CME SOFR Strip Rates

Indicative Term SOFR rates, derived from available futures markets and OIS data

CME SOFR Strip Rates

1-month, 3-month and 6-month rates are presented as an indicative and illustrative preview of Term SOFR rates. These are currently derived from settlement prices of CME SOFR futures using a methodology similar to that developed by the Federal Reserve in this working paper, and can also be adapted to include OIS data from available venues. CME SOFR futures volume is now over $187 billion per day in representative notional*, as shown below.

CME Clearing’s SOFR OIS Curve

The SOFR OIS curve illustrates forward-looking SOFR expectations for 1-year and beyond, using SOFR futures for short-end as well as Fed Fund-SOFR Basis markets derived from readily available broker pages.

In accessing this proprietary data from this website, you acknowledge you have read and agree to all CME Data Terms of Use. These rates are for information purposes only and are not for use as a reference in financial instruments.

A robust underlying data set

Strip Rates are based on an increasingly robust underlying data set, as volume in CME SOFR futures has built to $188 billion representative notional per day.

Daily Notional Volume of SOFR futures (millions), shown by underling reference period
Term SOFR Rate Tenor Q1-2019 Q2-2019 Q3-2019 Q4-2019 Q1-2020
1-Month $17,066 $18,667 $66,367 $75,432 $70,967
3-Month $24,145 $33,153 $102,305 $111,766 $131,276
6-Month $27,429 $39,887 $121,125 $131,994 $171,813
All CME SOFR futures $49,294 $57,527 $136,527 $144,617 $187,877

*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)

Historical data

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Contact us

For more information, please contact TermSOFR@cmegroup.com or the following individuals:

Gavin Lee, Head of CME Benchmark & Index Services
Gavin.Lee@cmegroup.com
+44 20 3379 3738

Ted Carey, Senior Director, Interest Rate Products
Ted.Carey@cmegroup.com
+1 212 299 2020

Mark Rogerson, Executive Director, Interest Rate Products
Mark.Rogerson@cmegroup.com
+44 20 3379 3795

Agha Mirza, Managing Director and Global Head of Interest Rate Products
Agha.Mirza@cmegroup.com
+1 212 299 2833

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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.

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