CME Term SOFR Reference 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.
Please contact CME Group Data Sales to discuss access, use, and distribution licenses.
CME Term SOFR Reference 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 averaged $232 billion in representative notional* per day in Q1 2021.
*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 more information, please contact TermSOFR@cmegroup.com or the following individuals:
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.