CCPs to review conversion blueprint ahead of SOFR switch

Rising rates vol expected to push US transition to the wire, but process likely to follow previous runs

Dollar-conversion-blueprint

The two largest swaps clearing houses are preparing to poll members later this year on the timing and procedure for re-hitching more than $100 trillion notional of US dollar Libor swaps to the secured overnight financing rate, as rising rates volatility poses new challenges for the last remaining conversion.

While a blueprint has been established with the successful conversion of sterling, Japanese yen, Swiss franc and euro Libor swaps to successor risk-free rates (RFRs) in December, the

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