As an extension of the Secured Overnight Financing Rate (SOFR), the SOFR Averages are compounded averages of the SOFR over rolling 30-, 90-, and 180-calendar day periods.
The SOFR Index measures the cumulative impact of compounding the SOFR on a unit of investment over time, with the initial value set to 1.00000000 on April 2, 2018, the first value date of the SOFR. The SOFR Index value reflects the effect of compounding the SOFR each business day and allows the calculation of compounded SOFR averages over custom time periods.
Each business day, the New York Fed publishes the SOFR Averages and SOFR Index on the New York Fed's website, shortly after the SOFR is published at approximately 8:00 a.m. ET.a
For more information on the production of the SOFR Averages and Index—including the calculation methodology, treatment of non-business days, and value dates—please see Additional Information about the Treasury Repo Reference Rates.
To access historical data, please see: SOFR Averages and Index Historical Search
Download daily historical indicative SOFR averages and indicative index values (from April 2018)