SOFR Strip Rates

This page describes SOFR curve data available on CME DataMine, presented as Historical CME SOFR Strip Rates data alongside CME Clearing’s SOFR OIS Curves.

CME SOFR Strip Rates data : SOFR Strip Rates Fixings (Historical data through 9/15/2020) Please Refer to Term SOFR for data after 9/15/2020.

1-month, 3-month and 6-month rates are presented as an indicative and illustrative preview of Term SOFR rates, derived purely from settlement prices of CME SOFR futures using a methodology similar to that developed by the Federal Reserve in this working paper.

CME Clearing’s SOFR OIS curve data: 3 Month LIBOR Basis, Fed Funds Basis, Term Rate Curve

Illustrates forward-looking SOFR expectations for 1-year and beyond, uses SOFR Futures for short-end as well as FedFund-SOFR Basis markets derived from readily available broker pages.

SOFR Strip Rates- Contents

Resources

Dates Available

SOFR Strip Rates Fixings data is available from May 21, 2019 to present day.

The other files included in this offering are available from March 9, 2020 to present day.

By File

File	Start Date	End Date
SOFR Strip Rates Fixings (1-,3-,6- month)	5/21/19	9/14/2020
3 Month LIBOR Basis	3/9/20	Present
Fed Funds Basis	3/9/20	Present
Term Rate Curve	3/9/20	Present

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Sample Files

Dataset	Sample File (.JSON)	Sample File (.CSV)
SOFR Strip Rate Fixings (History only available)	3/17/20	3/17/20
3 Month LIBOR Basis	3/17/20	3/17/20
Fed Funds Basis	3/17/20	3/17/20
Term Rate Curve	3/17/20	3/17/20

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FAQ

SOFR Strip Rate Format

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.

SOFR Strip Rate Availability

How many files are available per day?

You will receive 3 files in .JSON and 4 files in .CSV format per day.

How far back do you maintain these records?

These SOFR Strip Rate Fixing files go back to May 21, 2019 and end on September 15th 2020. All other files go back to March 9,2020.

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.

SOFR Strip Rates Delivery

When are these files delivered?

File	File Delivery Time
SOFR Strip Rates Fixings (1-,3-,6- month)	5 AM the following day
3 Month LIBOR Basis	3:30 PM of trading day
Fed Funds Basis	3:30 PM of trading day
Term Rate Curve	3:30 PM of trading day

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 these datasets, 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.

SOFR Strip Rates Interpretation

What does the data represent?

CME SOFR Strip Rates provide an indicative view into forward-looking expectations for overnight Treasury repo rates as reflected by SOFR.

What tenors are available?

File	Available Tenors
SOFR Strip Rates Fixings	1-,3-,6- month
3 Month LIBOR Basis	1-,2-,3-,5-,10-,20-,30- year
Fed Funds Basis	1-,2-,3-,5-,10-,20-,30- year
Term Rate Curve	1-,2-,3-,5-,10-,20-,30- year

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?

SOFR Strip Rate Fixings

Field	Format	Description
businessDate	MM-DD-YYYY	Trade date of published data
transactionTime	MM-DD-YYYY HH:MM:SS	Time rate is calculated
rate	#.####	SOFR Strip Rate
productCode	TR1, TR3, TR6	Product code of Rate TR1= 1 month TR3= 3 month TR6= 6 month
securityId	######	Instrument Security ID number
productDescription	#-MTH SOFR SYNTH FUT	Description

3 Month LIBOR Basis

Field	Format	Description
businessDate	MM-DD-YYYY	Trade date of published data
transactionTime	MM-DD-YYYY HH:MM:SS	Time rate is calculated
price	##.####	Basis Points Spread
termUnit	Y	Year
shortName	USD-LIBOR-BBA vs USD-SOFR-COMPOUND #Y	Product Description

Fed Funds Basis

Field	Format	Description
businessDate	MM-DD-YYYY	Trade date of published data
transactionTime	MM-DD-YYYY HH:MM:SS	Time rate is calculated
price	##.####	Basis Points Spread
termUnit	Y	Year
shortName	USD-Federal Funds-H.15-OIS-COMPOUND vs USD-SOFR-COMPOUND #Y	Product Description

Term Rate Curve

Field	Format	Description
businessDate	MM-DD-YYYY	Trade date of published data
transactionTime	MM-DD-YYYY HH:MM:SS	Time rate is calculated
price	##.####	Interest rate
termUnit	Y	Year
shortName	USD-SOFR-COMPOUND #Y	Product Description

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