SOFR Averages and Index Data

Name	Release Dates
SOFR Averages and Index Data	2021-02-24	2024-05-16

Link
https://apps.newyorkfed.org/markets/autorates/sofr-avg-ind	2021-02-24	2024-05-16

Source
Federal Reserve Bank of New York	2021-02-24	2024-05-16

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.	2021-02-24	2024-05-16

4 Series Revisions

30-Day Average SOFR Daily, Not Seasonally Adjusted, SOFR30DAYAVG
Units Release Dates Observation Period Percent 2021-02-24 to 2024-05-16 2018-05-02 to 2024-05-16

90-Day Average SOFR Daily, Not Seasonally Adjusted, SOFR90DAYAVG
Units Release Dates Observation Period Percent 2021-02-24 to 2024-05-16 2018-07-02 to 2024-05-16

SOFR Index Daily, Not Seasonally Adjusted, SOFRINDEX
Units Release Dates Observation Period Index Apr 2, 2018 = 1 2021-02-24 to 2024-05-16 2018-04-02 to 2024-05-16

180-Day Average SOFR Daily, Not Seasonally Adjusted, SOFR180DAYAVG
Units Release Dates Observation Period Percent 2021-02-24 to 2024-05-16 2018-10-01 to 2024-05-16

Tools