximately 8:00 a.m. ET.
For more information on the SOFR’s publication schedule and methodology, see Additional Information about Reference Rates Administered by the New York Fed.
SOFR is based on actual transactions in the US Treasury Repo market, making it more transparent and reliable compared to previous benchmarks like LIBOR. Grounded in observable data, SOFR reduces the risk of rate manipulation. With regulators mandating the transition from LIBOR to SOFR, using SOFR products ensures compliance with new regulatory standards. It has been widely adopted in financial markets, providing liquidity and broad acceptance that benefit trading and risk management. SOFR products, such as swaps and options, offer effective tools for managing interest rate risk, especially in a volatile market environment. The variety of SOFR-linked products—including cross-currency swaps, basis swaps, and interest rate options—allows clients to tailor strategies to specific needs and market conditions.
SOFR Data: The Parameta Advantage
Parameta Solutions is the exclusive provider of unique market data sourced from TP ICAP, the world’s largest interdealer broker. With 2,600 brokers operating in 28 countries, TP ICAP provides access to deep liquidity pools.
SOFR Products Overview
Parameta offers data sourced from both ICAP and TP, which offer a comprehensive suite of products linked to the Secured Overnight Financing Rate (SOFR), catering to various market needs. These products are designed to support trading, risk management, and analytics in the evolving interest rate landscape.
SOFR Short and Medium Term Curve
- Short Term Curve: Provides insights into the near-term expectations of interest rates.
- Medium Term Curve: Offers a broader view of interest rate trends over a longer horizon.
Risk-Free Cross Currency (CCY) Swaps and Basis Swaps
- Cross Currency Swaps: Facilitate the exchange of principal and interest payments in different currencies ranging from G10 to Emerging Currency, benchmarked against USD SOFR.
- Basis Swaps: Allow for the exchange of floating interest rate payments between SOFR and other benchmarks like ESTR and SONIA.
Meeting Dates and Single Period Swaps
Key FOMC dates for central bank meetings and policy announcements that impact SOFR rates. We also have Short Term IMM Dates.
Invoice Spread and Convexity Grid
TP also has a short term SOFR Convexity Grid, ICAP is developing SwapPX Invoice Spread page as a joint product with CME and their Cheapest to Deliver and Future pricing.
Basis Swaps Between Various Benchmarks
Basis swaps between SOFR and other USD benchmarks provide flexibility in managing interest rate exposure across different financial instruments. Both Brands have Fed Fund vs SOFR Basis Swaps. TP has SOFR vs Prime and SOFR vs T-Bills as well.
Interest Rate Options (ATM, Skew OTM, and Cap Floors)
Our SOFR Swaption SOFR Discounting interest rate options and Cap Floor are available for both ICAP AND TP. We are currently working to expand SOFR CMS Spread Over offering for both brands.
Available Data Packages
TP Products
- Medium and Short Term Curves and Swaps: Available in the TP SOFR Package, TP Risk Free Package, and SwapMarker.
- Risk Free SOFR USD Swaps: Available in the TP SOFR Package, TP Risk Free Package, and SwapMarker.
- Risk-Free Cross CCY Swaps and Basis Swaps: Included in the TP Risk Free Package.
- TP SOFR IRO: Part of the TP IRO Package.
ICAP Products
- Medium and Short Term Curves and Swaps: Found in the ICAP Risk Free Package, SwapPX, and RCM 19901.
- Risk Free SOFR USD Swaps: Available in the ICAP Risk Free Package, SwapPX and RCM 19901
- Risk-Free Cross CCY Swaps and Basis Swaps: Available in the Interest Rate Derivative Package
- ICAP IRO: Available in the Derivative Package and the IRO Direct Package.
These products leverage the liquidity and expertise of ICAP and TP, ensuring robust support for market participants navigating the transition to SOFR.
Related Solutions
Trust Parameta for comprehensive SOFR-related datasets, sourced from TP ICAP.
Related Solutions
Trust Parameta for comprehensive SOFR-related datasets, sourced from TP ICAP.
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