LCH plans Libor swap switch to RFRs

LCH-offices-in-Aldgate — LCH offices in Aldgate, London

Photo: Brett Gamston

Ben St. Clair
18 Dec 2020

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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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