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.

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

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• 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

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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.

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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.

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

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

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

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The data will be delivered in CSV file format.

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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 ICE LIBOR 3-month and OIS/Fed Fund curve

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

• https://www.newyorkfed.org/markets/opolicy/operating_policy_180309 (volume-weighted mean of GC repo rate, a good approximation for SOFR rate before August 22, 2014)
• https://www.newyorkfed.org/newsevents/speeches/2017/fro171108 (indicative SOFR rate from August 22, 2014 to March 29, 2018)
• https://apps.newyorkfed.org/markets/autorates/Rates-Search-Page (official published SOFR rate from April 2, 2018)

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Yes click here to download a sample file.

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