Need Term SOFR in a model — not a licence?
CME Term SOFR is a licensed benchmark. The market maths behind it isn't. We rebuilt a week of official fixings from our own OIS quotes — every comparison within 0.71 bp, most within a tenth — and this page explains what Term SOFR is, how CME constructs it, and how to build your own indicative rate with three BlueGamma API calls, spot or forward.
What is Term SOFR?
Term SOFR is a forward-looking interest rate: the market’s expectation, published daily by CME for 1, 3, 6 and 12-month tenors, of what compounded overnight SOFR will average over the period ahead. It exists because loan markets need to know the coupon at the start of an interest period — a borrower budgeting cash interest can’t wait for overnight fixings to compound up after the fact.
That start-of-period convenience is why the ARRC endorsed Term SOFR for business loans after LIBOR’s wind-down — and why it now dominates syndicated lending, private credit and CLOs, while bonds and the swap market stayed on compounded SOFR. The two rates differ by design: in a cutting cycle Term SOFR runs below the compounded average that eventually realises, and in a hiking cycle above it, because it prices the expected path rather than the past.
| Term SOFR | Compounded SOFR | Overnight SOFR | |
|---|---|---|---|
| Direction | Forward-looking — expected compounded SOFR | Backward-looking — realised compounded SOFR | One day at a time |
| Known | At the start of the interest period | Only at the end of the period | Each morning, for the prior day |
| Built from | SOFR futures prices (CME model) | Published overnight fixings | Repo transactions (NY Fed) |
| Used in | Loans, CLOs and their hedges | Bonds, swaps, most derivatives | The building block for both |
How CME builds Term SOFR
Term SOFR isn’t a survey and it isn’t an average of past fixings. It’s implied from SOFR futures prices with a model proposed by Federal Reserve researchers — which means anyone with the market’s forward view of SOFR can get very close to it.
Futures prices, sampled all day
The first thirteen 1-month and first five quarterly 3-month SOFR futures are sampled across fourteen 30-minute observation windows between 7:00am and 2:00pm Chicago time — volume-weighted trades first, executable bid/ask midpoints as fallback.
A forward path that jumps at FOMC dates
Not a spline: the model assumes the economically correct shape. Daily overnight SOFR is flat between FOMC meetings and moves only on policy effective dates — the unknowns are just the current level plus one jump size per scheduled meeting over the horizon.
Calibration to the futures strip
The jump sizes are solved so the model reprices the observed futures prices, respecting each contract’s settlement convention.
Compound and publish
The fitted path is compounded over each tenor (actual/360) and published at 5:00am CT the next business day, for a reference period starting two business days after publication.
We rebuilt a week of fixings from our own quotes. All twenty comparisons landed within 0.71 bp.
For each CME fixing published 18–24 August 2026, we sampled our live USD OIS quotes at the midpoint of each of CME’s fourteen 30-minute observation windows on the prior trading day, fitted the same FOMC-jump model CME uses — daily forward SOFR flat between meetings, ten unknowns: the current level plus nine jump sizes — and compounded over the same T+2 reference period. No futures data, no CME inputs — just the swap curve.
One fixing worked in full (24 Aug)
| Tenor | CME Term SOFR¹ (24 Aug) | BlueGamma replication | Difference |
|---|---|---|---|
| 1M | 3.68318% | 3.68255% | −0.06 bp |
| 3M | 3.75683% | 3.75199% | −0.48 bp |
| 6M | 3.86088% | 3.85983% | −0.10 bp |
| 12M | 4.01241% | 4.01229% | −0.01 bp |
The full week (replication − fixing, bp)
| Fixing | 1M | 3M | 6M | 12M |
|---|---|---|---|---|
| 18 Aug | +0.11 | −0.58 | −0.31 | −0.30 |
| 19 Aug | +0.21 | −0.51 | −0.20 | −0.20 |
| 20 Aug | −0.11 | −0.29 | −0.03 | −0.05 |
| 21 Aug | −0.14 | −0.50 | −0.10 | −0.71 |
| 24 Aug | −0.06 | −0.48 | −0.10 | −0.01 |
| Mean error | +0.00 | −0.47 | −0.15 | −0.25 |
| Mean abs. error | 0.13 | 0.47 | 0.15 | 0.25 |
| Worst day | 0.21 | 0.58 | 0.31 | 0.71 |
¹ CME Term SOFR values quoted for research comparison (fixings published 18–24 August 2026). CME Term SOFR is a benchmark of CME Group Benchmark Administration. The BlueGamma rates are indicative and are not the licensed benchmark.
The model barely matters
We priced the same quotes through the FOMC-jump model CME uses and through our standard log-cubic bootstrap. The two agreed within 0.03 bp on 19 of 20 tenor-days — compounding over whole months washes the interpolation shape out. (The one exception: 0.3 bp at 1M, the tenor where within-month shape stops washing out.)
The 3M gap is a basis, not noise
The 3M error sat between −0.29 and −0.58 bp on every one of the five days — the futures/OIS basis at the most liquid futures point. A gap that stable is calibratable; random error isn’t. The other tenors carry no measurable systematic gap.
