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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