CME in talks to clear term SOFR basis swaps

US clearing house has held discussions with some dealers about clearing term SOFR-SOFR packages

Chicago Mercantile Exchange
Matt Griffin/Wikimedia/

CME Group has been speaking with banks about clearing basis swap packages linked to the term version of the secured overnight financing rate (SOFR) and overnight SOFR, in a move that could help open up trading of the packages to a broader range of participants.

Overnight SOFR swaps can currently be cleared at CME, but term SOFR swaps can not. Being able to clear both legs as a package would make it easier for dealers to offload the term SOFR versus overnight SOFR basis risk they’ve been piling

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