CME Term SOFR Daily ReturnIndices Methodology
CME Group Benchmark Administration Limited
Version 1.0.0
Publication Date: 6th September 2023

Version Control

2VERSION

KEY CHANGESAPPROVAL DATE

1.0.0

Initial version

June 27th, 2023

© 2023 CME Group. All rights reserved.

Contents
1.
Introduction
2.
CME Term SOFR Daily Return Indices3.
Calculation Methodology
4.
Publication and Error Policy
5.
GovernanceAppendix I – Key Terms & Definitions
Appendix II – ESG Disclosures
Appendix III – Term SOFR Daily Return Indices List345678111213© 2023 CME Group. All rights reserved.

1. Introduction
The CME Term SOFR Daily Return Indices suite of Benchmarks calculated by CME Group Benchmark
Administration Limited (CBA) that provide the daily compounded returns for each Term SOFR tenor starting
21st September 2021.

1.1. CME Group and CME Group Benchmark Administration Limited
As a leading and diverse derivatives market operator, CME Group is the parent of four U.S.-based designatedcontract markets (“DCMs”): Chicago Mercantile Exchange Inc. (“CME”), Board of Trade of the City ofChicago, Inc. (“CBOT”), New York Mercantile Exchange, Inc. (“NYMEX”), and the Commodity Exchange, Inc.
(“COMEX”) (collectively, the “CME Group Exchanges”). These exchanges offer a wide range of products
available across all major asset classes, including futures and options based on interest rates, equity indexes,
foreign exchange, energy, metals, and agricultural commodities.
CBA capitalizes on CME Group’s wealth of electronic transaction-based data in the calculation of its indicesand benchmarks. CBA is authorized and supervised by the UK Financial Conduct Authority (FCA).

1.2. Regulatory and IOSCO Compliance
The CME Term SOFR Daily Return Index is a family of benchmarks, designed on the basis of industry bestpractices and the IOSCO Principles for Financial Benchmarks. This will include but not be limited to thecreation of an oversight committee and a published methodology. Material changes to the methodology will beannounced via public consultation and any changes such as a re-balancing of the constituent components
would be announced with a notice period of at least one month.
The CME Term SOFR Daily Return Indices is available for use under the UK Benchmark Regulation (BMR) 1.

1

https://www.fca.org.uk/markets/benchmarks/regulation4© 2023 CME Group. All rights reserved.

2.

CME Term SOFR Daily Return Indices

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 ReturnIndices are calculated and published for 1-month, 3-month, 6-month and 12-month Term SOFR Rates.
CME Term SOFR Daily Return Indices will be calculated for each Business Day, in accordance with therecommended SIFMA US Holiday Schedule and will utilise the prior business day’s published CME Term
SOFR rates as input data.
CBA is the Benchmark Administrator with CME Inc. providing calculation agent and distribution services. This
document describes the methodology used by CBA to calculate CME Term SOFR Daily Return Indices listed
in Appendix III.

5

© 2023 CME Group. All rights reserved.

3. Calculation Methodology
The CME Term SOFR Daily Return Indices measure the compound return for each of the CME Term SOFR
Reference Rates. The initial value for each CME Term SOFR Daily Return Index is set to 100.000000 on
September 21, 2021. The return level for each of the CME Term SOFR Daily Return Indices on date 𝑡𝑡 shall becalculated in accordance with the following formulae:
Initial Term SOFR Daily Return Index value on September 21, 2021
𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥ℎ 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 = 100.000000

Initial Term SOFR Daily Return Index value after September 21, 2021
𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥ℎ 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 = 100 ×Where:••
•𝑡𝑡−1

�

𝑖𝑖= 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 21.2021

�1 +𝑥𝑥𝑥𝑥 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 𝑆𝑆𝑆𝑆𝑆𝑆𝑅𝑅𝑖𝑖 ∗ 𝑛𝑛𝑖𝑖
�360𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥ℎ 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 = Term SOFR Daily Return Index level for tenor 𝑥𝑥 on date 𝑡𝑡𝑥𝑥𝑥𝑥 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 𝑆𝑆𝑆𝑆𝑆𝑆𝑅𝑅𝑖𝑖 = CME Term SOFR Rate for tenor 𝑥𝑥 on date 𝑖𝑖

