NY Fed to Publish SOFR Averages and SOFR Index

The Federal Reserve Bank of New York announced a proposal to publish three daily compounded averages of SOFR (for 30-, 90-, and 180- days) as well as a daily SOFR index to aid those calculating compounded averages over custom time periods.

The calculation methodology details are available along with the announcement. Publication of the averages and index will begin on March 2, 2020. Their publication will provide a useful “tie-in” for market participants who need to sort out all the nuances involved in calculating the compounded average for SOFR.

pasVal handles these nuances with ease: daily compounded averages with or without lookbacks and observational shifts, rounding, applying the US Government Securities calendar, rate lockouts and cutoffs, and payment delays. You can use pasVal for a short time, a long time, a handful of valuations, or valuing entire portfolios of swaps and the items they hedge. pasVal provides a wide range of reports including cash flows, risk, profit and loss, fair value measurement, CVA/DVA, and HET.

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