CME in talks to clear term SOFR basis swaps
US clearing house has held discussions with some dealers about clearing term SOFR-SOFR packages
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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