CME SOFR Strip Rates

CME SOFR Strip Rates use prices of CME SOFR futures to provide an indicative view into forward-looking expectations for overnight Treasury repo rates. Client interest in this type of indicative analytics has grown considerably in recent months as a way to help facilitate greater adoption of SOFR in both derivatives and debt securities markets.

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Overview of methodology

  • 1m, 3m, 6m strip rates are presented for indicative and illustrative purposes, derived purely from settlement prices of CME SOFR Futures using methods similar to that developed by the Federal Reserve staff reviewed in this working paper.
  • Strip rates for 1-Year and beyond are based on CME Clearing’s SOFR OIS curve which uses SOFR Futures for the short-end as well as Fed Fund-SOFR basis markets derived from readily available broker pages.

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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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