LCH cuts to the chase in SOR conversion plan
Proposal would skip interim stage in demise of Singapore’s outgoing rate
LCH is proposing to flip its book of cleared Singapore dollar interest rate swaps away from the market’s doomed swap offer rate (SOR) to its replacement – the Singapore overnight rate average (Sora) – some 18 months before the legacy benchmark is axed. Currently, the SOR book at LCH contains trades worth around $300 billion notional.
The plan is an attempt to bypass headaches associated with SOR’s two-step demise. Next year, SOR trades will jump to a different, temporary version of the
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