SOFR Index (SOFRINDEX)

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Source: Federal Reserve Bank of New York  

Release: SOFR Averages and Index Data  

Units:  Index Apr 2, 2018 = 1, Not Seasonally Adjusted

Frequency:  Daily

Notes:

As an extension of the Secured Overnight Financing Rate (SOFR), the SOFR Index is the cumulative impact of compounding the SOFR on a unit of investment over time since April 2, 2018; initial value set to 1.

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.