This page describes Term SOFR benchmarks and the data available on DataMine.
CME Term SOFR Reference Rates provide an indication of the forward-looking measurement of overnight SOFR, based on market expectations implied from leading derivatives markets.
Contents
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Dates Available
CME Term SOFR Reference Rates data is available from 9/15/20 to present.
File | Start Date | End Date |
|---|---|---|
CME Term SOFR Reference Rates (1-month, 3-months ,6-month tenors) | 9/15/2020 | Present |
CME Term SOFR Reference Rates (12-month tenor) | 9/21/2021 | Present |
File Delivery Timing
File | File Delivery Time |
|---|---|
CME Term SOFR Reference Rates | 5:45am AM CST |
Term SOFR Access
Customers can use DataMine's Concatenation API to download Term SOFR daily files into one CSV file. Below is a sample URL that can be copied and pasted into a browser. Customers are required to have a CME API ID.
FAQ
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What format is the file delivered in? Data is provided in .JSON and .CSV format. Are files compressed? No, the files are not compressed into zip files. |
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How many files are available per day? You will receive 1 file in .JSON and 1 file in .CSV format per day. How far back do you maintain these records? Term SOFR data starts on 9/15/2020. Do you have sample files available? Yes, see Sample Files section above. Are there any anomalies in the the data? There are no known anomalies. |
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When are these files delivered?
If I purchase daily updates of these datasets, will I get historical data as well? No. When an order is placed for daily updates of this dataset, the first file included will be generated for the start date of the subscription. However, files remain accessible for 30 days after purchase, enabling the customer to reference previous day’s data. |
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What does the data represent? CME Term SOFR Reference |
Rates provide an indicative view into forward-looking expectations for overnight Treasury repo rates as reflected by SOFR. What tenors are available?
How is the data computed? The data is derived purely from settlement prices of CME SOFR Futures using methods similar to that developed by the Federal Reserve staff reviewed in this paper. How large are these files? The average file size is approximately .7KB. How is the data structured?
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