CME Term SOFR

Prototype solution for viewing only, derived from available futures markets and OIS data

CME Term SOFR (Prototype)

1-month, 3-month and 6-month Term SOFR are presented as an illustrative preview. These are currently derived from transaction prices and executable orders in CME SOFR futures using a methodology similar to that developed by the Federal Reserve in this working paper, and 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* (quarterly breakdown below).

During the prototype stage, Term SOFR are for information purposes only and are not for use as a reference in financial instruments.

CME Clearing’s SOFR OIS Curve

The SOFR OIS curve illustrates forward-looking SOFR expectations for 1-year and beyond, using SOFR futures for short-end as well as Fed Fund-SOFR Basis markets derived from readily available broker pages.

In accessing this proprietary data from this website, you acknowledge you have read and agree to all CME Data Terms of Use. These rates are for information purposes only and are not for use as a reference in financial instruments.

A robust underlying data set

Term SOFR Reference Rates are based on an increasingly robust and resilient underlying data set. Bolstered by a deep and diverse pool of market participants, volume in CME SOFR futures has averaged $132 billion in representative notional per day in 2020. Importantly, CME SOFR futures markets proved highly resilient amidst extreme volatility in Q1, with volumes reaching $188B notional per day.

Daily Notional Volume of SOFR futures (millions), shown by underling reference period
Term SOFR Rate Tenor Q1-2019 Q2-2019 Q3-2019 Q4-2019 Q1-2020 Q2-2020 Q3-2020
1-Month $17,066 $18,667 $66,367 $75,432 $70,967 $40,416 $37,574
3-Month $24,145 $33,153 $102,305 $111,766 $131,276 $68,265 $60,807
6-Month $27,429 $39,887 $121,125 $131,994 $171,813 $85,779 $79,027
All CME SOFR futures $49,294 $57,527 $136,527 $144,617 $187,877 $100,232 $99,584

*Notional shown for illustrative purposes only, computed based on the value of an equivalent money market instrument with the same dollar-value-of-basis-point (DV01)

Historical data

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Contact us

For more information, please contact TermSOFR@cmegroup.com or the following individuals:

Gavin Lee, Head of CME Benchmark & Index Services
Gavin.Lee@cmegroup.com
+44 20 3379 3738

Ted Carey, Senior Director, Interest Rate Products
Ted.Carey@cmegroup.com
+1 212 299 2020

Mark Rogerson, Executive Director, Interest Rate Products
Mark.Rogerson@cmegroup.com
+44 20 3379 3795

Agha Mirza, Managing Director and Global Head of Interest Rate Products
Agha.Mirza@cmegroup.com
+1 212 299 2833

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CME SOFR futures are the leading source of price discovery and liquidity on the Secured Overnight Financing Rate, trading alongside liquid Eurodollar, Fed Fund and Treasury futures for seamless spreading and capital efficiencies.

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