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This page describes SOFR Strip Rate curve data made available through on CME DataMine.This dataset provides 1m, 3m, 6m strip rates are presented for indicative and illustrative purposes, 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 futures using methods a methodology similar to that developed by the Federal Reserve staff reviewed in this work 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.



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 Basis3/9/20Present
Fed Funds Basis3/9/20Present
Term Rate Curve3/9/20Present



Sample Files


6/19/19
DatasetSample File (.JSON)Sample File (.CSV)
SOFR Strip Rate Fixings3/17/203/17/20
3 Month LIBOR Basis3/17/203/17/20
Fed Funds Basis3/17/203/17/20
Term Rate Curve3/17/203/17/20




FAQ

Expand
titleSOFR Strip Rate Format

What format is the file delivered in?

Data is provided in .JSON and .json CSV format.

Are files compressed?

No, the files are not compressed into zip files.

Expand
titleSOFR Strip Rate Availability

How many files are available per day?One file is available

You will receive 4 files in .JSON and 4 files in .CSV format per day.

How far back do you maintain these records?

These SOFR Strip Rate Fixing files go back to May 21, 2019.  All other files go back to March 9,2020.

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.

Expand
titleSOFR Strip Rates Delivery

When are these files delivered?

These files are made available daily at 6:30 PM 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 these datasets, 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.

Expand
titleSOFR Strip Rates Interpretation

What does the data represent?

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

What tenors are available?

FileAvailable Tenors
SOFR Strip Rates Fixings 1-
month
,3-
month
,
and 6-month tenors are available for the strip rates.
6- month
3 Month LIBOR Basis1-,2-,3-,5-,10-,20-,30- year
Fed Funds Basis1-,2-,3-,5-,10-,20-,30- year
Term Rate Curve1-,2-,3-,5-,10-,20-,30- year

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?

SOFR Strip Rate Fixings

Field

Format

Description

businessDateMM-DD-YYYYTrade date of published data
transactionTimeMM-DD-YYYY HH:MM:SSTime rate is calculated
rate#.####SOFR Strip 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


3 Month LIBOR Basis

Field

Format

Description

businessDateMM-DD-YYYYTrade date of published data
transactionTimeMM-DD-YYYY HH:MM:SSTime rate is calculatedsentTime
price##.####Basis Points Spread
termUnitYYear
shortNameUSD-LIBOR-BBA vs USD-SOFR-COMPOUND #YProduct Description


Fed Funds Basis

Field

Format

Description

businessDateMM-DD-YYYYTrade date of published data
transactionTimeMM-DD-YYYY HH:MM:SSTime rate is made available
version#.#Version of data
dataSetSOFRDataset namecalculated
price##.####Basis Points Spread
termUnitYYear
shortNameUSD-Federal Funds-H.15-OIS-COMPOUND vs USD-SOFR-COMPOUND #YProduct Description


Term Rate Curve

Field

Format

Description

businessDateMM-DD-YYYYTrade date of published data
transactionTimeMM-DD-YYYY HH:MM:SSTime rate is calculated
price##.####Interest rate 
termUnitYYear
shortNameUSD-SOFR-COMPOUND #YProduct Description


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