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Source: Bloomberg
Notes:
n1/ Until February 15, 2023, the SOFR rates for 1, 3, 6 and 12 months correspond to Bloomberg Calculated SOFR Compounded for ISDA Fallback Rates (Tickers XSOFR1M Index, XSOFR3M Index, XSOFR6M Index XSOFR12M Index, respectively). As of February 16, 2023, the SOFR rates of 1, 3, 6 are calculated by the Federal Reserve Bank of New York and published in Bloomberg (Tickers SOFR30A Index, SOFR90A Index and SOFR180A Index) and correspond to historical moving averages. 1/
n2/ On the other hand, the Chicago Mercantile Exchange (CME) calculates and publishes forward-looking SOFR rates based on financial derivatives (futures) traded on this stock exchange. 2/
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