In order to support a successful transition away from U.S. dollar (USD) LIBOR, and as administrator of the Secured Overnight Financing Rate (SOFR), the Federal Reserve Bank of New York (New York Fed), in cooperation with the Treasury Department’s Office of Financial Research (OFR), is proposing to publish daily three compounded averages of the SOFR with tenors of 30-, 90-, and 180-calendar days.
The New York Fed plans to initiate publication of these averages in the first half of 2020.
In addition to these three SOFR averages, the New York Fed is also proposing to publish daily a SOFR index that would allow the calculation of compounded average rates over custom time periods.