Compounded SOFR calculator
Daily SOFR compounded in arrears over your interest period under plain arrears, a lookback, an observation shift or a lockout, with the day-by-day working and a SOFR Index cross-check.
This calculator compounds the New York Fed's published daily SOFR over an interest period you choose, the way a SOFR-in-arrears loan, note or swap accrues. Pick plain arrears, a lookback, an observation shift or a lockout, and it returns the annualized compounded rate, the interest on your notional, and every daily step behind the figure. It is built for agents, treasury analysts and borrowers checking an interest notice or pricing a convention choice.
Compound SOFR for an interest period
Loading SOFR data…
All four conventions, same period
| Convention | p | Compounded rate | vs plain | Interest | Last SOFR published | SOFR Index check |
|---|---|---|---|---|---|---|
| Calculating… | ||||||
Daily detail
| Accrual date | SOFR value date | SOFR | ni | Cumulative factor |
|---|---|---|---|---|
| Calculating… | ||||
Features
- Four in-arrears conventions. Plain arrears, lookback without shift, lookback with observation shift and lockout, each with an adjustable number of business days. The lockout counts p one business day differently from the ARRC FRN template; the conventions list below gives the conversion.
- Side-by-side comparison. The same interest period run under all four conventions, with the difference from plain arrears in basis points and the interest amount for each.
- SOFR Index cross-check. Plain arrears and the observation shift are recomputed from the New York Fed's published SOFR Index whenever both boundary dates have an Index value.
- Payment-notice view. For each convention, the date the last SOFR it needs was published, so you can see how much warning the convention buys before payment.
- Daily working and CSV. Every accrual day with the SOFR value date applied, the day weight ni and the running compounded factor, exportable for a spreadsheet or an audit file.
- Interest with a margin. Enter a notional and a spread for actual/360 interest, split into its SOFR and margin parts.
How to use the compounded SOFR calculator
- Enter the interest period's start and end dates. The end date is excluded from accrual, as in loan and note documentation. For an observation shift, both dates must be U.S. government securities business days.
- Choose the convention your document uses and set p, the number of business days of lag or lockout. Changing the convention resets p to its usual default.
- Add the notional and any margin if you want an interest amount, then press Calculate.
- Read the headline rate, then check the comparison table and the SOFR Index line. Download the daily detail if you need to reconcile against an agent's or trustee's notice.
How compounded SOFR in arrears is calculated
The formula
The calculator uses the compounding formula the New York Fed publishes for its SOFR Averages, applied to your own start and end dates:
Compounding happens only on business days; a Friday rate accrues simply for three days. That is the New York Fed's stated method: rates compound only from one business day to the next, a weekend or holiday earns simple interest at the last business day's SOFR, and the year has 360 days. A business day here is a U.S. government securities business day: any weekday that the Securities Industry and Financial Markets Association does not recommend as a full close for trading in U.S. government securities.
The calculator displays five decimals of a percent, matching how the New York Fed rounds the 30-, 90- and 180-day SOFR Averages it publishes. The spread is added after compounding and accrues simply; if your margin clause works differently, adjust for it.
What each convention changes
Plain arrears uses each day's own SOFR, so the last rate is published on the morning the period ends. The ARRC's 2021 User's Guide to SOFR calls it "often not operationally practical". The other three conventions buy notice in different ways:
- Lookback (no shift). Each day in the interest period uses the SOFR from p business days earlier, but the day weights nᵢ still come from the interest period. A Friday in the interest period weighs 3 even if the rate it borrows came from a Tuesday.
- Observation shift. The whole observation window moves back p business days, and the weights come from that shifted window. The rate therefore equals compounded SOFR over a real stretch of the calendar, which is why it can be checked against the SOFR Index. The day count for interest stays the interest period's.
- Lockout. Rates are observed without a lag, but the final p business days of the period stop taking new prints. This calculator freezes those last p days at the SOFR for the business day before them. That is one business day earlier than the wording of the ARRC's 2019 FRN Matrix Appendix template, where every business day from the Rate Cut-Off Date (bracketed there as the second business day before maturity) uses the SOFR for the cut-off date itself. To reproduce a document drafted that way, enter p − 1: a cut-off on the second business day before the end date is p = 1 here.
Since each SOFR print appears at about 8:00 a.m. ET on the business day after the date it covers, each of these conventions, as implemented here, has its last needed print published p business days before the period end date. A lockout written with a Rate Cut-Off Date p business days before the end gets one day less notice: p − 1.
