CME to reinforce term SOFR with swap inputs
Inclusion would leapfrog a 25% OTC liquidity threshold embedded in methodology
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
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