Interest rate futures data and APIs

We don’t provide the forward curve directly. CME SOFR futures are commonly used as inputs, along with the SOFR spot rate and SOFR swap rates, to bootstrap the SOFR forward curve and you’ll have to do this on client side from our data.

Eurodollar and SOFR futures represent different eras in interest rate derivatives. Trading since 1981, Eurodollar futures were based on the 3-month USD LIBOR, determined through bank submissions. SOFR futures, introduced in 2018, are based on Treasury repo (repurchase agreement) market transactions, which are considered "risk-free" as they're secured by U.S. Treasuries.

Both use similar pricing conventions (100 minus the rate), but Eurodollar futures have been largely phased out since USD LIBOR was discontinued in 2023-2024. SOFR futures have now become the dominant interest rate futures benchmark in U.S. markets. This shift marked a transition from survey-based rates with credit risk premiums to transaction-based rates that better reflect secured lending costs in the financial system.

Our CME dataset includes both 1-month and 3-month SOFR futures (SR1 and SR3 respectively), and SOFR futures will also be available in our upcoming ICE Futures Europe Financials dataset.

Treasury futures offer easier access to liquidity and standardized contracts with low transaction costs, and are hence often used speculate on future changes in interest rates and hedge against interest rate fluctuations. Cash treasuries are more often used by institutions to hold cash positions and manage credit risk.

Cash treasuries offer more specific maturity dates than there are expiration dates for treasury futures. The difference in price between a cash treasury security and a related treasury futures contract is called the cash-futures basis, and reflects the carry cost on the futures contract.

Treasury futures are traded on futures exchanges like CME, CBOT, and Eurex, whereas cash treasuries are usually traded in the secondary market through brokers—a process which is often facilitated by major ECNs like BrokerTec.

Yes, we are planning to cover major cash treasury markets like BrokerTec, Nasdaq, and Fenics UST, as well as corporate bonds through FINRA TRACE (BTDS, ATDS, etc.) You can check our roadmap for upcoming market coverage and development progress.