This page describes CME Term SOFR Daily Returns Indices available from CME DataMine.

The CME Group Term SOFR Daily Return Indices and Spreads Service contains a set of benchmarks, designed to represent the daily compound return for each of the CME Group Term SOFR Reference Rates, as well as spread adjusted versions. The CME Group Term SOFR Daily Return Indices are calculated and published for 1-month, 3-month, 6-month and 12-month Term SOFR Rates and 12 different spread adjustments.

The CME Group Term SOFR Daily Return Indices can be used as a reference rate for performance measurement of actively managed funds or portfolios.

Contents

1 Dates Available
2 Sample Files
3 Layout Guide
4 FAQ

Other Datasets

Resources

Dates Available

SOFR Daily Returns files start on September 21, 2021 until present day, in accordance with the recommended SIFMA US Holiday Schedule.

[Top]

Sample Files

Dataset	Sample File

Dataset	Sample File
Term SOFR Daily Return Index and Spreads	06/15/2023

[Top]

Layout Guide

Data Field	Description

Data Field	Description
businessDate	Date of the record.
transactionTime	Time the product was calculated.
productDescription	Product name.
productCode	Code/ticker for the product.
rate	Rate for the spread adjusted CME Term SOFR Rates.
indexLevel	Index level for the CME Term SOFR Daily Return Indices.
monthlyReturn	Monthly return for the CME Term SOFR Daily Return Indices.
quarterlyReturn	Quarterly return for the CME Term SOFR Daily Return Indices.
annualReturn	Annual return for the CME Term SOFR Daily Return Indices.

[Top]

FAQ

What format is the file delivered in?

Data is provided in .csv format.

Are files compressed?

Files are not compressed.

How is data calculated?

CME Term SOFR Daily Return Indices are calculated in line with the published methodology.

How many files are available per day?

One file is published per day.

How far back do you maintain these records?

The CME Term SOFR Daily Return Indices have a start date of September 21, 2021 and start at a value of 100. Files are available for each business day in accordance with the SIFMA US Holiday Calendar.

Do you have sample files available?

Yes, see Sample Files section above.

When are these files delivered?

File delivery follows the SIFMA US Holiday Calendar and are published at 8AM ET.

How large are these files?

Daily files average 20KB.

Is there a specific process that must be followed in order to use the data?

Users of the Term SOFR Daily Returns Indices are required to have signed Information License Agreements including Appendix A to Schedule 7 and Appendix A2 to Schedule 7.

Where can I find collateral on how to understand this data?

CME has published a Fact Sheet, BMR Benchmark Statement, IOSCO Statement and Benchmark Methodology. These documents explain the CME Term SOFR Daily Return Indices and the underlying calculation.

What values are contained in a file?

Term SOFR Spread variants:

1, 3, 6 and 12 Month Term SOFR + 5pbs
1, 3, 6 and 12 Month Term SOFR +10 bps
1, 3, 6 and 12 Month Term SOFR + 15 bps
1, 3, 6 and 12 Month Term SOFR + 20bps

CME Term SOFR Daily Return Indices:

Index Ticker	Index Name

Index Ticker	Index Name
TSFI01	1-Month Term SOFR Daily Return Index
TSFI03	3-Month Term SOFR Daily Return Index
TSFI06	6-Month Term SOFR Daily Return Index
TSFI12	12-Month Term SOFR Daily Return Index
TSFI0105	1-Month Term SOFR +5bps Daily Return Index
TSFI0305	3-Month Term SOFR +5bps Daily Return Index
TSFI0605	6-Month Term SOFR +5bps Daily Return Index
TSFI1205	12-Month Term SOFR +5bps Daily Return Index
TSFI0108	1-Month Term SOFR +8bps Daily Return Index
TSFI0308	3-Month Term SOFR +8bps Daily Return Index
TSFI0608	6-Month Term SOFR +8bps Daily Return Index
TSFI1208	12-Month Term SOFR +8bps Daily Return Index
TSFI0110	1-Month Term SOFR +10bps Daily Return Index
TSFI0310	3-Month Term SOFR +10bps Daily Return Index
TSFI0610	6-Month Term SOFR +10bps Daily Return Index
TSFI1210	12-Month Term SOFR +10bps Daily Return Index
TSFI0115	1-Month Term SOFR +15bps Daily Return Index
TSFI0315	3-Month Term SOFR +15bps Daily Return Index
TSFI0615	6-Month Term SOFR +15bps Daily Return Index
TSFI1215	12-Month Term SOFR +15bps Daily Return Index
TSFI0118	1-Month Term SOFR +18bps Daily Return Index
TSFI0318	3-Month Term SOFR +18bps Daily Return Index
TSFI0618	6-Month Term SOFR +18bps Daily Return Index
TSFI1218	12-Month Term SOFR +18bps Daily Return Index
TSFI0120	1-Month Term SOFR +20bps Daily Return Index
TSFI0320	3-Month Term SOFR +20bps Daily Return Index
TSFI0620	6-Month Term SOFR +20bps Daily Return Index
TSFI1220	12-Month Term SOFR +20bps Daily Return Index
TSFI0150	1-Month Term SOFR +50bps Daily Return Index
TSFI0350	3-Month Term SOFR +50bps Daily Return Index
TSFI0650	6-Month Term SOFR +50bps Daily Return Index
TSFI1250	12-Month Term SOFR +50bps Daily Return Index
TSF10I01	1-Month Term SOFR +100bps Daily Return Index
TSF10I03	3-Month Term SOFR +100bps Daily Return Index
TSF10I06	6-Month Term SOFR +100bps Daily Return Index
TSF10I12	12-Month Term SOFR +100bps Daily Return Index
TSF15I01	1-Month Term SOFR +150bps Daily Return Index
TSF15I03	3-Month Term SOFR +150bps Daily Return Index
TSF15I06	6-Month Term SOFR +150bps Daily Return Index
TSF15I12	12-Month Term SOFR +150bps Daily Return Index
TSF20I01	1-Month Term SOFR +200bps Daily Return Index
TSF20I03	3-Month Term SOFR +200bps Daily Return Index
TSF20I06	6-Month Term SOFR +200bps Daily Return Index
TSF20I12	12-Month Term SOFR +200bps Daily Return Index
TSF25I01	1-Month Term SOFR +250bps Daily Return Index
TSF25I03	3-Month Term SOFR +250bps Daily Return Index
TSF25I06	6-Month Term SOFR +250bps Daily Return Index
TSF25I12	12-Month Term SOFR +250bps Daily Return Index
TSF30I01	1-Month Term SOFR +300bps Daily Return Index
TSF30I03	3-Month Term SOFR +300bps Daily Return Index
TSF30I06	6-Month Term SOFR +300bps Daily Return Index
TSF30I12	12-Month Term SOFR +300bps Daily Return Index

[Top]