LCH discounting switch tipped to help SOFR swap market

Isda AGM: Using SOFR discounting for Libor swaps will help build liquidity, say market participants

SOFR drip

Read all our Isda AGM coverage here.

LCH’s plan to adopt the US secured overnight financing rate (SOFR) as the benchmark to value cleared swaps and pay interest on cash collateral will boost SOFR swap use, but clarity on fallback language is needed for the market to prosper, market participants say.

The UK-based clearing house announced in February that it would begin using SOFR as the interest rate to calculate price alignment interest (PAI) – the interest rate paid on posted cash variation

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: