SOFR in 2021

A year in a 10 bp band

SOFR opened 2021 at 0.10% on January 4 and closed at 0.05% on December 31. Across 250 published observations the high was 0.11% on January 5 and the low was 0.01%, first printed on February 23. The federal funds target range was 0%–0.25% throughout, as it had been since March 2020.

Because each print is rounded to the nearest basis point, most days were ties: SOFR matched the prior business day on 212 of 250 days, and the largest daily move was 4 bp.

Three distinct stretches

January to early March: lower on balance

January averaged 0.071% and February 0.042%. The drift was not one-way: between January 5 and March 11 the rate changed on 30 days, 16 times down and 14 times up, by 1 to 3 bp each time. The largest rise was 3 bp on February 9; the 3 bp falls came on January 26, February 5 and February 18.

March 11 to June 16: 68 business days at 0.01%

From March 11 through June 16 SOFR printed 0.01% on 68 consecutive business days; every observation in April and May was 0.01%. SOFR's all-time low in this data set is 0.01%, recorded on 89 days in total, and 70 of them fall in 2021.

Below the median, part of the market traded under zero. The volume-weighted 1st percentile rate published with SOFR was negative on 106 days in 2021, including all 20 business days of May, and reached −0.05% on March 22. On the 60 such days between March 11 and June 16, at least the lowest 1% of each day's volume traded below zero while the median held at 0.01%. The 25th percentile in that stretch was between −0.01% and 0.01% on every day, and the 99th percentile was 0.15% on all 68 days, so almost the whole distribution sat within a few basis points of zero.

June 17 onward: 0.05%

On June 17 SOFR rose 4 bp to 0.05% and then printed that rate for 85 straight business days, through October 18. From June 17 to year-end it averaged 0.049%, with brief dips to 0.03% (October 19–21) and 0.04% (October 25 and December 20). The target range did not change on June 17. What changed was the Fed's administered rates: in its implementation note of June 16, 2021, the Federal Reserve set the overnight reverse repo (ON RRP) offering rate at 0.05% and the interest rate on reserve balances at 0.15%, both effective June 17. SOFR moved to the new ON RRP rate the same day.

The distribution shifted with it. On June 16 the 1st and 25th percentiles were −0.02% and 0.00%; on June 17 they were 0.00% and 0.04%. Over the 135 days from June 17 to year-end with published percentiles, the 25th percentile was 0.03% to 0.05% on 115 of them. The new rate was a floor for the median, not for every trade: the 1st percentile was still negative on 45 of those days, reaching −0.05% on October 21, when SOFR itself had dipped to 0.03%.

SOFR against EFFR and TGCR

SOFR sat above the effective federal funds rate only from January 4 to 7 and matched it on January 8 and 11. On every other day it was lower, by 4.1 bp on average and by up to 6 bp.

SOFR equaled TGCR, the tri-party-only rate, on 201 days. The average SOFR–TGCR gap of 0.3 bp is the narrowest of any calendar year since publication began in 2018. Month-ends barely registered: no 2021 month-end print was more than 1.8 bp above the average of the five business days before it.

Volume averaged $906 billion a day, the lowest of any full calendar year in the series. It ranged from $808 billion on March 30 to $1,088 billion on December 1.

What a year of near-zero compounding looked like

The SOFR Index moved from 1.04197497 on January 4, 2021 to 1.04238518 on January 3, 2022. That is 0.03937% of growth over 364 days, or about $394 of interest on $1 million left at compounded SOFR for the whole year. On a loan priced at SOFR plus a margin, the margin was almost the entire coupon; the SOFR Index calculator reproduces the figure.

The benchmark transition in 2021

• January 25. ISDA's IBOR Fallbacks Supplement and Protocol took effect.
• March 5. The FCA set USD LIBOR's end dates, fixing the ISDA spread adjustments. SOFR was 0.02%.
• April 21. CME Group announced it was publishing 1-, 3- and 6-month CME Term SOFR Reference Rates.
• July 29. The ARRC formally recommended CME Term SOFR, three days after the "SOFR First" interdealer convention change of July 26.
• December 31. U.S. regulators had encouraged banks to stop new USD LIBOR contracts by this date; 1-week and 2-month USD LIBOR ended immediately after it. The transition guide has the full sequence.

Charts and tables

Monthly summary

Daily observations

The New York Fed's file gives no percentile statistics for August 5, 2021.

Related tools and guides

• SOFR historyEvery SOFR observation since April 2018, summarized by year with links to daily tables.
• SOFR in 2020Daily SOFR observations, monthly summary and Fed moves for 2020.
• SOFR in 2022Daily SOFR observations, monthly summary and Fed moves for 2022.
• Fed target range historyEvery federal funds target range since 2018 and where SOFR traded inside or outside it.
• SOFR percentiles & volumeDaily transaction volume and the 1st–99th percentile distribution behind each SOFR print.
• The LIBOR to SOFR transitionHow U.S. dollar LIBOR ended and what replaced it, with the key dates.
• SOFR Index calculatorCompounded SOFR between any two dates from the New York Fed's published SOFR Index.
• SOFR history lookupPull SOFR for any date range with statistics, a chart and CSV export.