CME Term SOFR Reference Rates
BMR Benchmark Regulation Statement

CME Group Benchmark Administration Limited
Date of initial publication: April 21st, 2021
Last update: July 3rd, 2023

Introduction
The “CME Term SOFR Reference Rates” group of benchmarks, provided by CME Group Benchmark
Administration Limited (CBA), are determined from input data of the same nature which provides specificmeasures of the same or similar market or economic reality; and therefore classified as a “family ofbenchmarks” under Article 3(1)(4) BMR.
The CME Term SOFR Reference Rates, are classified as “interest rate benchmarks” under Article 3(1)(22)and consists of the 1 Month CME Term SOFR Reference Rate; 3 Month CME Term SOFR Reference Rate; 6Month CME Term SOFR Reference Rate; and 12 Month CME Term SOFR Reference Rate.
As interest rate benchmarks, the CME Term SOFR Reference Rates do not pursue ESG objectives.
These Benchmarks are administered and calculated by CME Group Benchmark Administration Limited(CBA), authorized and supervised, as a Benchmark Administrator by the UK Financial Conduct Authority.

2© 2023 CME Group. All rights reserved.

BMR /RTS

BMR Benchmark Statement requirement

Administrator’s statement

Within two weeks of the inclusion of an
administrator in the register referred to in Article 36,
the administrator shall publish, by means that
ensure fair and easy access, a benchmark
statement for each benchmark or, where applicable,
for each family of benchmarks, that may be used in
In order to facilitate fair and easy access,the Union in accordance with Article 29. Where that
this Benchmark Statement appears on theadministrator begins providing a new benchmark or
Administrator’s website.
family of benchmarks that may be used in the Union
Article 27in accordance with Article 29, the administrator shall(1) BMR
The Administrator shall ensure that thispublish, within two weeks and by means that ensure
Benchmark Statement is updated in thea fair and easy access, a benchmark statement forevent of any material changes and no later
each new benchmark or, where applicable, family ofthan every two years.
benchmarks. The administrator shall review and,
where necessary, update the benchmark statement
for each benchmark or family of benchmarks in theevent of any changes to the information to beprovided under this Article and at least every two
years.
The Benchmark Statement shall:
The CME Term SOFR Reference Rates
provides forward looking estimates ofovernight SOFR for four tenors: 1-month,
3-months, 6-months and 12-months.
The CME Term SOFR Reference Rates
may become unreliable as a result of
insufficient input data or severe market
disruption.

(a)

(b)

(c)

3

clearly and unambiguously define the market or
economic reality measured by the benchmark andthe circumstances in which such measurement may
The input data used in the calculation of
become unreliable;
the CME Term SOFR Reference Rates
Benchmark is from CME Group’s
Designated Contracts Market (DCM).
Details of the CME SOFR Futurescontracts and their volume and open
interest is available at CME Group Secured Overnight Financing Rate (SOFR)
Futures.
lay down technical specifications that clearly andunambiguously identify the elements of thecalculation of the benchmark in relation to which
The CME Term SOFR Reference Rates do
discretion may be exercised, the criteria applicable not include the use of discretion in theto the exercise of such discretion and the position of benchmark determination process.
the persons that can exercise discretion, and how
such discretion may be subsequently evaluated;
There is the possibility that factors,
provide notice of the possibility that factors,
including external factors beyond theincluding external factors beyond the control of thecontrol of the Administrator, may
administrator, may necessitate changes to, or thenecessitate changes to, or the cessation of,
cessation of, the benchmark; andthe Benchmarks.

© 2023 CME Group. All rights reserved.

BMR /RTS

BMR Benchmark Statement requirement

Administrator’s statement
Where material changes to or the cessationof the Benchmarks become necessary, theAdministrator will engage stakeholders andusers by way of a public consultation.
All changes are reviewed and approved by
the Oversight Committee.
Changes to, or the cessation of, theBenchmarks may have an impact upon thefinancial contracts and financial
instruments that reference the benchmark
or the measurement of the performance ofinvestment funds.

(d)advise users that changes to, or the cessation of,
the benchmark may have an impact upon thefinancial contracts and financial instruments that
The Administrator advises users of thereference the benchmark or the measurement of the Benchmarks to regularly assess whether it
performance of investment funds.
remains appropriate, suitable and fit for
purpose. Users should develop
contingency provisions and fall-back plansin the event of the benchmark becoming
unavailable.

