Today, the Federal Reserve Bank of New York (New York Fed), as administrator of the Secured Overnight Financing Rate (SOFR) and in cooperation with the Treasury Department's Office of Financial Research (OFR), began publishing 30-, 90-, and 180-day SOFR Averages as well as a SOFR Index, in order to support a successful transition away from U.S. dollar (USD) LIBOR.
In the production of the SOFR Averages and Index, the New York Fed has adopted policies and procedures consistent with best practices for financial benchmarks, including the IOSCO Principles for Financial Benchmarks. In the coming months, the New York Fed intends to update its IOSCO Statement of Compliance to include the SOFR Averages and Index. Additional information about the policies and procedures related to administration of the SOFR Averages and Index is now available, including the calculation methodology, treatment of non-business days, and revision policy.
Potential users of the SOFR Averages and Index can subscribe here to receive alerts and updates. In addition, SOFR Averages and Index data will be available via API call. Please refer to the API documentation for detailed information on the use of the web service.
Lastly, the New York Fed has previously released indicative historical rates for the SOFR averages and index for the period extending from April 2018 to October 2019. The remainder of the time series for these rates (extending through to the end of February 2020) is expected to be published in the coming weeks.