CDS market prepares to join Libor transition
Ice and LCH will switch to new rates for margin interest; Isda to follow in standard model update
The credit derivatives market will lend its weight to Libor transition efforts from next month, as three clearing houses adopt new risk-free rates in a key part of the clearing chain for $2.3 trillion of credit default swaps. The co-ordinated move is part of a grander plan to embed RFRs – the regulator-endorsed replacements for Libor – throughout the financial markets.
On June 11, the clearing houses – Ice Clear Credit, Ice Clear Europe and LCH’s CDSClear – will ditch the effective federal
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