LIBOR to SOFR conversion done, says LCH SwapClear
22 May 2023 UK
Image: AdobeStock/AdobeStock/Nicholas
LCH SwapClear reports that it has converted close to 600,000 USD LIBOR contracts to Secured Overnight Financing Rate (SOFR)-referenced contracts with aggregate notional value of US$45 trillion.
The London Stock Exchange Group (LSEG)-owned derivatives clearing house migrated these derivatives contracts from LIBOR to SOFR in two tranches completed on 22 April and 20 May respectively.
A large majority were migrated in Tranche 2, which accounted for 550,000 contracts and close to US$43 trillion in aggregate notional.
LCH indicated that it will continue to support additional global benchmark reform efforts, including the upcoming conversions of SGD SOR to Singapore Overnight Reference Rate (SORA) for the Singapore dollar benchmark interest rate, THB THBFIX to Thai Overnight Repurchase Rate (THOR) for Thai baht benchmark reference rate, as well as the Canadian market transition from CDOR to Canadian Overnight Repo Rate Average (CORRA) in 2024.
Susi de Verdelon, head of SwapClear and Listed Rates at LCH Ltd, says: “The final USD LIBOR conversion event went seamlessly, supporting the market in bringing about the end of USD LIBOR in the cleared OTC swaps market. As the first CCP to offer clearing of USD swaps referencing SOFR, the completed conversion demonstrates the key role that LCH has played in the transition.
“This also builds upon our work with customers on previous IBOR conversions for CHF, EUR, GBP and JPY into SARON, €STR, SONIA and TONA respectively, which together represented an aggregate equivalent of $35 trillion of swaps across three dates in Q4 2021.”
The London Stock Exchange Group (LSEG)-owned derivatives clearing house migrated these derivatives contracts from LIBOR to SOFR in two tranches completed on 22 April and 20 May respectively.
A large majority were migrated in Tranche 2, which accounted for 550,000 contracts and close to US$43 trillion in aggregate notional.
LCH indicated that it will continue to support additional global benchmark reform efforts, including the upcoming conversions of SGD SOR to Singapore Overnight Reference Rate (SORA) for the Singapore dollar benchmark interest rate, THB THBFIX to Thai Overnight Repurchase Rate (THOR) for Thai baht benchmark reference rate, as well as the Canadian market transition from CDOR to Canadian Overnight Repo Rate Average (CORRA) in 2024.
Susi de Verdelon, head of SwapClear and Listed Rates at LCH Ltd, says: “The final USD LIBOR conversion event went seamlessly, supporting the market in bringing about the end of USD LIBOR in the cleared OTC swaps market. As the first CCP to offer clearing of USD swaps referencing SOFR, the completed conversion demonstrates the key role that LCH has played in the transition.
“This also builds upon our work with customers on previous IBOR conversions for CHF, EUR, GBP and JPY into SARON, €STR, SONIA and TONA respectively, which together represented an aggregate equivalent of $35 trillion of swaps across three dates in Q4 2021.”
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