LCH SwapClear successfully completes $45trn LIBOR to SOFR conversion

LCH SwapClear successfully completed the conversion of USD LIBOR to SOFR over the weekend, the clearer announced today (see Total Derivatives for background).

In aggregate, LCH SwapClear converted around 50,000 tranche 1 and 550,000 tranche 2 USD LIBOR contracts involving $45trn total notional, of which $43trn was in the second tranche. The tranche 2 conversion took place on May 20 and followed the first tranche conversion on April 22.

Susi de Verdelon, Head of SwapClear and Listed Rates LCH, said that the conversion went “seamlessly, supporting the market in bringing about the end of USD LIBOR in the cleared OTC swaps market.”

“This builds upon our work with customers on previous IBOR conversions for CHF, EUR, GBP and JPY into SARON, €STR, SONIA and TONA respectively, which together represented an aggregate equivalent of $35 trillion of swaps across three dates in Q4 2021,” de Verdelon added.

LCH said that it will continue to support global benchmark reform efforts, including the upcoming conversions of SGD SOR to SORA and THB THBFIX to THOR, as well as the Canadian market transition from CDOR to CORRA in 2024.