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Eurex Clears First SOFR Swap Transactions

Date 07/08/2020

  • LBBW and J.P. Morgan are the first banks to clear SOFR swaps through Eurex Clearing
  • Another important addition to Eurex’s liquidity pool

Eurex Clearing has cleared its first SOFR swaps transactions. Initial trades were submitted by J.P. Morgan and LBBW. This once again demonstrates the increasing commitment by our clients to clear OTC products at Eurex.

SOFR Overnight Index Swaps and SOFR Basis Swaps (both SOFR versus Fed Funds and SOFR versus USD Libor) have been clearable at Eurex Clearing up to a 50-year maturity since 29 July.

Dr. Thilo Roßberg, Head of FICC Markets, LBBW said: “Clearing the first USD SOFR swaps at Eurex Clearing demonstrates our commitment to the development of an alternative European based liquidity pool.”

Tom Prickett, co-Head of EMEA Rates, J.P. Morgan said: “Being the first to clear USD SOFR swaps at Eurex Clearing demonstrates our commitment to provide liquidity and support our European clients with their multi-currency derivatives clearing needs. This is another important milestone in the benchmark transition process and we’re delighted to be leading our clients through this positive industry change.”

Phil Simons, Global Head of Fixed Income Sales, Derivatives, Funding and Financing at Eurex Clearing: “Making it possible for clients to combine EUR and USD swap clearing attracts even more clients to our EU27 based, EMIR compliant liquidity pool. It is another vital step in our vision to become home of the euro yield curve.”

In 2017, the Alternative Reference Rate Committee (ARRC) identified a viable alternative to USD Libor by selecting the Secured Overnight Financing Rate (SOFR). The Federal Reserve Bank of New York began publishing the rate in April 2018 in their efforts to replace LIBOR and as the preferred alternative reference rate for the USD marketplace. SOFR is a broad measure of the cost of borrowing cash overnight collateralized by Treasury securities, and is published daily at 8:00am EST.