Updated Daily. Last Update: 4/18/2024
The Forward Curve is the market’s projection of SOFR based on SOFR Futures contracts. The Forward Curve is derived from this information in a process called “bootstrapping”, and is used to price Interest Rate Options like Caps and Floors, as well as Interest Rate Swaps.
Our Forward Curve includes several different forms of SOFR and additional indices such as Prime and BSBY. Projections for these various indices and the ability to shock the curve help you run better analysis against your financials models. Shock the curve higher and lower using one or two standard deviation movements derived from implied option volatility, the FOMC’s own “dot plot”, as well as some more generic scenarios.
You can download the Forward Curve by clicking the link below. If you have any questions, please contact us at PensfordTeam@pensford.com, or (704) 887-9880.
Reset Date
|
1-month Term SOFR
|
3-month Term SOFR
|
1-Month ISDA SOFR
|
| 4/18/2024 | 5.32% | 5.33% | 5.44% |
| 5/18/2024 | 5.31% | 5.30% | 5.41% |
| 6/18/2024 | 5.28% | 5.26% | 5.41% |
| 7/18/2024 | 5.23% | 5.21% | 5.27% |
| 8/18/2024 | 5.20% | 5.16% | 5.27% |
| 9/18/2024 | 5.12% | 5.11% | 5.27% |
| 10/18/2024 | 5.08% | 5.05% | 5.13% |
| 11/18/2024 | 5.04% | 4.98% | 5.13% |
| 12/18/2024 | 4.95% | 4.92% | 5.13% |
| 1/18/2025 | 4.87% | 4.85% | 4.97% |
| 2/18/2025 | 4.84% | 4.75% | 4.97% |
| 3/18/2025 | 4.76% | 4.65% | 4.97% |
| 4/18/2025 | 4.55% | 4.58% | 4.59% |
| 5/18/2025 | 4.55% | 4.58% | 4.59% |
| 6/18/2025 | 4.55% | 4.58% | 4.59% |
| 7/18/2025 | 4.55% | 4.58% | 4.59% |
| 8/18/2025 | 4.55% | 4.49% | 4.59% |
| 9/18/2025 | 4.55% | 4.40% | 4.59% |
| 10/18/2025 | 4.29% | 4.30% | 4.48% |
| 11/18/2025 | 4.27% | 4.30% | 4.48% |
| 12/18/2025 | 4.27% | 4.30% | 4.48% |
| 1/18/2026 | 4.27% | 4.30% | 4.48% |
| 2/18/2026 | 4.27% | 4.24% | 4.47% |
| 3/18/2026 | 4.27% | 4.18% | 4.48% |
| 4/18/2026 | 4.08% | 4.11% | 4.19% |
| 5/18/2026 | 4.07% | 4.11% | 4.19% |
| 6/18/2026 | 4.07% | 4.11% | 4.19% |
| 7/18/2026 | 4.07% | 4.11% | 4.19% |
| 8/18/2026 | 4.07% | 4.11% | 4.19% |
| 9/18/2026 | 4.07% | 4.11% | 4.19% |
| 10/18/2026 | 4.07% | 4.11% | 4.19% |
| 11/18/2026 | 4.07% | 4.11% | 4.19% |
| 12/18/2026 | 4.07% | 4.11% | 4.19% |
| 1/18/2027 | 4.07% | 4.11% | 4.19% |
| 2/18/2027 | 4.07% | 4.07% | 4.19% |
| 3/18/2027 | 4.07% | 4.02% | 4.19% |
| 4/18/2027 | 3.95% | 3.98% | 4.04% |
| 5/18/2027 | 3.93% | 3.98% | 4.03% |
| 6/18/2027 | 3.93% | 3.98% | 4.03% |
| 7/18/2027 | 3.93% | 3.98% | 4.03% |
| 8/18/2027 | 3.93% | 3.98% | 4.03% |
| 9/18/2027 | 3.93% | 3.98% | 4.03% |
| 10/18/2027 | 3.93% | 3.98% | 4.03% |
| 11/18/2027 | 3.93% | 3.98% | 4.03% |
| 12/18/2027 | 3.93% | 3.98% | 4.03% |
| 1/18/2028 | 3.93% | 3.98% | 4.03% |
| 2/18/2028 | 3.93% | 3.97% | 4.03% |
