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17 kwi 2024 · 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. CME Term SOFR Reference Rates are: Endorsed by the ARRC; Designed to adhere to the IOSCO Principles for Financial Benchmarks; Compliant with Benchmark Regulations
- Fact Sheet
The CME Term SOFR Daily Total Return Indices are calculated...
- Fact Sheet
SOFR Averages and Index Data. As an extension of the Secured Overnight Financing Rate (SOFR), the SOFR Averages are compounded averages of the SOFR over rolling 30-, 90-, and 180-calendar day periods.
30 paź 2020 · 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. Each CME Term SOFR Reference Rates tenor will start on (and include) the second US Government Securities Business Day
The CME Term SOFR Daily Return Indices are a set of benchmarks, designed to represent the daily compound return for each of the CME Term SOFR reference rates. The CME Term SOFR Daily Return Indices are calculated and published for 1month, 3- -month, 6-month and 12-month Term SOFR Rates.
9 sie 2024 · The CME Group Term SOFR Daily Return Indices and S preads Service contains a set of benchmarks, designed to represent the daily compound return for each of the CME Group Term SOFR R eference Rates, as well as spread adjusted versions.
Table Data - SOFR Index. As an extension of the Secured Overnight Financing Rate (SOFR), the SOFR Index is the cumulative impact of compounding the SOFR on a unit of investment over time since April 2, 2018; initial value set to 1.
26 kwi 2024 · CME Term SOFR Constituent File contains the inputs used in the calculation of CME Term SOFR. This data set includes the prices, volumes and quote data from each of the 14 observation intervals, as well as the Final VWAPs and FOMC dates used in the projection model to calculate CME Term SOFR.
