LCH and Benchmark Reform

In May 2023, LCH completed its final conversion event for USD LIBOR to SOFR.

The shift from LIBOR to the Secured Overnight Financing Rate (SOFR) was a huge undertaking for the US dollar (USD) interest rate derivatives market, the world’s largest. In July 2018, LCH launched the industry’s first clearing service for USD interest rate swaps (IRS) referencing SOFR – a critical step for developing a liquid market in SOFR derivatives and driving its adoption.

We have worked closely with industry bodies, such as ARRC and ISDA, and with our user-base, to ensure clarity around the transition process.

Please use the resources below to learn more about the key issues around SOFR, and find out how LCH enabled customers to make a smooth, orderly transition to the new benchmark.

Shortly after the introduction of the new Euro Short Term Rate (€STR) in October 2019, LCH launched the industry’s first clearing service for swaps referencing the new benchmark – a critical step for the development of an active, liquid market. 

LCH completed its conversion event for EUR EONIA to ESTR and for EUR LIBOR to ESTR in October 2021 and December 2021 respectively.

Please use the resources below to learn more about the key issues around €STR, and find out how LCH enabled customers to make a smooth, orderly transition to the new risk-free rate (RFR).

In December 2021, LCH completed its conversion event for CHF LIBOR to SARON, GBP LIBOR to SONIA and JPY LIBOR to TONA. In addition, in June 2023, LCH completed the conversion for SGD SOR to SORA and for THB THBFIX to THOR.

LCH is committed to support the benchmark transition initiatives in the cleared swaps market globally across all the currencies and benchmarks we clear, including ILS, PLN, MXN and ZAR.

Please use the resources below to find out how LCH is enabling customers to make a smooth transition to the alternative risk-free reference rates (RFRs) in all these markets.