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This page describes SOFR Strip Rate data made available through CME DataMine.

This dataset provides 1m, 3m, 6m strip rates are presented for indicative and illustrative purposes, derived purely from settlement prices of CME SOFR Futures using methods similar to that developed by the Federal Reserve staff reviewed in this work paper.


Dates Available

SOFR Strip Rates data is from May 21, 2019 to present day. 

By File



File

Start Date

End Date
SOFR Strip Rates (1-,3-,6- month)

5/21/19

Present



Sample Files


DatasetSample File
SOFR Strip Rate6/19/19




FAQ

Expand
titleSOFR Strip Rate Format

What format is the file delivered in?

Data is provided in .json 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 per day.

How far back do you maintain these records?

These files go back to May 21, 2019.

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?

1-month, 3-month, and 6-month tenors are available for the stirp strip rates.

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
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
transactionTimeMM-DD-YYYY HH:MM:SSTime rate is calculated
sentTimeMM-DD-YYYY HH:MM:SSTime rate is made available
version#.#Version of data
dataSetSOFRDataset name


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