SOFR discounting: CCPs prepare for make or break auctions

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

The US dollar swap market is preparing for what could be a momentous weekend in mid-October.

That is when CME and LCH will change the risk-free rate they use to value and pay interest on cash collateral for $134 trillion of cleared US dollar swaps. The so-called ‘big bang’, set to take place between October 16 and 19, will see the effective federal funds rate replaced with the secured overnight financing rate, or SOFR – the Federal Reserve’s preferred successor to US dollar Libor.

The two-step

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 print this content. Please contact [email protected] to find out more.

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

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

SOFR discounting: CCPs prepare for make or break auctions

Deluge of one-way risk and kinks in basis swap auctions could derail Libor transition milestone

To continue reading...

Sign In

Start a Risk.net Trial

You are currently on corporate access.