I have a doubt regarding the daily SOFR OIS Curve published by CME.


If we refer to the curve dated 22 Jul 2022... SOFR OIS on 22 Jul 2022

The one year OIS rate is displayed at 0.3074%, this means that the OIS SWAP Rate for next 12 months is 0.3074%, right ? However, the latest SOFR Rate is ~ 1.50% - 1.53%. I was expecting the SWAP rate to be higher.

Would appreciate your opinions.

Regards, Rohit

  • 1
    $\begingroup$ I've asked a few people and no one knew what the CME outright rate is showing. Could be a bug. $\endgroup$
    – oronimbus
    Jul 27, 2022 at 14:03
  • $\begingroup$ Thanks @oronimbus, the number looks way off. $\endgroup$ Jul 28, 2022 at 10:38


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.