𝑛𝑛𝑖𝑖 = Number of calendar days applicable to Term SOFR rate on date 𝑖𝑖

For initial Term SOFR Daily Return Index value after September 21,2021 including a basis point spread𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥ℎ 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 = 100 ×Where:••••𝑡𝑡−1

�𝑖𝑖= 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 21.2021

�1 +(𝑥𝑥𝑥𝑥 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 𝑆𝑆𝑆𝑆𝑆𝑆𝑅𝑅𝑖𝑖 + 𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥) ∗ 𝑛𝑛𝑖𝑖
�360

𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥ℎ 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 = Term SOFR Daily Return Index level for tenor 𝑥𝑥 on date 𝑡𝑡𝑥𝑥𝑥𝑥 𝑇𝑇𝑇𝑇𝑇𝑇𝑇𝑇 𝑆𝑆𝑆𝑆𝑆𝑆𝑅𝑅𝑖𝑖 = CME Term SOFR Rate for tenor 𝑥𝑥 on date 𝑖𝑖

𝑛𝑛𝑖𝑖 = Number of calendar days applicable to Term SOFR rate on date 𝑖𝑖
𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥 = Constant basis point spread

3.1. Use of Expert Judgement
The CME Term SOFR Daily Return Indices are determined on the basis of the methodology documented
above. No expert judgement is applied in the daily determination of the CME Term SOFR Daily ReturnIndices.

6© 2023 CME Group. All rights reserved.

4. Publication and Error Policy
4.1. Publication
The CME Term SOFR Daily Return Indices are published each business day (in accordance with the SIFMAUS Holiday Schedule) shortly after 8am ET.
The CME Term SOFR Daily Return Indices are calculated and published to six (6) decimal places.
CME Term SOFR Daily Return Indices are published to CME DataMine.
CBA may, with notification to the market, choose not to publish the CME Term SOFR Daily Return Indices on
any given business day.

4.2. Error policy
The Administrator takes the utmost care to ensure that input data and calculations are accurate; during thecalculation process and prior to publication, the Administrator performs additional validation checks to identify
possible errors, and swiftly recalculate and revalidate the CME Term SOFR Daily Return Indices prior topublication.
If an error is not resolved before index calculation and publication, or if input data is revised retrospectively, adecision will need to be made whether to restate the CME Term SOFR Daily Return Indices. Restatement
decisions are based on the materiality of the error, which is determined based on all relevant factors, including
the number of indices affected, the time between publication and when the error is detected, the size of thedeviation between published and updated index levels, the data processing impact on clients and vendors,
and general market conditions. Not all factors need to be present to warrant a restatement and some may be
more determinative than others depending on the circumstances.
A 2bps error materiality threshold is generally considered alongside other relevant factors for assessing
materiality.
In case of restatement, users of the CME Term SOFR Daily Return Indices will be informed and a notice will
be published to the CBA Notices page.

7© 2023 CME Group. All rights reserved.

5. Governance
The Administrator operates under a comprehensive Risk and Control Framework, providing clear policies on
Governance, Oversight, Benchmark Design and Calculation, Outsourcing, Operations, Reporting ofInfringements and Business Continuity.
CBA has in place a "Three Lines of Defence" model, enabling close cross-monitoring of the governanceprocess - this being business, compliance and audit who all have a key role in ensuring that CBA meets its
regulatory requirements.

5.1. Oversight Committee
An Oversight Committee is appointed by the Administrator to review the integrity of the benchmark, inaccordance with the CBA Terms of Reference for the Oversight Committees.
The Oversight Committee will provide independent oversight of, and challenge, to the Administrator on all
aspects of the Benchmark determination process. The minutes of the Oversight Committee are madeavailable on the Administrator's website.
The Oversight Committee will escalate to the CBA Board if required.

