I have come across this page from CME which provides O/N rate for various terms:


I am confused on this specification. What does 6m SOFR as 0.05144 mean? SOFR is essentially overnight rate, so for a given day (closing) I would expect only single quote.

Is there any calculation happening to derive this so called 6M rate for SOFR? What does the rate 0.05144 mean in practical sense?

Any insight is highly appreciated.


These are term rates as implied by SOFR futures trading on CME. See https://www.cmegroup.com/market-data/files/cme-term-sofr-reference-rates-benchmark-methodology.pdf, section 4, "Calculating Term Rates from SOFR Futures".

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    $\begingroup$ In particular, xM-SOFR is an ON SOFR rate compounded over x Months, according to formula un Sec 5 cmegroup.com/market-data/files/… $\endgroup$ Aug 24 '21 at 15:29
  • $\begingroup$ Thanks. One further question. CME publishes SOFR term rates for 1m, 3m, and 6m. Given this information, is there any formula available to derive term rate for 4m or more generally for x months? $\endgroup$
    – Bogaso
    Aug 24 '21 at 18:23
  • $\begingroup$ You could interpolate between the 3m and 6m rates. $\endgroup$
    – user42108
    Aug 24 '21 at 18:50
  • $\begingroup$ @user42108 is there any market convention for such interpolation designed for SOFR, to exclude any unintended possibilities like arbitrage opportunities etc? $\endgroup$
    – Bogaso
    Aug 24 '21 at 18:59
  • $\begingroup$ Just to add my two cents on "interpolation"; without knowing the CME methdology in detail, IMO it's conceptually not really possible to disentangle this from the curve "bootstrap", especially for the compounding overnight rates. So given that you'd use these futures and/or OIS to build a SOFR curve, for a 4m SOFR "term rate" I'd simply use the 4m compound rate. Hence, capitalize (1 + the 3m compound rate) further for 1 more month, which is not the same as interpolating between a given 3m and 6m term rate. $\endgroup$
    – KevinT
    Aug 26 '21 at 11:25

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