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Using LCH-CME Basis Quotes to Estimate CME SOFR Swap Rates

Article Quant Q&A · Author: Frido
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Summary

The document asks how to obtain market quotes for CME-cleared SOFR swaps when available Bloomberg SOFR swap rates represent LCH-cleared swaps. The proposed construction is to combine the LCH swap rate with the LCH-CME basis, while the question asks whether basis quotes are the only practical source or whether direct CME-cleared swap quotes are available.

The response gives a limited practical observation: the 30-year USLCSS basis quote may serve as a reasonable proxy if that is the only available data. It offers no supporting price comparison, validation method, or broader curve-building procedure, and does not establish that the proxy is reliable across maturities or market conditions. The material is therefore a brief market-data pointer rather than a complete method for constructing a CME swap curve.

Key ideas

  • The SOFR swap rate discussed is identified as an LCH-cleared rate.
  • Estimating a CME-cleared rate may require adjusting the LCH rate by the clearing basis.
  • The response suggests the 30-year basis quote as a possible proxy when data choices are limited.
  • The document does not validate the proxy or provide a full curve-construction method.

Tags

Fixed incomeFuturesUS markets
Full text
# Data source(s) for LCH-CME SOFR swap basis


# Data source(s) for LCH-CME SOFR swap basis












As far as I know SOFR swaps prices in Bloomberg can be found under the tickers USOSFR(Y) BGN Curncy, so for example USOSFR5 BGN Curncy is the 5 year SOFR swap.

However, as far as I know, USOSFR is the LCH cleared sofr swap rate. If you'd like to construct a CME cleared swap curve and/or deduce the CME swap rate you'd need to adjust USOSFR with the basis.

Is USLCSS(Y) CMPN the only ticker in BBG available for the basis? And if so, are there other ways of deducing the CME sofr swap rate without using USLCSS, ie. are there tickers that directly show quotes for CME cleared swaps which are more reliable than say the combination USOSFR + USLCSS?

## Answer by river_rat (score 3, accepted)

https://quant.stackexchange.com/a/84135

Threw this together quickly, USLCSS30 doesn't seem like a bad proxy if that is all you have.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.