ArticleA benchmark statement shall contain at least:
27(2) BMR
the definitions for all key terms relating to the(a)benchmark;(b)

the rationale for adopting the benchmark
methodology and procedures for the review andapproval of the methodology;

See the Appendix for definitions used inthis Benchmark Statement.
The CME Term SOFR Reference Rates
Methodology is based on the discussion
paper “Inferring Term Rates from SOFR
Futures Prices” as published by theDivision of Research & Statistics andMonetary Affairs, Federal Reserve Board,
Washington D.C. on 5 February 2019.
The Administrator regularly reviews themethodology to ensure that theBenchmarks remain representative of theeconomic reality intended to be
represented.
Amendments to the methodology areproposed by the Administrator, after wide
consultation with the relevant stakeholders,and approved by the Oversight Committee.

(c)

4

The criteria and procedures used to determine the The calculation is based on a waterfall
benchmark, including a description of the input data, including transactions and executable
the priority given to different types of input data, the orders from the Designated Contract
minimum data needed to determine a benchmark,Market (DCM) operated by CME Inc.
the use of any models or methods of extrapolation
and any procedure for rebalancing the constituents In particular, the following future contracts
of a benchmark's index;
are used as inputs to the calculation:© 2023 CME Group. All rights reserved.

BMR /RTS

BMR Benchmark Statement requirement

Administrator’s statement•

CME one-month SOFR Futures(SR1): 13 (thirteen) consecutive
months contracts•

CME three-month SOFR Futures(SR3): up to 5 (five) consecutive
quarterly contracts (Mar, Jun, Sep,
Dec)

Details of the CME SOFR Futurescontracts and their trading volumes areavailable at CME Group - Secured
Overnight Financing Rate (SOFR) Futures.
The calculation methodology is based on
14 observation windows of 30-minutes
each, from 7:00am CT to 2:00pm CT.
During each window, a VWAP of executedtransactions in the above future contracts
and snapshots of their executable bid-ask
are taken to determine a Selected Price foreach observation window. Those are thenweighted in the final benchmarks’projection model calculation.
If none of the observation windows
contains actual transactions, the previous
day’s final weighted futures prices are usedin the projection model calculation.
(d)the controls and rules that govern any exercise ofjudgement or discretion by the administrator or any
contributors, to ensure consistency in the use ofsuch judgement or discretion;

N/A – The methodology does not include
the use of judgement or discretion in thebenchmark determination process.
The methodology includes contingency
measures to deal with determination of the
Benchmarks in periods of stress or periods
where transaction data sources may beinsufficient, inaccurate or unreliable.

(e)

(f)

5

the procedures which govern the determination of
The methodology states that if input data
the benchmark in periods of stress or periods whereare unavailable on the day, the previoustransaction data sources may be insufficient,
day’s final weighted futures prices are usedinaccurate or unreliable and the potential limitationsin the projection model calculation. If thereof the benchmark in such periods;
is a technical failure in the projection modeland the SOFR Futures input data isunavailable, the CME Term SOFR
Reference Rates from the previous day are
re-published.
the procedures for dealing with errors in input data
or in the determination of the benchmark, including

The Administrator has in place operatingprocedures to ensure the integrity of input© 2023 CME Group. All rights reserved.

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BMR Benchmark Statement requirement

Administrator’s statement

when a redetermination of the benchmark is
required; anddata and prompt correction of calculation
errors, including re-publication of the
Benchmark.
The Administrator will notify clients of
instances where a re-publication isrequired, including via the publication of anotice to the CME Website.
The methodology states that if input data
are unavailable on the day, the previous
day’s final weighted futures prices are usedin the projection model calculation.

(g)

RTS 1(1)(a)

If there is a technical failure in the
projection model and the SOFR Futures
the identification of potential limitations of the
input data is unavailable, the CME Termbenchmark, including its operation in illiquid or
SOFR Reference Rates from the previous
fragmented markets and the possible concentration day are re-published.
of inputs.
In the event that the previous day CME
Term SOFR Reference Rates are
republished for more the 3 (three)consecutive business days, theAdministrator must promptly convene theOversight Committee to assess available
remedial actions.
The benchmark statement shall state:
Please see the beginning of this document
the date of publication of the statement and, where
for the date of publication and last update.
applicable, the date of its last update;(b)where available, the international securities
identification number (ISIN) of the benchmark or
benchmarks; alternatively, for a family ofbenchmarks, the statement may provide details of
where the ISINs are publicly accessible free ofcharge;Not applicable to these Benchmarks(c)whether the benchmark, or any benchmark in thefamily of benchmarks, is determined using
contributions of input data;

The Benchmarks are not determined using
contributions of input data.

(d)

RTS 1(2)(a)

6whether the benchmark or any benchmark in the
The CME Term SOFR Reference Rates isfamily of benchmarks qualifies as one of the types
an interest rate benchmark in accordanceof benchmarks listed under Title III BMR, including
with Article 18 of the BMR (Title III, Chapter
the specific provision by virtue of which the2).
benchmark qualifies as that type.
In defining the market or economic reality, the benchmark statement shall include at least thefollowing information:a general description of the market or economic
The CME Term SOFR Reference Rates
reality;provides forward-looking estimates of© 2023 CME Group. All rights reserved.

