This page describes SOFR curve data available on CME DataMine, presented as Historical CME SOFR Strip Rates data alongside CME Clearing’s SOFR OIS Curves.
CME SOFR Strip Rates data : SOFR Strip Rates Fixings (Historical data through 9/15/2020) Please Refer to Term SOFR for data after 9/15/2020.
1-month, 3-month and 6-month rates are presented as an indicative and illustrative preview of Term SOFR rates, derived purely from settlement prices of CME SOFR futures using a methodology similar to that developed by the Federal Reserve in this working paper.
CME Clearing’s SOFR OIS curve data: 3 Month LIBOR Basis, Fed Funds Basis, Term Rate Curve
Illustrates forward-looking SOFR expectations for 1-year and beyond, uses SOFR Futures for short-end as well as FedFund-SOFR Basis markets derived from readily available broker pages.
SOFR Strip Rates- Contents
- Block Trades
- End of Day
- Eris PAI Dataset
- Market Depth
- MBO FIX
- BrokerTec Historical Data
- Time and Sales
- Top of Book - BBO
- Volume and Open Interest
- Order Book AI
- STL INT Settlements
- GovPX Historical Data
- Packet Capture Dataset
- GovPX End of Day Historical Data
- BrokerTec European Repo Historical Data
- Premium FX Feed Historical Data
- SOFR Strip Rates
- CME Liquidity Tool Datasets
- EBS Historical Data
- Registrar
- Collateral Eligibility Lists
- Term SOFR
- CME Group Volatility Indexes - CVOL
- CME Group Petroleum Index
- RepoFunds Rate (RFR) USD
- AIR Futures
- FX Options Vol Converter
- OTC IRS Curves
Dates Available
SOFR Strip Rates Fixings data is available from May 21, 2019 to present day.
The other files included in this offering are available from March 9, 2020 to present day.
By File
| File | Start Date | End Date |
|---|---|---|
| SOFR Strip Rates Fixings (1-,3-,6- month) | 5/21/19 | 9/14/2020 |
| 3 Month LIBOR Basis | 3/9/20 | Present |
| Fed Funds Basis | 3/9/20 | Present |
| Term Rate Curve | 3/9/20 | Present |