The CME Term SOFR Reference Rates benchmark is a daily set of forward-looking interest rate estimates, calculated and published for 1-month, 3-month, 6-month and 12-month tenors.

CME Term SOFR Reference Rates are:

• Endorsed by the ARRC
• Designed to adhere to the IOSCO Principles for Financial Benchmarks
• Compliant with Benchmark Regulations

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Currently, we use transaction data from 13 consecutive SR1 futures (1-month CME SOFR futures contracts) and five consecutive quarterly SR3 futures (3-month CME SOFR futures contracts).

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A set of Volume Weighted Average Prices (VWAP) are calculated using transaction prices observed during several observation intervals throughout the trading day. These are then used in a projection model to determine CME Term SOFR Reference Rates. Full details of the calculation methodology are available on the Term SOFR webpages.

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CME Term SOFR Reference Rates will be calculated for each day. The New York Federal Reserve calculates and publishes SOFR, in accordance with the recommended SIFMA U.S. Holiday Schedule. There will be no data sampling, calculation, or publication on a SIFMA U.S. Holiday.

Publication will occur on each day at 5:00 a.m. CT (U.S. Central Standard Time).

As described in the calculation methodology, publication of CME Term SOFR takes place on day T based on the data sampling on T-1. The start date of the reference period for the Term SOFR rates is T+2, as illustrated below:

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CME Term SOFR is available via market data redistribution partners, CME DataMine, and CME’s Market Data Platform.

CME Term SOFR Reference Rates can also be viewed on the CBA webpages Use of any data accessed on the CME Group website is limited to “view only”, in accordance with CMEGroup.com Data Terms of Use.

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• Use of CME Term SOFR Reference Rates as a data input or reference in valuation, pricing, transactional, or benchmarking activities and in the provision of a service requires a Use License in the form of an Information License Agreement (ILA) obtained directly with CME Group.
• An End User does not require a Use License by merely being the borrower or counterparty. However, other activities to manage assets referenced or priced to CME Term SOFR may require a license.
• Use of CME Term SOFR in a Display Device for internal business purposes may be licensed directly with CME Group or an authorized distributor/vendor by means of a standard internal use subscriber agreement.
• Non-Display use of CME Term SOFR must be licensed directly with CME Group.
• A Distribution License, available directly from CME Group, is required for any party that distributes CME Term SOFR Reference Rates to third parties.
• A license is further required for any party wishing to access historical CME Term SOFR Reference Rates data via CME DataMine.

Please contact CME Group Data Sales to discuss and arrange appropriate data licensing.

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Use of CME Term SOFR Reference Rates as a primary reference in Cash Market Financial Products for the calculation of the interest amount, default rate and close out calculations or for purposes of transitioning Cash Market Financial Products from LIBOR (e.g. loans, mortgages, notes, money market instruments).

Typical Category 1 permitted use in Cash Market Financial Products include:

• Syndicated Loans: Bilateral and syndicated lending, which reference Term SOFR, are permitted under Category 1. All lending participants to a loan syndication will require a Category 1 Use License.
• Intercompany lending: Use of CME Term SOFR in an intercompany loan is permitted under Category 1, as the corporate will take on the role of a lender.

 OTC Derivative Products: Derivative products (e.g., structured products, swaps, security-based swaps, forwards, warrants, options, and other similar derivative instruments) are permitted to hedge end user exposure from one or more Cash Market Financial Products that references CME Term SOFR.

 Swapping Fixed Rate Debt: Swapping of fixed rate debt to Term SOFR is permitted if the swap is intended to hedge existing Term SOFR exposure.

 Inter-dealer Trading: Interdealer (dealer to dealer) trading of derivative products that reference CME Term SOFR is not permitted.

Typical Category 2 permitted use in OTC Derivative Products include:

• A Borrower Hedging Term SOFR Exposure: A borrower may hedge its Term SOFR exposure using OTC Derivative Products. The OTC Derivative hedge does not need to be with the lender.
• A Lender Hedging Term SOFR Exposure: A lender may hedge their Term SOFR exposure using OTC Derivative Products with an internal or external derivatives desk.
  • A lending desk providing a derivatives hedge to the borrower can use a third party to offset this derivatives exposure if the lending desk does not participate in the inter-dealer derivatives market.
• An Investor Hedging Term SOFR Exposure: An investor that purchases a loan or securitisation linked to Term SOFR may hedge their Term SOFR exposure using OTC Derivative Products.
• A Syndication Participant: A syndication participant is permitted to enter back to back Term SOFR OTC Derivative transactions solely for credit risk mitigation (any inter-bank distribution of Term SOFR market risk is not permitted).

Use of CME Term SOFR Reference Rates in products and/or services provided to external clients. For example, pre- and post-trade services that include treasury and risk management activities, transaction administration services, and valuation services.

