CME Term SOFR Rates
Use the global benchmark for new U.S. dollar lending as implied by transactions in derivatives markets and endorsed by the ARRC.
CME Term SOFR has been widely adopted to replace USD LIBOR for new business loans, credit facilities, and as a fallback rate for legacy LIBOR loans.
Contact us to understand license types, key terms, and agreements that are required for use of CME Term SOFR.
Data as of November 3, 2023
TOTAL LICENSES ISSUED
FIRMS UNDER LICENSE
IN OTC DERIVATIVE HEDGES**
CME Group does not warrant the accuracy or completeness of the information.
*Source: Refinitiv Deals Screener.
** Source: SBSDRView from Clarus.
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Evaluate whether you plan to use the benchmark in cash market financial products, OTC derivatives, or the provision of a service.
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Create cash products using reliable rates built to perform in all market conditions, including illiquid and negative rates markets.
Use rates built on bona fide transactions executed by a diverse range of market participants, making them representative and resistant to manipulation.
Capitalize on rates that are determined using a transparent calculation methodology designed to ensure yield curve integrity.
CME Term SOFR Rates Values
BMR compliant, aligned with the IOSCO principles, and ready to use in cash market products, CME Term SOFR Rates provide an indicative, forward-looking measurement of SOFR rates, based on market expectations implied from leading derivatives markets.
CME Term SOFR Reference Rates are administered by CME Group Benchmark Administration Limited (CBA) which is registered under Benchmarks (Amendment and Transitional Provision) (EU Exit) Regulations 2019 (SI 2019/657) is authorized and supervised by the UK Financial Conduct Authority (FCA) and is aligned to the IOSCO Principles for Financial Benchmarks.
Frequently Asked Questions
Learn all you need to know about how to access CME Term SOFR and whether you need a license.
The CME Term SOFR Reference Rates benchmark is a daily set of forward-looking interest rate estimates, calculated and published for 1-month, 3-month, 6-month and 12-month tenors.
CME Term SOFR Reference Rates are:
Currently, we use transaction data from thirteen consecutive SR1 futures (1-month CME SOFR futures contracts) and five consecutive quarterly SR3 futures (3-month CME SOFR futures contracts).
CME Term SOFR is available via market data redistribution partners, CME DataMine, and CME’s Market Data Platform.
A set of Volume Weighted Average Prices (VWAP) are calculated using transaction prices observed during several observation intervals throughout the trading day. These are then used in a projection model to determine CME Term SOFR Reference Rates. Full details of the calculation methodology are available on the Term SOFR webpages.
Watch a video with step-by-step instructions on how to license CME Term SOFR Rates.
The loans market has predominantly moved to forward looking term rates, and both corporate borrowers and global lenders are increasingly turning to CME Term SOFR as the forward-looking, risk-free benchmark to support their activities.
In this podcast you will learn how to efficiently transition from USD LIBOR, the opportunities this robust and transparent rate creates for corporate treasurers, and the pitfalls to avoid on your transition journey.
Transitioning a Corporate from LIBOR to CME Term SOFR
CME Term SOFR Resources
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A robust underlying data set
CME Term SOFR Rates are derived from CME SOFR futures, an increasingly robust and resilient underlying data set. Bolstered by a deep and diverse pool of market participants, volume in CME SOFR futures contracts underpinning CME Term SOFR calculations (first 13 SR1 and first 5 SR3) averaged $2.6 trillion in representative notional per day in Q2 2023.
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How CME Term SOFR works
Learn more about CME Term SOFR, how the data is collected, how it's computed and when it's published.
The oversight committee will provide independent governance, and challenge to the Administrator on all aspects of the benchmark determination process in accordance with the Oversight Committee Terms of Reference.
Owain Johnson (Chair)
CME Group Research & Product Development
Prof. Robert Merton
CME Group Post-Trade Services Risk Management
Dr. Sam Priyadarshi
CME Group – Interest Rate Products
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