| 3/18/2028 | 3.93% | 3.96% | 4.03% |
| 4/18/2028 | 3.90% | 3.95% | 4.01% |
| 5/18/2028 | 3.89% | 3.95% | 4.01% |
| 6/18/2028 | 3.90% | 3.95% | 4.01% |
| 7/18/2028 | 3.90% | 3.95% | 4.01% |
| 8/18/2028 | 3.89% | 3.95% | 4.01% |
| 9/18/2028 | 3.89% | 3.95% | 4.01% |
| 10/18/2028 | 3.89% | 3.95% | 4.01% |
| 11/18/2028 | 3.89% | 3.95% | 4.01% |
| 12/18/2028 | 3.90% | 3.95% | 4.01% |
| 1/18/2029 | 3.89% | 3.95% | 4.01% |
| 2/18/2029 | 3.89% | 3.96% | 4.01% |
| 3/18/2029 | 3.90% | 3.97% | 4.01% |
| 4/18/2029 | 3.92% | 3.98% | 4.04% |
| 5/18/2029 | 3.93% | 3.98% | 4.04% |
| 6/18/2029 | 3.93% | 3.99% | 4.04% |
| 7/18/2029 | 3.93% | 3.99% | 4.04% |
| 8/18/2029 | 3.93% | 3.99% | 4.04% |
| 9/18/2029 | 3.93% | 3.99% | 4.04% |
| 10/18/2029 | 3.93% | 3.99% | 4.04% |
| 11/18/2029 | 3.93% | 3.99% | 4.04% |
| 12/18/2029 | 3.93% | 3.99% | 4.04% |
| 1/18/2030 | 3.93% | 3.99% | 4.04% |
| 2/18/2030 | 3.92% | 3.99% | 4.04% |
| 3/18/2030 | 3.93% | 4.00% | 4.04% |
| 4/18/2030 | 3.94% | 4.00% | 4.05% |
| 5/18/2030 | 3.94% | 4.00% | 4.05% |
| 6/18/2030 | 3.94% | 4.00% | 4.05% |
| 7/18/2030 | 3.94% | 4.00% | 4.05% |
| 8/18/2030 | 3.94% | 4.00% | 4.05% |
| 9/18/2030 | 3.94% | 4.00% | 4.05% |
| 10/18/2030 | 3.94% | 4.00% | 4.05% |
| 11/18/2030 | 3.94% | 4.01% | 4.05% |
| 12/18/2030 | 3.94% | 4.00% | 4.05% |
| 1/18/2031 | 3.94% | 4.00% | 4.05% |
| 2/18/2031 | 3.94% | 4.01% | 4.05% |
| 3/18/2031 | 3.94% | 4.01% | 4.05% |
| 4/18/2031 | 3.95% | 4.01% | 4.05% |
| 5/18/2031 | 3.95% | 4.01% | 4.05% |
| 6/18/2031 | 3.95% | 4.01% | 4.05% |
| 7/18/2031 | 3.95% | 4.01% | 4.05% |
| 8/18/2031 | 3.95% | 4.01% | 4.05% |
| 9/18/2031 | 3.95% | 4.01% | 4.05% |
| 10/18/2031 | 3.95% | 4.02% | 4.05% |
| 11/18/2031 | 3.95% | 4.02% | 4.05% |
| 12/18/2031 | 3.95% | 4.01% | 4.05% |
| 1/18/2032 | 3.95% | 4.02% | 4.05% |
| 2/18/2032 | 3.95% | 4.03% | 4.05% |
| 3/18/2032 | 3.95% | 4.04% | 4.05% |
| 4/18/2032 | 3.98% | 4.05% | 4.10% |
| 5/18/2032 | 3.98% | 4.05% | 4.10% |
| 6/18/2032 | 3.98% | 4.05% | 4.10% |
| 7/18/2032 | 3.98% | 4.05% | 4.10% |
| 8/18/2032 | 3.98% | 4.05% | 4.10% |
| 9/18/2032 | 3.98% | 4.05% | 4.10% |
| 10/18/2032 | 3.98% | 4.05% | 4.10% |
| 11/18/2032 | 3.98% | 4.05% | 4.10% |
| 12/18/2032 | 3.98% | 4.05% | 4.10% |
| 1/18/2033 | 3.98% | 4.05% | 4.10% |
| 2/18/2033 | 3.98% | 4.06% | 4.10% |
| 3/18/2033 | 3.98% | 4.07% | 4.10% |
| 4/18/2033 | 4.00% | 4.07% | 4.12% |
| 5/18/2033 | 4.00% | 4.07% | 4.12% |
| 6/18/2033 | 4.00% | 4.08% | 4.12% |
| 7/18/2033 | 4.00% | 4.08% | 4.12% |
| 8/18/2033 | 4.00% | 4.08% | 4.12% |
| 9/18/2033 | 4.00% | 4.08% | 4.12% |
| 10/18/2033 | 4.00% | 4.08% | 4.12% |
| 11/18/2033 | 4.00% | 4.08% | 4.12% |
| 12/18/2033 | 4.00% | 4.08% | 4.12% |
| 1/18/2034 | 4.00% | 4.08% | 4.12% |
| 2/18/2034 | 4.00% | 4.10% | 4.11% |
| 3/18/2034 | 4.00% | 4.12% | 4.12% |
