In an important step to facilitate the market’s transition away from LIBOR to SOFR, today, the Federal Reserve Bank of New York (the “New York Fed”) began publishing 30-, 90-, and 180-day SOFR Averages (the “SOFR Averages”), along with a daily index (the “SOFR Index”). The SOFR Index is an index that allows for the calculation of compounded average rates over custom time periods. The SOFR Averages and the SOFR Index can be easily cited and will help market participants adopt and implement SOFR-based contracts.
Each SOFR Average and the SOFR Index will be published on each business day (that is not recognized as a holiday by the SIFMA calendar for secondary market trading of U.S. government securities) on the New York Fed’s website, which is found at: https://apps.newyorkfed.org/markets/autorates/sofr-avg-ind.
Seward & Kissel’s LIBOR Transition Task Force continues to monitor the market transition away from LIBOR and will provide additional updates as material developments occur.
Please contact any member of the LIBOR Transition Task force or your primary attorney at Seward & Kissel if you have any questions about this Client Alert and any LIBOR transition matters.