The New York Fed 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 H1 2020 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 RFR. Comments on the proposal are requested by 4 December. Relevant document: Additional information about the SOFR and other Treasury Repo Reference Rates can be found here. For more information about how derivatives can be used as collateral or credit risk management tools, see our recent report Derivatives Used As Credit Risk Management Tools.
The New York Fed 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 H1 2020 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 RFR. Comments on the proposal are requested by 4 December. Relevant document: For more information about how derivatives can be used as collateral or credit risk management tools, see our recent report Derivatives Used As Credit Risk Management Tools.