LCH plans Libor swap switch to RFRs

Proposal would see trades moved to compounded RFRs, with cash compensation paid to those who lose out

LCH-offices-in-Aldgate
LCH offices in Aldgate, London
Photo: Brett Gamston

LCH is planning to automatically convert all Libor-referencing swaps to directly reference compounded-in-arrears versions of their respective risk-free rates (RFRs) when the benchmark ends, instead of relying on contractual fallbacks to deal with legacy contracts.

The switch would occur at, or shortly before, the interbank offered rates cease publication, and would likely see cash compensation paid to swap users that lose out from the change.

The move is designed to avoid a bifurcated market

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