CME Term SOFR Reference Rates
Prototype solution for viewing only, derived from available futures markets and OIS data
1-month, 3-month and 6-month Term SOFR 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 YTD to 9/30, CME SOFR futures volume has averaged $130 billion per day in representative notional* (historical breakdown below).
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During the prototype stage, Term SOFR are for information purposes only and are not for use as a reference in financial instruments.
1 Month: SR1M Index <GO>
3 Month: SR3M Index <GO>
6 Month: SR6M Index <GO>
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 $130 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 Volumes (in billions) anchoring the benchmark | 2019 full year | 2020 YTD to 9/30 |
|---|---|---|
| 1-Month Term SOFR** | $44.8 | $49.1 |
| 3-Month Term SOFR | $68.5 | $86.3 |
| 6-Month Term SOFR | $80.9 | $112.3 |
| 12-Month Term SOFR | $86.8 | $120.4 |
| Daily Volumes (in billions) of STIR Products | 2020 YTD to 9/30 |
|---|---|
| CME SOFR Futures | $129.8 |
| CME Eurodollar Futures*** | $2,183.8 |
| Cleared SOFR OIS <1Yr | $2.9 |
*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)
**For example, as of 12-Oct-2020 the 1-Month Term SOFR tenor has a reference period that overlaps with the following SOFR Futures: Oct’20 SR1, Nov’20 SR1, and the Sep’20 SR3
***If there has been a trigger event then in accordance with our webinar communications, the planned approach would convert all the CME Eurodollar futures into CME 3M SOFR futures.
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
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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