CCP Sofr switch gives needed boost to Libor move

Adobe_Libor_575x375_28April2020
By Ross Lancaster
21 Oct 2020

The transition from Ibor benchmarks passed a major milestone this week, when LCH joined CME in switching its discounting rate for dollar referencing derivatives from the Fed Funds Rate to Sofr.

From now on, the two central counterparty clearing houses (CCPs) will calculate the compensation for the loss of interest on collateral they receive from members — price alignment interest — by using Sofr instead of the Fed Funds Rate. CCPs had previously used overnight rates, such as Fed ...

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