LCH basis swap templates may aid Libor conversion
Compression providers say the new templates will make risk replacement trades more efficient
A new suite of basis swap templates being rolled out by LCH could take some of the pain out of the Libor transition, making it easier for compression providers to tear up existing Libor contracts and replace them with trades referencing new risk-free rates (RFRs).
“We created templates to give compression providers more flexibility in their algorithms to re-imply the replacement of risks into standardised templates,” says Cameron Goh, global head of product, rates at LCH. “This is helpful as
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