On March 2, 2020, the Federal Reserve Bank of New York (the "NY Fed"), in cooperation with the Treasury Office of Financial Research, began publishing Secured Overnight Financing Rate ("SOFR") compound averages for tenors of 30, 90 and 180 days, as well as a SOFR Index, to be used in connection with the NY Fed-issued formula to determine SOFR compound averages over custom periods.
Additionally, the NY Fed confirmed that it (i) adopted policies and procedures consistent with best practices for financial benchmarks, including the IOSCO Principles for Financial Benchmarks, and (ii) intends to update its IOSCO Statement of Compliance in the coming months to include the SOFR averages and index.
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