Term SOFR Daily Return Indices

CME Term SOFR Daily Return Indices are designed to represent the daily compounded return for each Term SOFR Tenor. The CME Term SOFR Daily Total Return Indices are calculated and published for 1-month, 3-month, 6-month and 12-month Term SOFR Rates.

The Indices are calculated and administered by Group Benchmark Administration Limited and are developed and implemented to adhere with the IOSCO Principles.

Quick Facts

Index Launch Date

September 6, 2023

Holiday Calendar

SIFMA US Holiday Schedule

Base Date

September 21, 2021

Base value

100

Calculation Frequency

Daily

Calculation Currency

USD

For More Information, view the methodology document

Resources

Licensing and Fees

Term SOFR Benchmark License

Benchmark Data Fee List

CME Term SOFR Daily Return Indices

Methodology

Benchmark Statement CME Term SOFR Daily Return Indices

IOSCO Compliance Statement CME Term SOFR Daily Return Indices

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