BMR /RTS

BMR Benchmark Statement requirement

Administrator’s statement
overnight SOFR. The benchmark design isbased on the research paper published by
the Division of Research & Statistics andMonetary Affairs, Federal Reserve Board,
Washington D.C..
SOFR is a broad measure of the cost of
borrowing cash overnight, collateralized by
US Treasury securities.

(b)

The Secured Overnight Financing Rate
(SOFR) is calculated and published by theFederal Reserve Bank of New York (NYFed). CME Term SOFR Reference Rates
the geographical boundaries, if any, of the market or
benchmark provide the forward-looking
economic reality;
measurement of overnight SOFR based onmarket expectations implied fromderivatives markets.
The use of US Dollars stretches globallyand consequently the use of the
Benchmark has no geographicallimitations.

(c)

RTS 1(3)(a)

7any other information that the administrator
reasonably considers to be relevant or useful tohelp users or potential users of the benchmark tounderstand the relevant features of the market or
economic reality, including at least the following
elements insofar as reliable data on these elements
is available:(i) information on actual or potential participants inthe market;(ii) an indication of the size of the market or
economic reality.

(i) CME SOFR futures have been used byover 3,000 market participants since launchin May 2018. All customer segments are
represented including proprietary tradinggroups, banks, hedge funds and asset
managers.
(ii) Trading in CME SOFR futures which
underpin the CME Term SOFR Reference
Rates, has grown to above 1.9 million
contracts (over $2.6 trillion in notional
equivalent principal value).

In addition to the actual volume oftransactions, CME SOFR futures markets
show consistently actionable quotes in a
regulated central limit order book forsignificant proportions of the trading day,supported by market makers that havecommitted to streaming quotes for the
majority of the relevant trading hours.
In defining the potential limitations of the benchmark and the circumstances in which themeasurement of the market or economic reality may become unreliable, the benchmark
statement shall include at least:
a description of the circumstances in which theadministrator would lack sufficient input data to
determine the benchmark in accordance with themethodology.

The accuracy and reliability of the
Benchmarks could no longer be ensured in
the event of continued insufficient liquidity
in the underlying CME SOFR Future
markets.

© 2023 CME Group. All rights reserved.

BMR /RTS

BMR Benchmark Statement requirement

Administrator’s statement
To that extent, the Administrator regularly
monitors transacted volumes for eachspecific Benchmark and reports to theOversight Committee any concern
regarding the liquidity of the underlying
markets.

(b)(c)

RTS 1(4)

RTS 1(5)RTS 2

8The accuracy and reliability of the
Benchmarks could no longer be ensured inwhere relevant, a description of instances when the the event of continued insufficient liquidity
accuracy and reliability of the methodology used for in the underlying SOFR Futures contract.
determining the benchmark can no longer be
To that extent, the Administrator regularly
ensured, such as when the administrator deems the reviews transacted volumes and will reportliquidity in the underlying market as insufficient;
any concern regarding the liquidity of theunderlying market to the OversightCommittee.
The Benchmarks rely on the regular
any other information that the administrator
functioning of the underlying SOFR Future
reasonably considers to be relevant or useful tocontracts; reliable representation ofhelp users and potential users to understand theunderlying markets could be severely
circumstances in which the measurement of theaffected if SOFR Futures contracts markets
market or economic reality may become unreliable,
were not operating due to severe
including a description of what might constitute an
disruptions or regulatory limitations to their
exceptional market event.
normal functioning.
In specifying the controls and rules that govern any
exercise of judgement or discretion by theadministrator or any contributors in calculating thebenchmark or benchmarks, the benchmark
The Benchmarks do not include discretionstatement shall include an outline of each step ofor expert judgement at any step of their
the process for any ex post evaluation of the use of determination process.
discretion, together with a clear indication of theposition of any person(s) responsible for carryingout the evaluations.
The methodology provides that theAdministrator will consult with stakeholders
on material changes to the methodology.

In specifying the procedures for review of themethodology, the benchmark statement shall at
least outline the procedures for public consultation
on any material changes to the methodology.

Consultation will ordinarily consist of
publishing of proposals, providing
stakeholders with a reasonable time torespond and publishing actions as a resultof the consultation.
In addition, the Oversight Committee canrequest the Administrator to consult on any
change as appropriate.

Details of any consultation, including asummary of the results, will be published to
the CME Website.
In addition to the information to be included pursuant to Article 1, for a regulated-data benchmark
or, where applicable, family of regulated-data benchmarks, the benchmark statement shall state
at least the following in its description of the input data:© 2023 CME Group. All rights reserved.

