This page describes SOFR curve data available on CME DataMine, presented as Historical CME SOFR Strip Rates data alongside CME Clearing’s SOFR OIS Curves.
CME SOFR Strip Rates data : SOFR Strip Rates Fixings (Historical data through 9/15/2020) Please Refer to Term SOFR for data after 9/15/2020.
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 using a methodology similar to that developed by the Federal Reserve in this 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.
SOFR Strip Rates- Contents
|Table of Contents|
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.
|SOFR Strip Rates Fixings (1-,3-,6- month)|
|3 Month LIBOR Basis||3/9/20||Present|
|Fed Funds Basis||3/9/20||Present|
|Term Rate Curve||3/9/20||Present|
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 3 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 and end on September 15th 2020. 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.
When are these files delivered?
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.
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?
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
3 Month LIBOR Basis
Fed Funds Basis
Term Rate Curve