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.
SOFR Strip Rates- Contents
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 |