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I'm trying to understand Bloomberg's maturity date calculation logic for SOFR (Secured Overnight Financing Rate) instruments. When I access Bloomberg today, I can see current maturity dates, but I need to calculate what the maturity dates would have been for different historical settlement dates.

Current Data (accessed 2025-10-06)

IDENTIFIER TENOR PX_LAST USOSFR1Z Curncy 1W 4.15 USOSFRA Curncy 1M 4.0871 USOSFRC Curncy 3M 3.9445 USOSFR1 Curncy 1Y 3.60575

Specific Issue

When I manually calculate maturity dates for settlement date 2025-09-26:

  • 1W (USOSFR1Z): My calculation gives Oct 3, 2025, but Bloomberg shows Oct 7, 2025
  • 1Y (USOSFR1): My calculation gives Sep 28, 2026 (modified following), but Bloomberg shows Sep 30, 2026

Questions

  1. What specific business day conventions does Bloomberg use for each SOFR tenor?
  2. Are there month-end or quarter-end adjustments for certain tenors (especially 1Y)?
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    $\begingroup$ Have you tried asking F1 F1? $\endgroup$ Commented Oct 6 at 19:37
  • 3
    $\begingroup$ You are missing the 2 day value date adjustment. $\endgroup$ Commented Oct 6 at 19:47

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