LCH eyes SOR swap conversion
CCP will consult in Q1 on conversion methodology for switching SOR swaps to Sora
LCH has confirmed plans to automatically convert outstanding swaps linked to Singapore’s swap offer rate (SOR) to its risk-free rate replacement ahead of the benchmark’s demise in mid-2023.
SOR is a synthetic benchmark for Singapore dollar interest rate swaps, implied from the cost of borrowing in US dollars and swapping back to the Singaporean currency. Since the rate uses US dollar Libor as an input, it cannot be calculated after Libor’s cessation and its publication will therefore be
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