LCH plans two-part US Libor swap conversion
CCP to ditch pre-emptive basis splitting in April and May switchover, but retains overlay swaps
LCH is proposing to convert an estimated $53 trillion of US dollar Libor swaps to the secured overnight financing rate, or SOFR, in two separate tranches starting April 2023 – more than two months before the benchmark is permanently switched off.
The London-based clearing house is consulting with clients on plans to re-hitch a clutch of contracts including Fed Funds versus Libor basis swaps, variable notional swaps and zero-coupon swaps over the weekend of April 22–23. The vast majority of
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