Source: Federal Reserve Bank of New York
Release: SOFR Averages and Index Data
As an extension of the Secured Overnight Financing Rate (SOFR), the 90-day SOFR Average is the compounded average of the SOFR over a rolling 90-day period.
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 read the additional documentation about the Treasury Repo Reference Rates.
Federal Reserve Bank of New York, 90-Day Average SOFR [SOFR90DAYAVG], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/SOFR90DAYAVG, May 13, 2021.