The Federal Reserve Bank of New York (the "NY Fed"), in cooperation with the Treasury Office of Financial Research, will publish Secured Overnight Financing Rate ("SOFR") compounded averages, as well as an index for three tenors, beginning on March 2, 2020.
As previously covered, the NY Fed will publish compounded SOFR averages for the prior 30, 90 and 180 calendar days. The daily SOFR index will consist of SOFR compounded over a period beginning on the first publication date of SOFR and ending on the index publication date. Market participants will be able to determine a compound SOFR average over a custom period by entering the index values for the first and last days of the custom period into a formula provided by the NY Fed.
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