BMR /
RTS
(a)
(b)
RTS 3

(a)

BMR Benchmark Statement requirement

Administrator’s statement

the sources of the input data used;
N/A – Not a regulated data benchmark
for each source, the relevant type, as listed in
N/A – Not a regulated data benchmark
Article 3(1)(24) of Regulation (EU) 2016/1011.
In addition to the information to be included pursuant to Article 1, for an interest rate benchmark
or, where applicable, family of interest rate benchmarks, the benchmark statement shall include
at least the following information:a reference alerting users to the additional
As the CME Term SOFR Reference Rate isregulatory regime applicable to interest rate
an interest rate benchmark, the regulatory
benchmarks under Annex I to Regulation (EU)regime under Annex I to the BMR also
2016/1011;
applies.
The arrangements that are in place tocomply with Annex I of the BMR are as
follows:
Accurate and sufficient data; thearrangements regarding the priority of useof input data are set out in the published
Benchmark Methodology.

(b)

RTS 4

(a)

(b)
(c)

9

a description of the arrangements that have been
put in place to comply with that Annex.

Oversight function: The Administrator has
established the Oversight Committee, forwhich the Terms of Reference,
membership, declarations of any conflictsof interest and the processes for election or
nomination of members.
Auditing: The Administrator is authorised
and supervised by the UK Financial
Conduct Authority and undergoes anexternal audit to review and report on its
compliance with the Benchmark
Methodology and the BMR every two
years. In addition, audits can be requested
at any time by the Administrator’s board or
the Oversight Committee.

Contributor systems and controls: The
CME Term SOFR Reference Rates are notdetermined using contributions, andaccordingly these provisions are notapplicable.
In addition to the information to be included pursuant to Article 1, for a commodity benchmark or,
where applicable, family of commodity benchmarks, the benchmark statement shall at least:
indicate whether the requirements of Title II of, orAnnex II to, Regulation (EU) 2016/1011 apply to the
N/A – Not a commodity benchmark
benchmark, or family of benchmarks as prescribedby Article 19 of that Regulation;
include an explanation as to why Title II of or, as the
N/A – Not a commodity benchmark
case may be, Annex II to that Regulation applies;
include in the definitions of key terms a concise
description of the criteria that define the relevant
N/A – Not a commodity benchmark
underlying physical commodity;© 2023 CME Group. All rights reserved.

BMR /RTS

BMR Benchmark Statement requirement

Administrator’s statement(d)where applicable, indicate where the explanations
are published that the administrator is required to
publish under paragraph 7 of Annex II to that
Regulation.

N/A – Not a commodity benchmark

RTS 5

(a)

(b)

RTS 6

(a)

(b)

10

In addition to the information to be included pursuant to Article 1, for a critical benchmark, or,where applicable, a family of benchmarks that contains at least one critical benchmark, thebenchmark statement shall include at least the following information:a reference alerting users to the enhanced
regulatory regime applicable to critical benchmarks N/A – Not a critical benchmark
under Regulation (EU) 2016/1011;
a statement indicating how users will be informed ofany delay in the publication of the benchmark or of
N/A – Not a critical benchmark
any re-de-termination of the benchmark andindicating the (expected) duration of measures.
In addition to the cases referred to in the third subparagraph of Article 27(1) of Regulation (EU)2016/1011, an update of the benchmark statement shall be required whenever the information
contained in the statement ceases to be correct or sufficiently precise, and including in any eventin the following cases:
This Benchmark Statement shall be
updated where information contained
whenever there is a change in the type of thewithin it ceases to be correct or sufficiently
benchmark;precise, including where there is a change
to the type of input data.
whenever there is a material change in themethodology used for determining the benchmark
or, if the benchmark statement is for a family ofbenchmarks, in the methodology used for
determining any benchmark within the family ofbenchmarks.

This Benchmark Statement shall be
updated where there is a material change
in the methodology used for determining
the Benchmarks .

© 2023 CME Group. All rights reserved.

1.

Appendix I – Key Terms & Definitions

Capitalised terms used in this Benchmark Statement that are not otherwise defined have the meaning set out
below:TERM

DESCRIPTION

Administrator

CME Group Benchmark Administration Limited

CBA

CME Group Benchmark Administration Limited

DCM

Designated Contract Market

BMR

Benchmark Regulation

FED

Federal Reserve System

NY FED

Federal Reserve Bank of New YorkRTS

Regulatory Technical Standard

SOFR

Secured Overnight Financing Rate

SR1

One-month SOFR Futures

SR3

Three-month SOFR Futures

VWAP

Volume Weighted Average Price11© 2023 CME Group. All rights reserved.

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