CME Term SOFR Rates
CME Term SOFR Reference Rates provide an indication of the forward-looking measurement of overnight SOFR, based on market expectations implied from derivatives markets.
Can be produced in all market conditions including periods of market fragmentation, illiquidity or negative interest rates.
Resistant to manipulation and anchored in bona fide, arms-length transactions and executable quotes. Expert judgement is not used.
The integrity of the shape of the yield curve is maintained throughout the calculation process while utilizing all possible transaction data.
Term SOFR Rates Values
BMR compliant, aligned to IOSCO principles, and ready to use in cash market products, 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.
How to access
Direct from CME Group
Real-time data via CME Market Data Platform and Smart Stream on Google Cloud Platform.
Delayed and historical data via CME DataMine.
A robust underlying data set
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 contracts underpinning Term SOFR calculations (first 13 SR1 and first 5 SR3) averaged $957 billion in representative notional per day in Q1 2022.
View historical data
How CME Term SOFR works
Learn more about 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 – CME Clearing
CME Group – Interest Rate Products
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