Cleared OTC SOFR Swaps

Product Overview

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.

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.

Navigate SOFR Resources

Related products

Discounting & Price Alignment

Tools

Product Scope

CME Group offers 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

SOFR Swaps Market Activity

  • CME has cleared $23.6 billion notional in SOFR Swaps to date, including $19.5 billion in OIS and $4 billion in Basis Swaps
  • 24 participants, including 14 banks and 10 clients, have cleared SOFR Swaps at CME Group to date

Data as of November 29, 2019

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