Frequently Asked Questions: Secured Overnight Financing Rate (SOFR) Third-Party Data

The Secured Overnight Financing Rate (SOFR) is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities.

Get more information about SOFR

What does the data represent?

The dataset represents the historical term-structure for SOFR, including the boot-strapped term-structure of zero-rate curve interpolated to standard offset points.

What do the columns value represent?

  • Trade Date -  The market data date, represented as yyyymmdd, e.g. 20170103
  • Exchange Code - The CME Group Exchange
  • Currency - The currency for index, e.g.  USD
  • Long Description - The index, e.g.  USD-SOFR-OIS-COMPOUND 1D
  • Offset - The tenor for term rate represented in days, e.g. 91 means 91D offset on the trade date
  • Curve Date - The curve offset in date form. It is the offset in days added to Trade Date. Date is represented as yyyymmdd, e.g. 91 offset on 20170103 will be represented as 20170404
  • Discount Factor - The discount factor corresponding for tenor offset on a trade date
  • Rate - The zero rate corresponding for tenor offset on a trade date computed based on continuous compounding and ACT/365.25 convention. Discount factor and zero-rate are related as:

    Discount Factor = exp - Rate * time fraction
    time fraction is computed based on ACT/365.25 convention

Where is the data used within CME Group?

This dataset is used for computing initial margins for Interest Rate Swap referencing USD-SOFR-OIS-COMPOUND as floating index. The curve is used for forecasting the SOFR OIS index rate as well as discounting the cashflows for any swap referencing USD-SOFR-OIS-COMPOUND index.

What are the key tenors for the SOFR term-structure?

There are 24 key tenors: 1D, 2D, 3D, 91D, 183D, 274D, 365D, 457D, 548D, 639D, 731D, 1096D, 1461D, 1826D, 2192D, 2557D, 2922D, 3287D, 3653D, 4383D, 5479D, 7305D, 9131D, 10958D.

 

How far back historically is data available?

The data is available from June 19, 2008 to May 4, 2018

Where can I find data post May 4, 2018?

Reach out to markettechsales@cmegroup.com for data post May 4, 2018

Can I see the data in chart format in CME DataMine?

CME DataMine does not show any of the data graphically, but you can see charts of all the data we offer.

What is the file format?

The data will be delivered in CSV file format.

How is the data computed?

The construction of SOFR term-structure is constructed based on the available data:

  • SOFR fixing, as published by The Fed
  • Existing term-structure and fixings available for USD LIBOR 3-month and OIS/Fed Fund curve

Where can I find fixing history for SOFR?

Fixing history for SOFR index is published by The Fed at:

Can you provide me a sample file?

Yes click here to download a sample file.