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This page describes Term SOFR benchmarks and the data available on DataMine.  

CME Term SOFR Reference Rates

CME Term SOFR Reference Rates provide an indication of the forward-looking measurement of overnight SOFR, based on market expectations implied from leading derivatives markets.



Dates Available

CME Term SOFR Reference Rates data is available from 9/15/20 to present.

By File



File

Start Date

End Date

CME Term SOFR Reference Rates

 (1-,3-,6- month)

9/15/2020

Present

Term SOFR Concatenation URL Example:

https://data-api.datamine.cmegroup.com/cme/api/v1/concat?pid=SOFRT_TermRate_Fixings_0_0&from=20201001&to=20210804



Sample Files


DatasetSample File (.JSON)Sample File (.CSV)
CME Term SOFR Reference Rates10/1/202010/1/2020



FAQ

What format is the file delivered in?

Data is provided in .JSON and .CSV format.

Are files compressed?

No, the files are not compressed into zip files.


How many files are available per day?

You will receive 1 file in .JSON and 1 file in .CSV format per day.

How far back do you maintain these records?

Term SOFR data starts on 9/15/2020. 

Do you have sample files available?

Yes, see Sample Files section above.

Are there any anomalies in the the data?

There are no known anomalies.


When are these files delivered?

File

File Delivery Time

CME Term SOFR Reference Rates

5:45am AM CST 

If I purchase daily updates of these datasets, will I get historical data as well?

No. When an order is placed for daily updates of this dataset, the first file included will be generated for the start date of the subscription. However, files remain accessible for 30 days after purchase, enabling the customer to reference previous day’s data.


What does the data represent?

CME Term SOFR Reference Rates provide an indicative view into forward-looking expectations for overnight Treasury repo rates as reflected by SOFR.

What tenors are available?

FileAvailable Tenors

CME Term SOFR Reference Rates

 
1-,3-,6- month

How is the data computed?

The data is derived purely from settlement prices of CME SOFR Futures using methods similar to that developed by the Federal Reserve staff reviewed in this paper.

How large are these files?

The average file size is approximately .7KB.

How is the data structured?


Field

Format

Description

businessDateMM-DD-YYYYTrade date of published data
transactionTimeMM-DD-YYYY HH:MM:SSTime rate is calculated
rate#.####Term SOFR Rate
productCodeTR1, TR3, TR6

Product code of Rate 

TR1= 1 month

TR3= 3 month

TR6= 6 month

securityId######Instrument Security ID number
productDescription#-MTH SOFR SYNTH FUTDescription





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