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***% on 29/11/2022
! Max historical depth is 10 years

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Index description

As an extension of the Secured Overnight Financing Rate (SOFR), the SOFR Averages are compounded averages of the SOFR over rolling 30-, 90-, and 180-calendar day periods. The SOFR Index measures the cumulative impact of compounding the SOFR on a unit of investment over time, with the initial value set to 1.00000000 on April 2, 2018, the first value date of the SOFR. The SOFR Index value reflects the effect of compounding the SOFR each business day and allows the calculation of compounded SOFR averages over custom time periods.

List of securities for index calculation

Subgroup indices

Index Current value Date
SOFR *** % 30/11/2022
SOFR 12M *** % 01/12/2022
SOFR 180-DAY AVERAGE *** % 30/11/2022
SOFR 1M *** % 01/12/2022
SOFR 30-DAY AVERAGE *** % 30/11/2022
SOFR 3M *** % 01/12/2022
SOFR 6M *** % 01/12/2022
SOFR 90-DAY AVERAGE *** % 30/11/2022
SOFR Index *** 30/11/2022
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