Swaps market braces for $60 trillion Libor conversion

Staggered timeline should smooth transition, but scale of the switch still presents challenges

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Central counterparties (CCPs) are projecting confidence about the upcoming conversion of $60 trillion of cleared US dollar contracts to the secured overnight financing rate, or SOFR – a giant undertaking that will be split into multiple parts to spread the load – though some worry the extended process could leave the market with a booking hangover.

The two main derivatives clearing houses, CME and LCH, will conduct their primary conversions for swaps over two weekends this spring, a month apart

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