In just over a year’s time, the US dollar swap market will undergo a planetary realignment, when LCH changes the interest rate it uses to value cleared trades and pays on cash collateral – affecting $133 trillion of swaps. The move will see LCH drop the Federal funds rate in favour of SOFR, the secured overnight financing rate, during the second half of 2020, and is intended to help cement the latter as the replacement for US dollar Libor.
Execs at the central counterparty stress the changes
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