Worked example: September 2026 through a rate change
Take an interest period from September 1 to October 1, 2026: 30 calendar days and 21 SOFR business days. No SOFR is published for Monday, September 7 (Labor Day), so Friday, September 4 carries n = 4. Halfway through, the federal funds target range rose 25 bp to 3.75–4.00%, effective September 17, 2026, and the SOFR print for that date stood 23 bp above the one for the day before (3.85% against 3.62%). A step that size inside one period is what makes the convention choice visible. These are the figures the calculator loads with, on a $10,000,000 notional:
| Convention | Compounded rate | vs plain | Interest | Last SOFR used |
|---|---|---|---|---|
| Plain arrears | 3.75414% | — | $31,284.48 | Sept 30, published Oct 1 |
| Lookback, 5 days | 3.69831% | −5.58 bp | $30,819.24 | Sept 23, published Sept 24 |
| Observation shift, 5 days | 3.69764% | −5.65 bp | $30,813.67 | Sept 23, published Sept 24 |
| Lockout, p = 2 (this calculator) | 3.75481% | +0.07 bp | $31,290.05 | Sept 28, published Sept 29 |
| Lockout, p = 1 (ARRC 2-day cut-off) | 3.75347% | −0.07 bp | $31,278.91 | Sept 29, published Sept 30 |
Under plain arrears the higher rates apply from September 17, so 14 of the 30 accrual days earn post-change rates. With a five-day lookback, the September 23 accrual day still uses SOFR for September 16 (3.62%), and the 3.85% print first reaches accrual on September 24, leaving 7 days at the new level. The observation shift runs from August 25 to September 24, 2026, and likewise contains 7 days at post-change rates. The lag costs the lender about $465 and $471. The calculator's 2-day lockout fixes September 29 and 30 at September 28's 3.90% (September 29's actual print was 3.88%), adding $5.57. Drafted the ARRC FRN way, with the Rate Cut-Off Date on September 29, the second business day before October 1, only September 30 is frozen, at September 29's 3.88% instead of its own 3.90%. That costs the lender $5.57, and the last print it needs arrives on September 30, one business day before the period ends. In this calculator that is p = 1.
Two published figures confirm the arithmetic. The SOFR Index was 1.25706076 on September 1 and 1.26099341 on October 1, 2026; (1.26099341 ÷ 1.25706076 − 1) × 360 ÷ 30 gives 3.75414%, matching plain arrears. And the 30-day Average SOFR the New York Fed published on October 1, 2026 is 3.75414%, because that average covers the same 30-day window. The observation-shift result, 3.69764%, likewise equals the 30-day Average published on September 24, 2026. With a 1.50% margin, plain-arrears interest becomes $31,284.48 + $12,500.00 = $43,784.48.
Which convention to use, and when to use another tool
Use the convention your document names; this calculator does not pick one. As a rough map of the market: the ARRC favored the plain lookback for business and syndicated loans, where it contemplated 5 business days, since a loan can be prepaid or sold mid-period and each calendar day must keep its own weight. Notes went shorter, with lags of two or three business days by the ARRC's account, and the observation shift was one of its FRN recommendations. Its 2019 FRN Conventions Matrix sets the lockout design beside a five-day lookback and a two-day shift. Legacy USD LIBOR swaps that fell back under ISDA's terms use the two-day shift. The guide to compounding conventions sets the ARRC's product-by-product recommendations out in full.
If your contract references the SOFR Index directly, the SOFR Index calculator is the cleaner route. For a legacy LIBOR fallback including the fixed ISDA spread adjustment, use the LIBOR fallback calculator. For simple interest at a single SOFR print plus a spread, use the SOFR interest calculator. Term SOFR loans set their rate in advance from a CME Group benchmark; compounding daily SOFR will not reproduce them. Payment delays are covered in the same guide.
Caveats
Check against your documentThis is an estimate from published data, not the agent's or trustee's determination; the contract and its calculation agent govern. Lockout definitions vary by one business day between documents, so check which day's SOFR your document freezes before entering p. If your document rounds the compounded rate, floors daily SOFR or the result, or adds a payment delay, apply those separately; this calculator does not.
Business days are taken from the dates on which SOFR was published, so a period cannot extend past the latest print in the snapshot (October 8, 2026). The New York Fed may revise SOFR on the day of publication, at about 2:30 p.m. ET, when the change exceeds one basis point. Index values exist only for business days from March 2, 2020, so the Index cross-check is skipped outside that range.
Frequently asked questions
- Why does my compounded rate differ from the average of the daily SOFR prints?
- Two reasons. Compounding earns interest on interest, which adds a little at today's rate levels over a month or a quarter. And weekend days are weighted by the Friday rate, so a simple average of business-day prints under-weights Fridays. The daily detail table shows each weight nᵢ.
- What is the difference between a lookback and an observation shift?
- Both use rates from p business days earlier. A lookback keeps the interest period's day weights, so a lagged Tuesday rate can be weighted 3 because the accrual day is a Friday. An observation shift weights each rate by the days in the shifted window it was observed in. In the September 2026 example the two differ by less than 0.1 bp; how far apart they land depends on where weekends and holidays fall relative to moves in SOFR.
- Can I start or end the period on a weekend?
- For plain arrears, lookback and lockout, yes: a weekend or holiday start uses the preceding business day's SOFR for the days until the next business day. An observation shift counts back p business days from each boundary, so both dates must be business days. The SOFR Index check also needs business-day boundaries.
- How do I reproduce an agent's interest notice?
- Enter the period dates from the notice, choose the convention and p from the credit agreement, add the margin, and compare the interest. If it differs, download the CSV and compare the SOFR value date applied on each day; a one-day difference in the lag or the lockout start shows up there at once.
- Why is there no Index check for the lookback or lockout?
- The SOFR Index compounds each day's own SOFR over a continuous stretch of calendar. A lookback mixes lagged rates with interest-period weights, and a lockout repeats a print, so neither matches any ratio of two Index values. Plain arrears and the observation shift do, and the calculator checks both.
- How current is the data?
- The calculator uses SOFR through October 8, 2026 and the SOFR Index through October 9, 2026, taken from the New York Fed. The latest SOFR in the snapshot is 3.87%.
Privacy and data
Every figure on this page is computed by your browser. The daily SOFR and SOFR Index values come from a dated copy of the New York Fed's data, stored with this site; the calculator makes no other network requests, and the dates and amounts you type are not sent or stored anywhere. The CSV is generated on your device.