CCPs to review conversion blueprint ahead of SOFR switch

Rising rates vol expected to push US transition to the wire, but process likely to follow previous runs

The two largest swaps clearing houses are preparing to poll members later this year on the timing and procedure for re-hitching more than $100 trillion notional of US dollar Libor swaps to the secured overnight financing rate, as rising rates volatility poses new challenges for the last remaining conversion.

While a blueprint has been established with the successful conversion of sterling, Japanese yen, Swiss franc and euro Libor swaps to successor risk-free rates (RFRs) in December, the