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Compounded SOFR Rates
Compounded SOFR Averages: 30-Day (1M), 90-Day (3M), 180-Day (6M)
Daily compounded SOFR rates over 30, 90, and 180 days - also known as 1M, 3M, and 6M, calculated using official fixings from the New York Fed.
Daily Compounded SOFR Table
Our methodology:
Uses SOFR fixings published by the NY Fed
Calculates compounded averages over exact calendar days
Applies preceding business day SOFR for non-business day start dates (stubhandling)
Uses Actual/360 day count convention
Looking to forecast future interest payments?
How It’s Calculated
We replicate the methodology used by the Federal Reserve Bank of New York for daily compounded SOFR averages.
These settings align with how SOFR is applied in floating-rate loan agreements, hedge calculations, and internal risk models:
These settings align with how SOFR is applied in floating-rate loan agreements, hedge calculations, and internal risk models:
Interest is compounded daily over 30, 90, or 180 calendar days.
Stub periods handled using the prior business day’s SOFR fixing.
No “observation shift” — accrual periods match actual calendar days.
Uses Actual/360 day count convention.
Visualise the Trends
FAQs
What is compounded SOFR?
Do you follow the NY Fed’s methodology?
Is this the same as Term SOFR?
Is 30-day SOFR the same as 1-month SOFR?
Need More Than Just Rates?
If you’re working on debt modelling or valuations:
SOFR forward curves
Real-time swap pricing & MTM
Excel / API access
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