The New York regulator plans to publish three compounded SOFR averages and a SOFR index daily to calculate compounded average rates for custom time periods . Publication is expected to commence in early 2020 and will follow shortly after SOFR publishes at around 8 ##am ET . The proposed 30- , 90- and 180-calendar day averages are based on daily compounding and consistent with ISDA 's methodology for using overnight rates in swap contracts . The regulator anticipates that standardised SOFR averages easily available will encourage broader adoption of the RFR . To calculate the compounded SOFR average between any two dates within the SOFR publication calendar, one would only need to input the SOFR index values on those dates into the following formula 10: Comments on the proposal are requested by 31 December . Relevant document : ARRC Welcomes Release of Proposed Publication of SOFR Averages and a SOFR Index ~ 4-Nov-19
The New York regulator plans to publish three compounded SOFR averages and a SOFR index daily to calculate compounded average rates for custom time periods . Publication is expected to commence in early 2020 and will follow shortly after SOFR publishes at around 8 ##am ET . The proposed 30- , 90- and 180-calendar day averages are based on daily compounding and consistent with ISDA 's methodology for using overnight rates in swap contracts . The regulator anticipates that standardised SOFR averages easily available will encourage broader adoption of the RFR . Comments on the proposal are requested by 31 December . Relevant document : ARRC Welcomes Release of Proposed Publication of SOFR Averages and a SOFR Index ~ 4-Nov-19