- In aggregate, LCH SwapClear has successfully converted approximately 600,000 (approx. 50,000 tranche 1 / approx. 550,000 tranche 2) USD LIBOR contracts into SOFR, the new risk free reference rate (RFR) in US Dollars
- The conversion involved $45 trillion of aggregate notional, with the second tranche by far the largest conversion undertaken to date with a value of $43 trillion
LCH SwapClear, part of LSEG’s post trade division, has successfully completed its second and final conversion event of USD LIBOR to SOFR. The conversion took place on 20 May 2023 and follows the first USD LIBOR conversion event on 22 April 2023.
Susi de Verdelon, Head of SwapClear and Listed Rates, LCH Ltd:
“We’re pleased that the final USD LIBOR conversion event went seamlessly, supporting the market in bringing about the end of USD LIBOR in the cleared OTC swaps market. As the first CCP to offer clearing of USD swaps referencing SOFR, the completed conversion demonstrates the key role that LCH has played in the transition.
“This also builds upon our work with customers on previous IBOR conversions for CHF, EUR, GBP and JPY into SARON, €STR, SONIA and TONA respectively, which together represented an aggregate equivalent of $35 trillion of swaps across three dates in Q4 2021.”
LCH will continue to support additional global benchmark reform efforts, including the upcoming conversions of SGD SOR to SORA and THB THBFIX to THOR, as well as the Canadian market transition from CDOR to CORRA in 2024.