5.2. Review of the Methodology
The Administrator constantly monitors the Benchmark Methodology and its consistency with the statedobjectives. The Benchmark Methodology is reviewed annually by the Administrator and the OversightCommittee.
The Oversight Committee approves proposed changes to the Benchmark Methodology including, but notlimited to, the structure of the Benchmark, input data used and all aspects of the Calculation Methodology.
The Oversight Committee may direct the Administrator to consult on any changes to the methodology with
Stakeholders and the wider market.

5.3. Consultation Process
The Administrator will engage relevant stakeholders and end-users on material changes to the Benchmark
Methodology, if required by regulation or where the Oversight Committee requests such consultation.
Changes to the Methodology are deemed material on the basis of an assessment conducted by theAdministrator and submitted to the Oversight Committee for advice and feedback.
The Administrator will publish notice of the consultation on its website, inviting feedback from stakeholders
and the wider market. Notice of a consultation will be posted at least 1 (one) month prior to the deadline forresponses. The notice will include the details of the proposed material change, the timeline and the rationale
for the change.
Findings of the consultation process and proposed changes to the Benchmark Methodology, recommended
as a result of the consultation, will be presented by the Administrator to the Oversight Committee for its
consideration.

8© 2023 CME Group. All rights reserved.

Feedback to a consultation is considered confidential, however the Administrator will publish an anonymized
summary with its conclusions, as soon as it is practical, but before implementation of any changes.

5.4. Cessation
The Administrator constantly monitors the representativeness of the Benchmark. If the Benchmark is deemed
to be unrepresentative of the underlying economic reality due to paucity of input data or systemic changes in
the related markets, the Administrator will engage the Oversight Committee at the earliest opportunity. Thesecessation arrangements are designed to mitigate cessation and transition risks.
The Oversight Committee may direct the Administrator to consult with Stakeholders as described in theConsultation Process section.
As a last resort, if no alternative arrangements are feasible, the Oversight Committee may advise theAdministrator to discontinue the Benchmark, providing Stakeholders at least 6 (six) months’ notice andassistance to explore alternative reference instruments.
The Administrator will endeavour to identify alternative benchmarks; however, this might not always be
possible due to Regulations, market conditions or suitable alternatives.
Users of the benchmark are recommended to ensure that they have adequate fallback policies andprocedures in the event of the Benchmark becoming unrepresentative of its economic interest.

5.5. Records Retention
The Administrator has in place policies for the retention of any relevant evidence and documentation related
to the determination and dissemination of the Benchmark, either in paper or in electronic format, for at least
the mandatory term of 5 (five) years.

5.6. AuditingAn internal audit process is undertaken regularly, to ensure adherence to the stated Methodology, the IOSCO
principles and regulatory requirements.
External audits can be requested at any time by the Administrator’s Board, the Oversight Committee or theinternal audit function.

5.7. Data Licensing and Distribution
The Benchmark is made available subject to execution of an Information License Agreement (ILA) together
with the appropriate Schedules. Market participants that intend to subscribe to the benchmark should contact
the Administrator at the following email address: datasales@cmegroup.com

9© 2023 CME Group. All rights reserved.

5.8. Complaints Procedures
The CME Group EMEA / APAC Complaints Procedures sets out details on the management of customer
complaints to ensure that they are handed fairly and effectively, in a prompt and transparent manner and inaccordance with applicable regulatory requirements.
Complaints will be dealt with by a senior member of staff not directly involved with the benchmark calculationand dissemination.
Information related to complaints will be stored in a restricted access area and kept for a period of at least 5(five) years following the date when the complaint was first lodged. Complaints can be submitted atinternationalcompliance@cmegroup.com

10© 2023 CME Group. All rights reserved.

Appendix I – Key Terms & Definitions
TERM

DESCRIPTION

Administrator

CME Group Benchmark Administration Limited

BMR

UK Benchmark Regulation (Regulation (EU) 2016/2011, as retained in UK
law under the EUWA)CBA

CME Group Benchmark Administration Limited

ET

Eastern Time

EUWA

European Union (Withdrawal) Act 2018, as amended from time to time

SIFMA

Securities Industry and Financial Markets AssociationSOFRSecured Overnight Financing Rate11© 2023 CME Group. All rights reserved.

