Last month we published an article entitled Are You Libor Ready? On February 13 the Federal Reserve Bank of New York issued an Operating Policy Statement regarding publication of Secured Overnight Financing Rate (SOFR) averages and a SOFR Index to assist the transition to the new index. Publication of 30-, 90-, and 180-day SOFR Averages as well as a SOFR Index will begin March 2, 2020, in order to support a successful transition away from U.S. dollar (USD) LIBOR. The new SOFR Averages will be referred to as “30-day Average SOFR”, “90-day Average SOFR” and “180-day Average SOFR.”
The statement includes the calculation method to be used to determine the SOFR averages and index and illustrated how they will appear on a dedicated page on the NY Fed’s website when published.