Cleared SOFR Swaps
Product OverviewEndorsed 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.
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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 ICE LIBOR versus SOFR EFFR versus SOFR |
Floating Rate Index |
USD-SOFR-COMPOUND |
Maximum Maturity |
51 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 |
The SOFR OIS curve illustrates forward-looking SOFR expectations for 1-year and beyond, using SOFR futures and swap markets sourced from readily available broker pages.
In accessing this proprietary data from this website, you acknowledge you have read and agree to all CME Data Terms of Use. These rates are for information purposes only and are not for use as a reference in financial instruments.
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