Composite historical OIS curve reconstruction for M-137 Curve Construction family: (a) Effective Fed Funds (DFF) daily 1954-07-01 → present via FRED; (b) Effective Fed Funds Rate (EFFR, volume-weighted-median methodology) daily 2000-07-03 → present via FRED; (c) SOFR + SOFR Averages (already canonical RATE_SOFR / RATE_SOFR_30D/90D/180D / RATE_SOFR_INDEX) 2018+; (d) FRB "Historical Proxies for SOFR" 1998-2018 — static spreadsheet bridging pre-SOFR era for OIS bootstrap; (e) ISDA IBOR Fallback formula for LIBOR-era forward curves: Adjusted SOFR + ARRC/ISDA fixed spread adjustment (one-time scalar constants published 2021-03-05 — 5 per tenor, copyable as static reference data); (f) Bank of England SONIA archive (1997+) for GBP-leg cross-currency historicals; (g) ECB Statistical Data Warehouse — €STR (Oct 2019+) + historical EONIA (1999-2022) for EUR-leg.
| type | market_data |
| url | https://fred.stlouisfed.org/ |
| auth | none |
| cost | free |
| update frequency | daily |
| consumers | finview |
| classification | public_market |
| criticality | tier-2 |
Medium-priority gap surfaced by PL-07 (2026-05-04); registration completed 2026-05-11 (d). M-137 Curve Construction needs historical OIS curve bootstrap including pre-SOFR-era (USD LIBOR era, pre- 2018) for legacy-contract valuation and historical scenario backtesting. Free-source landscape researched 2026-05-11: FRED + already- canonical SOFR + FRB published proxies are sufficient for the post-1998 era. **Fully closable free; no DR-007 carve-out needed.** Historical depth available: - Overnight USD rate (DFF, FRED): 1954-07-01 → present (deepest free overnight series in existence). - EFFR (NY-Fed volume-weighted-median methodology): 2000-07-03 → present. - SOFR (FRED + already-canonical RATE_SOFR): 2018-04-03 → present. - SOFR Index + Averages: 2018-04-03 → present (canonical). - FRB "Historical Proxies for SOFR" (FEDS Note 2019-07-15): estimated SOFR 1998-2018 via primary-dealer GCF/triparty proxies. - SONIA (GBP overnight): 1997+ via BoE database. - €STR (EUR overnight): Oct 2019+; historical EONIA 1999-2022 via ECB SDW. Sharp gap (mitigated): - ICE-administered USD LIBOR daily tenor history 2014-2023 was REMOVED from FRED 2022-01-31 (St. Louis Fed announcement). The ICE/IBA archive license is commercial-only — barred by DR-007. USD LIBOR panel ceased 2023-06-30; synthetic 1M/3M/6M USD LIBOR ended 2024-09-30. Mitigation: reconstruct LIBOR-era forward curves via the ISDA IBOR Fallback formula — Adjusted SOFR plus ARRC fixed spread adjustment (5 scalar constants per tenor, published 2021-03-05 via Bloomberg/ISDA public notice). This is the exact path live legacy contracts repriced to in 2023- 2024; using the regulatory fallback is more defensible than scraping legacy LIBOR fixings from non-authoritative third-party archives. Pre-1990 OIS curves do not exist anywhere free or paid (OIS market itself dates to mid-1990s) — accept that floor. Barred under DR-007: - ICE/IBA historical LIBOR + ICE Swap Rate licensed bulk feeds (commercial license only via iba@ice.com). - CME Term SOFR — paywalled via CME DataMine. Free substitute: compounded-SOFR-in-arrears from RATE_SOFR_INDEX (already canonical). Acquisition strategies (principal direction 2026-05-11): (1) trial-harvested month-end snapshots — limited utility here; FRED + FRB proxies are themselves authoritative free; (2) daily scrape going forward — FRED API for DFF/EFFR/SOFR; already covered by canonical-market-data-refresh workflow for SOFR series; (3) ETF proxy — not applicable; OIS curve has no ETF analog. Fetcher build deferred to WS3 sweep. Bridge: M-137 uses the already-canonical RATE_SOFR* series for post-2018 OIS; LIBOR-era reconstruction code (ISDA fallback formula) is small standalone utility that can land with the fetcher or earlier.