London Clearing House (LCH) announced on 22 May that its SwapClear service has completed the second and final conversion of USD LIBOR to SOFR. This conversion accounted for 550,000 contracts with almost US$43 trillion in aggregate notional, while the first conversion completed on 22 April involved 50,000 contracts worth about US$2 trillion.
@LCH_Clearing SwapClear has successfully completed the second and final conversion event of USD LIBOR to SOFR. In aggregate, approximately 600,000 USD LIBOR contracts were converted into SOFR, the new RFR in US Dollars. Learn more about LCH SwapClear https://t.co/yMAMIaUXtS pic.twitter.com/E00pEFLFWj
— LCH, An LSEG Business (@LCH_Clearing) May 22, 2023
The LIBOR transition began in 2017 following benchmarks set out by the UK Financial Conduct Authority (FCA). The rate will be completely abolished after 30 June this year. SwapClear’s recent conversions were some of the last of the lot – LIBOR settings for the sterling, euro, Swiss franc, Japanese yen, and one-week and two-month US dollar ceased almost two years ago on 31 December 2021.
The FCA has requested that Intercontinental Exchange (ICE) continues to publish the LIBOR rate on a “synthetic basis” until August 2024 for the benefit of legacy contracts.
