LCH eyes SOR swap conversion

CCP will consult in Q1 on conversion methodology for switching SOR swaps to Sora


LCH has confirmed plans to automatically convert outstanding swaps linked to Singapore’s swap offer rate (SOR) to its risk-free rate replacement ahead of the benchmark’s demise in mid-2023.

SOR is a synthetic benchmark for Singapore dollar interest rate swaps, implied from the cost of borrowing in US dollars and swapping back to the Singaporean currency. Since the rate uses US dollar Libor as an input, it cannot be calculated after Libor’s cessation and its publication will therefore be

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


Want to know what’s included in our free membership? Click here

This address will be used to create your account

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