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

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 or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a 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