New York Fed proposes three SOFR averages

New York Fed
Jazz Guy

The Federal Reserve Bank of New York has announced plans to publish three compound averages of the secured overnight financing rate (SOFR), a key development in the transition away from Libor.

The proposal includes 30-, 90- and 120-day averages, as well as a daily SOFR index to allow banks to calculate averages for custom time frames. The Fed bank plans to publish the new term rates daily, starting in the first half of 2020, it says in a statement.

SOFR has been identified by the Alternative

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