NY Fed Begins Publication of SOFR Averages and SOFR Index

The Federal Reserve Bank of New York has begun publication of three daily compounded averages of SOFR (for 30-, 90-, and 180- days) as well as a daily SOFR index to aid those calculating compounded averages over custom time periods.

The SOFR Averages and Index data are published here and the calculation methodology details are available here.

They will additionally be updating the indicative historical rates for the SOFR Averages and Index to cover the period between October 2019, when they were initially released, through February 2020.

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Principia Partners LLC (Principia) provides solutions for derivative and structured finance operations. Global financial institutions and independent asset managers have used the award-winning Principia Structured Finance Platform since 1995 to unify investment analysis, portfolio management, risk surveillance, accounting and operational control across the breadth of structured credit assets, fixed income investments and complex derivatives. In 2015, Principia launched its Analytic Service, pasVal, to make its award-winning pricing and analytics available to an even broader range of businesses.

Principia is based in New York, with an office in London and a technology center in King of Prussia, Pennsylvania.