SOFR Averages and Index Data, Release Date: 2021-03-02

Name
SOFR Averages and Index Data

Link
https://apps.newyorkfed.org/markets/autorates/sofr-avg-ind

Source
Federal Reserve Bank of New York

Notes
As an extension of the Secured Overnight Financing Rate (SOFR), the SOFR Averages are compounded averages of the SOFR over rolling 30-, 90-, and 180-calendar day periods. The SOFR Index measures the cumulative impact of compounding the SOFR on a unit of investment over time, with the initial value set to 1 on April 2, 2018, the first value date of the SOFR. The SOFR Index value reflects the effect of compounding the SOFR each business day and allows the calculation of compounded SOFR averages over custom time periods.

4 Series Revisions

30-Day Average SOFR Daily, Not Seasonally Adjusted, SOFR30DAYAVG
Units # of New/Revised Obs. Last Observation Percent 1 2021-03-02 0.03733

90-Day Average SOFR Daily, Not Seasonally Adjusted, SOFR90DAYAVG
Units # of New/Revised Obs. Last Observation Percent 1 2021-03-02 0.06389

SOFR Index Daily, Not Seasonally Adjusted, SOFRINDEX
Units # of New/Revised Obs. Last Observation Index Apr 2, 2018 = 1 1 2021-03-02 1.04206325

180-Day Average SOFR Daily, Not Seasonally Adjusted, SOFR180DAYAVG
Units # of New/Revised Obs. Last Observation Percent 1 2021-03-02 0.07513

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