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What is the CME term SOFR reference rates benchmark?

The CME Term SOFR Reference Rates benchmark is a daily set of forward-looking interest rate estimates ‒ calculated and published for 1-month, 3-month, 6-month, and 12-month tenors. Derived from CME SOFR futures, CME Term SOFR provides a robust and resilient underlying data set based on market expectations implied from derivatives markets.

When is CME term SOFR published?

As described in the calculation methodology, publication of CME Term SOFR takes place on day T based on the data sampling on T-1. The start date of the reference period for the Term SOFR rates is T+2, as illustrated below: Back to Top 5. How can I access the CME Term SOFR information?

What are CME Group's SOFR benchmarks?

These benchmarks are based on CME Group's deep and liquid underlying SOFR futures, making them a robust and sustainable measure of forward-looking SOFR rates. They are aligned with the Alternative Reference Rates Committee's (ARRC) principles for recommended forward term rates.

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