CME to reinforce term SOFR with swap inputs

Inclusion would leapfrog a 25% OTC liquidity threshold embedded in methodology

Reinforcing-term-SOFR

CME Group is in discussions with data providers about adding over-the-counter swaps to the pool of inputs for calculating its term version of the secured overnight financing rate, or SOFR.

The benchmark administrator, which currently publishes the rate only from its own futures data, expects to incorporate swap inputs well before OTC instruments hit a liquidity threshold that would compel the group to consider adoption under its own methodology.

“We are already working on getting ready to

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

Sign up here

 

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: