This page describes CMETerm SOFR Daily Constituent Files available from CME DataMine.
CME Term SOFR Constituent File contains the inputs used in the calculation of CME Term SOFR. This data set includes the prices, volumes and quote data from each of the 14 observation intervals, as well as the Final VWAPs and FOMC dates used in the projection model to calculate CME Term SOFR.
The CME Term SOFR Constituent File provides users with transparency over the data inputs used to calculate CME Term SOFR. Users can utilize the data for internal analytics and testing.
Contents
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Dates Available
The CME Term SOFR Constituent File is available from November 13, 2023 until present day, in accordance with each SIFMA US Business Day.
Sample Files
Dataset | Sample File |
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Term SOFR Final Projection Model Inputs | |
Term SOFR Interval Input Data |
FAQ
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What format is the file delivered in? Data is provided in .csv format. Are files compressed? Files are not compressed. How is data calculated? The CME Term SOFR Constituent File provides users with transparency over the data inputs used to calculate CME Term SOFR. The The Term SOFR Interval Input Data Data file contains the details of the prices, volumes and bid/ask snap shot from each of the Observation Intervals used in the Term SOFR calculation (as described in section 4.2 to 4.4 of the the Term SOFR Methodology). The The Term SOFR Final Projection Model Inputs file file contains the final prices for each of the 18 futures contracts and the FOMC dates used in the projection model to calculate the final Term SOFR Rates (as described in section 4.5 and 5 of the Term SOFR Methodology). |
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How many files are available per day? Two files are published per day, the Term SOFR Interval Input Data file and the Term SOFR Final Projection Model Inputs file. How far back do you maintain these records? The CME Term SOFR Constituent File is available from 20th November 2023 and published each SIFMA US Business Day. |
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When are these files delivered? Files are delivered once per day. What time (Daily, Monthly + Time of Day + Day of week) will the files be delivered each day? Deliveries follow the SIFMA US Holiday Calendar and are published at 6am CT. |
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Is there a specific process that must be followed in order to use the data? If you are interested in purchasing this dataset, please contact CME Data Sales at at cmedatasales@cmegroup.com Where can I find collateral on how to understand this data? The The Term SOFR Interval Input Data Data file contains the details of the prices, volumes and bid/ask snap shot from each of the Observation Intervals used in the Term SOFR calculation (as described in section 4.2 to 4.4 of the the Term SOFR Methodology). The The Term SOFR Final Projection Model Inputs file file contains the final prices for each of the 18 futures contracts and the FOMC dates used in the projection model to calculate the final Term SOFR Rates (as described in section 4.5 and 5 of the Term SOFR Methodology). On the the Term SOFR website, we have published a a Term SOFR Example Calculation excel file which provides users with an example calculation for the Term SOFR rates published on 11th July 2023. |
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CME Group provides a number of customer service teams to assist DataMine users, including Technical support and Data Transfer processes. If you are interested in purchasing this dataset, please contact CME Data Sales at cmedatasales@cmegroup.com For questions about the contents of the CME Term SOFR Constituent Files, please contact the Benchmark team at at benchmark@cmegroup.com |