This page describes SOFR curve data available on CME DataMine, presented as CME SOFR Strip Rates alongside CME Clearing’s SOFR OIS Curves.
CME SOFR Strip Rates data : SOFR Strip Rates Fixings (1-,3-,6- month)
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
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 | Present |
| 3 Month LIBOR Basis | 3/9/20 | Present |
| Fed Funds Basis | 3/9/20 | Present |
| Term Rate Curve | 3/9/20 | Present |