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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 are a set of daily implied forward-looking interest rates, calculated and published for 1-month, 3-month, 6-month.  An additional 12-month tenor is in the development process and will be available in the first half of 2021.

These benchmarks use SOFR derivatives transactions and executable orders as input data. Initially we make use of CME SOFR futures, the computation process can also be adapted to include OIS data from available venues. In 2020, CME SOFR futures volume has averaged $132 billion per day in representative notional.


*During the prototype stage, Term SOFR are for information purposes only and are not for use as a reference in financial instruments.





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



Sample Files


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




FAQ

 Term SOFR Format

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.


 Term SOFR Availability

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.


 Term SOFR Delivery

When are these files delivered?

File

File Delivery Time

CME Term SOFR Reference Rates

6 AM CST the following day

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.


 Term SOFR Interpretation

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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