Appendix II – ESG Disclosures
Explanation of how ESG Factors are Reflected in the Key Elements of the Benchmark Methodology
Item 1Name of the benchmark administrator.

CME Group Benchmark Administration
LimitedItem 2Type of benchmark or family of benchmarks.

Fixed Income

Item 3Name of the benchmark or family of benchmarks.

CME Term SOFR Daily Return Indices

Item 4

Does the benchmark methodology for the bench­
mark or family of benchmarks take into accountESG factors?

No12© 2023 CME Group. All rights reserved.

Appendix III – Term SOFR Daily Return Indices List

13Index TickerIndex Name

TSFI01

1-Month Term SOFR Daily Return Index

TSFI033-Month Term SOFR Daily Return Index

TSFI066-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

TSFI03153-Month Term SOFR +15bps Daily Return Index

TSFI06156-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

TSFI06186-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

TSFI122012-Month Term SOFR +20bps Daily Return Index

TSFI0125

1-Month Term SOFR +25bps Daily Return Index

TSFI0325

3-Month Term SOFR +25bps Daily Return Index

TSFI06256-Month Term SOFR +25bps Daily Return Index

TSFI1225

12-Month Term SOFR +25bps Daily Return Index© 2023 CME Group. All rights reserved.

14Index Ticker

Index Name

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

TSFI0175

1-Month Term SOFR +75bps Daily Return Index

TSFI0375

3-Month Term SOFR +75bps Daily Return Index

TSFI0675

6-Month Term SOFR +75bps Daily Return Index

TSFI1275

12-Month Term SOFR +75bps 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

TSF12I011-Month Term SOFR +125bps Daily Return Index

TSF12I03

3-Month Term SOFR +125bps Daily Return Index

TSF12I06

6-Month Term SOFR +125bps Daily Return Index

TSF12I12

12-Month Term SOFR +125bps 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

TSF17I01

1-Month Term SOFR +175bps Daily Return Index

TSF17I03

3-Month Term SOFR +175bps Daily Return Index

TSF17I06

6-Month Term SOFR +175bps Daily Return Index

TSF17I12

12-Month Term SOFR +175bps 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

TSF22I01

1-Month Term SOFR +225bps Daily Return Index

TSF22I03

3-Month Term SOFR +225bps Daily Return Index

TSF22I06

6-Month Term SOFR +225bps Daily Return Index

TSF22I12

12-Month Term SOFR +225bps Daily Return Index© 2023 CME Group. All rights reserved.

15Index TickerIndex Name

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

TSF27I01

1-Month Term SOFR +275bps Daily Return Index

TSF27I03

3-Month Term SOFR +275bps Daily Return Index

TSF27I06

6-Month Term SOFR +275bps Daily Return Index

TSF27I12

12-Month Term SOFR +275bps 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

TSF32I01

1-Month Term SOFR +325bps Daily Return Index

TSF32I03

3-Month Term SOFR +325bps Daily Return Index

TSF32I06

6-Month Term SOFR +325bps Daily Return Index

TSF32I12

12-Month Term SOFR +325bps Daily Return Index

TSF35I01

1-Month Term SOFR +350bps Daily Return Index

TSF35I03

3-Month Term SOFR +350bps Daily Return Index

TSF35I06

6-Month Term SOFR +350bps Daily Return Index

TSF35I12

12-Month Term SOFR +350bps Daily Return Index

TSF37I01

1-Month Term SOFR +375bps Daily Return Index

TSF37I03

3-Month Term SOFR +375bps Daily Return Index

TSF37I06

6-Month Term SOFR +375bps Daily Return Index

TSF37I12

12-Month Term SOFR +375bps Daily Return Index

TSF40I01

1-Month Term SOFR +400bps Daily Return Index

TSF40I03

3-Month Term SOFR +400bps Daily Return Index

TSF40I06

6-Month Term SOFR +400bps Daily Return Index

TSF40I12

12-Month Term SOFR +400bps Daily Return Index© 2023 CME Group. All rights reserved.

cmegroup.com© 2023 CME Group. All rights reserved.