N.Y. Fed Proposes Publishing SOFR Averages

Nov 05, 2019

The Federal Reserve Bank of New York proposed daily publication of three compounded averages of the Secured Overnight Financing Rate with tenors of 30, 90, and 180 calendar days.

The New York Fed said it plans to initiate publication in the first half of 2020 and would also publish a daily SOFR index that would allow the calculation of compounded average rates over custom time periods.

The SOFR is the Alternative Reference Rates Committee's recommended alternative to the London Interbank Offered Rate, which could be discontinued in 2021.