Source: Federal Reserve Bank of New York
Release: SOFR Averages and Index Data
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.
Federal Reserve Bank of New York, SOFR Index [SOFRINDEX], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/SOFRINDEX, May 13, 2021.