Today, the Federal Reserve Bank of New York (New York Fed) released an extension of its time series of indicative SOFR rates and volumes through November 21, 2024. This time series demonstrates how SOFR would have printed if the modifications to SOFR’s methodology implemented on November 25, 2024 had been in place since January 2020.
Today’s extension of this series fills the gap between the indicative historical data that the New York Fed previously released in July 2024 and the implementation of the methodology changes on November 25, 2024, which reflected transaction data from November 22.
These indicative rates and volumes should not be considered official values.