The data matters a great deal
The same fit on a free once-a-day settlement feed missed by 7–17 bp at 6M and 12M: no pillars between 3M and 22M, no intraday updates. Replication needs a dense monthly strip that ticks all day.
Sampling is worth half a basis point
Within each observation day the implied 12M rate moved in a multi-bp range. Averaging the fourteen windows, as CME effectively does, is what takes the tracking error to a tenth of a basis point.
How to build Term SOFR with BlueGamma
The key fact from the study above: an N-month term rate and an N-month SOFR OIS rate are the same economic quantity — both price compounded SOFR over the period. So you don’t need futures data or a licensed feed to build an indicative term rate. You need a swap-rate endpoint.
Today’s term rate: price a spot-starting OIS
Ask for the fair fixed rate of a SOFR swap starting today and maturing in 3 months. That number is your indicative 3M Term SOFR — swap the maturity for 1M, 6M or 12M for the other tenors.
GET /v1/swap_rate?index=SOFR&start_date=0D
&maturity_date=3M&fixed_leg_frequency=12M
x-api-key: YOUR_KEY# or, in a cell
=BlueGamma.SWAP_RATE("SOFR", "0D", "3M", "12M")The forward path: move the start date
A loan model doesn’t need today’s fixing — it needs the term rate at every future reset. A forward Term SOFR rate is just a forward-starting OIS: shift the start date to the reset, keep the tenor. Loop the coupon schedule and you have the full projected strip.
# 3M Term SOFR, one year forward
GET /v1/swap_rate?index=SOFR&start_date=1Y
&maturity_date=15M&fixed_leg_frequency=12MOptional rigour: sample the day like CME does
To track the official fixing as closely as the study above, do what CME does: value the same swap at the midpoint of each of the fourteen 30-minute observation windows (7:00am–2:00pm Chicago time, the day before publication) and average. The valuation_time parameter prices against the curve as it stood at any past moment — that averaging is what took our tracking error to a tenth of a basis point.
GET /v1/swap_rate?index=SOFR&start_date=0D
&maturity_date=3M&fixed_leg_frequency=12M
&valuation_time=2026-08-21T13:45:00No card required · Full portal access · Compare your build against the fixing — we insist.
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FAQs
For models and analytics, yes. An N-month term rate and an N-month SOFR OIS rate are the same economic quantity, so BlueGamma’s indicative term rates — built from a dense real-time OIS curve — track the CME fixing closely: across the five fixings published 18–24 August 2026, mean absolute error was 0.13–0.47 bp per tenor and no single comparison exceeded 0.71 bp. For contracts that reference CME Term SOFR, no: the loan documentation needs the licensed benchmark, however well an independent estimate tracks it.
It’s implied from SOFR futures prices. CME samples the first thirteen 1-month and first five quarterly 3-month SOFR futures across fourteen 30-minute observation windows (7:00am–2:00pm Chicago time), fits a model in which daily SOFR is flat between FOMC meetings and jumps only on policy effective dates, then compounds the fitted path over each tenor (actual/360). The rate is published at 5:00am CT the next business day, for a reference period starting two business days after publication.
Direction. Compounded SOFR looks backwards: it averages the overnight fixings that already printed, so the rate is only known at the end of the period. Term SOFR looks forwards: it’s the market’s expectation, priced from futures, of what that compounded average will turn out to be — known at the start of the period, which is why loan markets use it.
Mostly lending. After LIBOR’s wind-down the ARRC endorsed Term SOFR for business loans, and it now dominates syndicated lending, private credit and CLOs — because a borrower needs to know the coupon at the start of an interest period, not after overnight fixings have compounded up. Bonds and the swap market largely stayed on compounded SOFR, which is why Term SOFR swaps trade with their own basis.
The licensed fixing itself is distributed by CME and its data partners. For an indicative rate that tracks it, request the fair rate of a spot-starting SOFR OIS from BlueGamma’s swap_rate endpoint — index SOFR, start date 0D, maturity 1M/3M/6M/12M — or the equivalent Excel Add-in function. The same endpoint with a forward start date returns forward Term SOFR for coupon projections.
A forward Term SOFR rate is a forward-starting OIS rate: the 3M term rate one year from now is the fair rate of a SOFR swap running from 1Y to 15M. Request the swap rate for each coupon period in sequence and you have the full projected coupon strip for a Term SOFR loan — the same forward path that drives our SOFR forward curve.
Two small effects: the inputs (CME calibrates to futures prices, an OIS curve to swap quotes — in our week-long test this futures/OIS basis was a stable ~0.5 bp at 3M, the most liquid futures point, and not measurable elsewhere) and timing (the fixing is built from the prior day’s observation windows, while a live curve moves all day). Model choice is not one of them: any curve that reprices the same quotes gives the same compounded average over standard tenors.
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More on SOFR
SOFR Forward Curve
The market-implied SOFR path — the forward view behind every term rate.
USD Swap Rates
Today's SOFR swap rates across the full tenor grid, with history.
Compounded SOFR
The backward-looking counterpart: daily and period-compounded SOFR.
SOFR Fixings
The overnight SOFR prints themselves, updated daily.