Proposed Calculation Methodology Compounding The New York Fed plans to publish three compounded SOFR averages and a SOFR index 4 December to calculate compounded average rates for custom time periods. Publication is expected to commence in three and will follow shortly after SOFR publishes at around 8am ET. The proposed 30-, 90- and 180-calendar day averages are based on daily compounding and align with ISDA 's methodology for using overnight rates in swap contracts. The regulator anticipates making standardised SOFR averages easily available will encourage broader adoption of the SOFR . Comments on the proposal are requested by 4 December . Relevant document: ARRC Welcomes Release of Proposed Publication of SOFR Averages and a SOFR Index ~ H1 2020
The New York Fed plans to publish three compounded SOFR averages and a SOFR index 4 December to calculate compounded average rates for custom time periods. Publication is expected to commence in three and will follow shortly after SOFR publishes at around 8am ET. The proposed 30-, 90- and 180-calendar day averages are based on daily compounding and align with ISDA 's methodology for using overnight rates in swap contracts. The regulator anticipates making standardised SOFR averages easily available will encourage broader adoption of the SOFR . Comments on the proposal are requested by 4 December . Relevant document: ARRC Welcomes Release of Proposed Publication of SOFR Averages and a SOFR Index ~ H1 2020