Based on current macro regime conditions and sofr's historical behaviour in similar regimes, the model projects 28.13% by 2026-12-31 ( +681.5% from 3.60% today). The 68% confidence range is 20.07% to 36.20%; the wider 95% range is 12.33% to 43.94%. Methodology below the headline.
SOFR Forecast 2026
Quantitative analysis from 2,065 observations of SOFR history, joined to four universal macro regime classifications. Numbers are computed, not narrated.
Regime Scan[01/04]
Forecast Approach
scenario weighted: We aggregate probability-weighted outcomes across active tracked scenarios, each with historical base rates and current heat scores. The projection above is the sample-weighted central estimate across current macro regime anchors; the scenario list below adds qualitative context.
Consensus source: Fed dot plot and futures market
Key Drivers & Risks
- •Federal Reserve policy
- •Inflation expectations
- •Economic growth
- •Global yield differentials
- •Treasury supply
Historical Volatility
Moderate: typically 50-150bps annual range
Scenarios That Affect This Forecast
How SOFR Forecasts Have Held Up Historically
SOFR (Secured Overnight Financing Rate) forecasts are essentially Fed funds forecasts plus a small basis. The basis itself (typically 5-15bp above Fed funds during normal regimes) has been stable since SOFR replaced LIBOR in 2023, but spikes in repo stress (September 2019 IOER episode pushed SOFR to 5.25% intraday vs Fed funds at 2.25%) represent the single largest forecast errors.
Regime-conditional models on SOFR achieve approximately 75% directional accuracy because the front-end-rates regime moves slowly. The dot-plot under-prediction problem applies: the Fed has consistently under-predicted the policy rate path it ended up setting.
Regime Sensitivity for SOFR
SOFR is the policy rate proxy and reads back from the FOMC dots and money-market positioning. Goldilocks regimes with cuts pricing in pull SOFR below the Fed funds target; stagflation regimes with hikes pricing in push SOFR above the target. The basis to Fed funds widens during quarter-end and year-end balance-sheet pressure points.
The April 2026 setup has SOFR at 3.63%, sitting modestly below the 3.50-3.75% Fed funds target band as cuts price in for late 2026. The regime conditional reads as moderately bullish on SOFR (cuts probable) with risk that inflation re-acceleration delays the cuts. The four-dissent April 29 FOMC vote keeps near-term policy on hold but signals the cuts-direction is intact.
What Drives SOFR Forecast Errors
Three structural issues drive SOFR forecast errors. First, repo-market stress can spike SOFR independently of policy. The September 2019 IOER episode took SOFR to 5.25% intraday despite Fed funds at 2.25%; the Fed responded with permanent standing repo facilities but the tail risk hasn't been eliminated.
Second, balance-sheet runoff (QT) interacts with reserve scarcity at quarter and year ends. The 2024 quarter-end SOFR pressure was contained by the Standing Repo Facility but periodic spikes still occur.
Third, the basis between SOFR and other money-market rates (Treasury bills, IORB, RRP) tells regime stories that the headline SOFR print doesn't capture. Sustained SOFR above IORB signals reserve scarcity; below RRP signals reserve abundance.
Frequently Asked Questions
What factors could push SOFR higher?▾
The primary drivers that tend to lift SOFR depend on the current macro regime. Interest rates set the price of money and ripple through every asset class. An inverted yield curve has preceded every U.S. recession since the 1960s, making this the single most-watched corner of fixed income. Monitoring rate differentials, real yields, and forward expectations helps traders anticipate risk-on or risk-off regime shifts. Convex tracks these drivers live across the Yield Curve & Rates category and flags when multiple forces align in the same direction. See the "Key Drivers & Risks" section on this page for the current list, and check the regime dashboard for how the macro backdrop is currently tilted.
What factors could push SOFR lower?▾
The same transmission channels that drive SOFR higher operate in reverse when conditions flip. The risk drivers listed above map directly to scenarios that, if triggered, would pull this metric in the opposite direction. Convex aggregates these into a scenario-weighted probability distribution rather than a point forecast, so the magnitude depends on which scenarios activate.
Where does consensus see SOFR heading?▾
Rather than publish a point target that goes stale the day after release, Convex assembles consensus from the macro regime classification, active scenario probabilities, and historical base rates. Point forecasts from banks and strategists are worth reading for context, but they typically cluster around the consensus and miss the tail events that actually move markets. The scenario-weighted approach here captures that tail risk explicitly.
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Forecasts are model-based projections derived from current regime classification, scenario probabilities, and historical patterns. They are not investment advice. All investments involve risk.