The service providers must hold a license directly with CME Group for Category 3 Use of CME Term SOFR. Whilst a client of such a service does not require a License with CME Group to access the service, they may require a License with CME Group depending on their use.

Where a Category 1 or Category 2 licensee provides client valuations, interest rates, pricing information, or similar calculations related to the Category 1 or Category 2 Products executed with the client, this activity does not require a Category 3 license. For the avoidance of doubt, a Category 3 license is only required where such a service is provided by a service provider that is not a direct party to the transactions being managed by the service.

The licensing Terms and Conditions and Benchmark Data Fees can be found on the following CME Group Information License Agreement webpage.

We encourage market participants to engage with CME Group Data Sales to help with any licensing needs.

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Our policy is to limit the use of CME Term SOFR Reference Rates to avoid overly detracting from volumes in the underlying SOFR-linked derivatives, that are relied upon to construct CME Term SOFR rates.

Whilst independent, our policy aligns with ARRC guidance on recommended scope of use of Term SOFR.

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CME Group standard reporting requirements vary according to how you access and use the data. This is covered in more detail in our Reporting and Audit Guide.

Reporting obligations for accessing CME Term SOFR:

Display Devices – Reporting obligations for accessing CME Term SOFR in Display Devices will begin in January 2023.

Where CME Term SOFR is accessed for viewing on a screen provided by a licensed data distributor then:

1. the distributor alone will report directly to CME Group the total quantity of display devices with access to the data by your firm.
2. that total quantity of devices, in aggregate, is reported on a location basis each month.
3. for each location the report captures, firm name, firm address, and total quantity of devices with access to the CME Term SOFR data.
4. no personal or user level detail is required to be reported.

Where CME Term SOFR is accessed for viewing on a screen, and the access to the display devices is managed by the license holder (licensee) then:

• the licensee will be required to report directly to CME Group the total quantity of display devices with access to the data by your firm.
• the total quantity of devices, in aggregate, is reported on a location basis each month.
• for each location, the report captures firm name, firm address, and total quantity of devices with access to the CME Term SOFR data.
• no personal or user level information is required to be reported. 

Where CME Term SOFR is used for Non-Display Benchmark Use, licensees have no reporting obligation for such use. 

Reporting obligations for Use License Categories 1 and 2

CME Benchmark Administration, Ltd. is subject to UK Benchmark Regulation (UK BMR) that requires CBA to report to the regulator the outstanding notional of financial products that reference CME Term SOFR. This helps the regulator determine the use of and systemic importance of the benchmark.

CME Group, therefore, requires licensees to report the total outstanding notional of their financial products that reference CME Term SOFR. This can be reported as a single aggregated notional across Category 1 and Category 2 products combined, or as a separate notional for each category. The request, a point in time assessment, will come in January of each year and will be due in February. This requirement will be deferred for 2022 and will commence in 2023.

Reporting obligations for Use License Categories 3

For use Category 3, there are currently no reporting obligations.

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CME Group provides a reporting template in Excel format.  It can be downloaded from the CME Data Services Portal, which can be accessed here.

A sample reporting template can also be found here.

Completed templates should be submitted using the same portal.  Your firm will be provided a unique access point to this portal to enable you to submit these reports each month.  Here is a screenshot of where you will be asked to submit your report:

For additional information about reporting, please refer to our Device Reporting Fact Sheet. You can also reach out to your dedicated Global Account Manager or contact marketdata@cmegroup.com.

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To administer the license agreement, including notifications, communication, and billing, CME Group requires the following information concerning your firm: firm name, firm address, an email address to which you would like all communications to be sent, and a phone number for us to contact you in respect of the agreement. Such information is confidential and used only by CME Group to carry out its obligations under the agreement.

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CME Term SOFR Reference Rates are a family of benchmarks registered under BMR and available for use by EU/UK supervised entities.

Under the Brexit transition arrangement, all UK BMR regulated benchmarks are eligible for use in the EU as Third Country transitional benchmarks, without EU registration. A Benchmark Regulatory Statement is available on the CBA webpages.

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At the end of the transition period, use of a benchmark in the EU will require a benchmark to be registered in the EU. There is an option for the EU to extend the transition period by a further two years until the end of 2025.

CME Group is committed to ensuring that CME Term SOFR continues to be available for use as a benchmark in the EU post-transition.

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CME Term SOFR Reference Rates have been designed to meet industry best practices and the IOSCO Principles for Financial Benchmarks. A statement of IOSCO compliance is available on the CBA webpages.

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The ARRC formally announced its endorsement of 1-month, 3-month and 6-month CME Term SOFR Reference Rates on July 29, 2021, and the 12-month Reference Rate on May 19, 2022.

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