SOFR Index

What Is the SOFR Index?

The SOFR Index is a single running number, published each business day by the Federal Reserve Bank of New York, that tracks the cumulative effect of compounding daily SOFR since a fixed starting point. It is a different thing from the daily SOFR rate itself: SOFR is a single day's overnight rate, while the SOFR Index is a running compounding factor that lets anyone back out the compounded average rate over any stretch of time just by comparing two index values.

The New York Fed began publishing the SOFR Index on 2 March 2020, alongside the 30-, 90-, and 180-day SOFR Averages. The index's base value was set to 1.00000000 on 2 April 2018 — the same date daily SOFR publication began — and it has compounded upward from there every business day since.

How the SOFR Index Is Calculated

The index compounds daily SOFR using the same conventions as most compounded-in-arrears loans:

• Daily compounding on each business day, using that day's published SOFR.
• Simple interest on non-business days, applied at the prior business day's SOFR value.
• Actual/360 day count — actual calendar days, 360-day year — consistent with standard USD money market convention.

Unlike daily SOFR itself (published one business day after the trades it reflects), the SOFR Index is published on its own value date, so there's no one-day lag to account for.

Getting a Compounded Rate From the Index

The main practical use of the SOFR Index is calculating a compounded average rate over any period — including periods that don't line up with the published 30-, 90-, or 180-day averages — using a simple ratio:

Compounded Average Rate = [(Index_end / Index_start) − 1] × (360 / d)

where Index_end and Index_start are the SOFR Index values on the last and first days of the period, and d is the actual number of calendar days between them. This gives the same result as manually compounding every daily SOFR fixing in the period, without having to do the day-by-day math yourself.

SOFR Index vs. Compounded SOFR in Arrears

The SOFR Index isn't a separate loan convention — it's a calculation shortcut. Loans that use Compounded SOFR in Arrears are, mathematically, already compounding daily SOFR the same way the index does; the index just gives a standardized reference point so anyone can reproduce the calculation without re-deriving it from scratch. It plays a similar role to the SONIA Compounded Index that the Bank of England publishes for sterling loans.

Frequently Asked Questions

Is the SOFR Index the same as the SOFR rate? No. Daily SOFR is a single overnight rate for one day. The SOFR Index is a cumulative compounding factor that lets you calculate an average compounded rate across any period by comparing two index values.

Where is the SOFR Index published? The Federal Reserve Bank of New York publishes it each business day on its SOFR Averages and Index page, alongside the 30-, 90-, and 180-day SOFR Averages.

Do I need the SOFR Index to use a SOFR loan calculator? Not directly — a calculator that compounds each day's published SOFR rate for your specific loan period will produce the same result as the index-ratio formula. The index is mainly useful as a standardized public reference and for spot-checking a manual calculation.

Where can I see the current SOFR Index value or a historical SOFR chart? Our current & historical rates page shows the latest published SOFR rate alongside an interactive historical chart back to April 2018, sourced directly from the New York Fed — useful for spot-checking the index calculation above against the actual daily fixings.

Calculate Compounded SOFR Yourself

Use our free RFR Loan Calculator to compound daily SOFR over your own loan period — with a full daily rate ledger and Excel export — without needing to work through the index formula by hand.