ARRC has published a handbook on SOFR, aiming to inform market participants about its use in cash products. The first edition of the book was released last year and is now available for download from www.cashflow.net. the various calculation methodologies for the new benchmark. It addresses questions of using a simple or compound average of SOFR and using an “in advance” or an “in arrears” timeframe for averaging SOFR. Relevant document: A User’s Guide to SOFR ~ ARRC ~ April 2019
ARRC has published a handbook on SOFR, aiming to inform market participants about its use in cash products. The first edition of the book was released last year and is now available for download from www.cashflow.net. the various calculation methodologies for the new benchmark. Relevant document: A User’s Guide to SOFR ~ ARRC ~ April 2019