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 will launch clearing for OTC SOFR-based swaps on October 1*, the contracts are available in testing now.

*Pending Regulatory Approval

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:

USD LIBOR versus SOFR

EFFR versus SOFR

Floating Rate Index

USD-SOFR-COMPOUND

Maximum Maturity

30 Years

Settlement Convention

T+1

Forecasting and Discounting Curve

USD SOFR Curve

Price Alignment Rate

USD SOFR

Reset Calendar

US Gov Securities

Payment Calendar

USNY

*pending regulatory review

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