Libor leaders: LCH brings SOFR swaps into the fold
CCP adapted risk models to start clearing new swaps and plans quick switchover to SOFR discounting
This article is part of a Risk.net series on the practical aspects of Libor transition. Find the rest of the coverage here.
As custodians of mutualised risk – $375 trillion notional of it – clearing houses have strict guidelines governing how and when new products are brought into the fold. Derivatives typically need a track record of liquidity in bilateral markets and observable pricing on trading venues before they are even considered for clearing. Benchmark reform, however, has turned this
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