Cleared OTC Secured Overnight Financing Rate (SOFR) Swaps

Endorsed by the Alternative Reference Rate Committee (ARRC) in June 2017, the Secured Overnight Financing Rate (SOFR) is a broad Treasuries overnight repo financing rate  published by the Federal Reserve Bank of New York and the Office of Financial Research as of  April 3 2018. CME Group is targeting Q3-2018 for clearing OTC SOFR-based swaps.

Clearing OTC SOFR Swaps further extends CME Group’s leadership as the only clearing house to offer clearing for Interest Rate Swaps, Swaptions and Interest Rate futures within a single netting pool. The deep liquidity and potential offsets found in our Interest Rate franchise makes CME the natural home for SOFR clearing.

Initial Product Scope

CME Group will launch clearing for SOFR-based interest rate swaps for both the outright OIS and Basis Swaps to facilitate trading between SOFR and the existing benchmarks.

Field

Description

Swap Types

OIS:

Fixed versus SOFR

Basis:

1M USD-LIBOR versus SOFR

3M USD-LIBOR versus SOFR

6M USD-LIBOR versus SOFR

Fed Funds versus SOFR

Floating Rate Index

USD-SOFR-COMPOUND

Maximum Maturity

5 Years

Settlement Convention

T+1

Forecasting Curve

SOFR Futures + Convexity Bias Adjustment

Discounting Curve

Existing USD Fed Funds Curve

Price Alignment Rate

USD daily effective federal funds rate

Holiday Calendars & Business Day Conventions

Flexible support for business days, calendars and adjustments

*pending regulatory review

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