LCH clears first US interest rate swap referencing SOFR
18 July 2018 London
Image: Shutterstock
LCH has cleared the first US dollar interest rate swaps referencing the Secured Overnight Financing Rate (SOFR).
Credit Suisse, Goldman Sachs and J.P. Morgan were among the first participants to clear swaps using the new rate.
This follows the announcement by the Alternative Reference Rates Committee in June, identifying SOFR as an alternative US dollar reference rate.
According to LCH, this initiative represents best practice for use in certain new US dollar derivatives and other financial contracts.
SOFR was first published by the Federal Reserve Bank of New York in April 2018.
Michael Davie, global head of rates at LCH, said: 鈥淭he US dollar interest rate derivatives market is the largest in the world by many measures, and the introduction of SOFR as a new alternative reference rate marks a seminal moment for the industry. LCH is committed to continuing our work with customers and regulators to help facilitate a smooth transition to new reference rates.鈥�
Akash Agrawal, part of the USD swaps trading team at Credit Suisse, commented: 鈥淭he transition to SOFR is an important element in the global rates reform effort, which we are pleased to support. Being among the first participants to clear SOFR swaps is significant for us, as we look to work with the market to develop liquidity and support a seamless move to alternative reference rates.鈥�
Scott Rofey, co-head of interest rate products trading at Goldman Sachs, said: 鈥淲e are pleased to see the market for SOFR-based derivatives continue to take hold as an alternative reference rate market. We welcome LCH offering a cleared solution for the nascent SOFR swaps market.鈥�
Thomas Pluta, co-head of global rates at J.P. Morgan, said: 鈥淲e鈥檙e pleased to be among the first participants to clear SOFR swaps. The transition to using SOFR is hugely significant both for the US and the global derivatives markets, as clearing SOFR swaps will be a key component in developing a liquid market for this product.鈥�
Credit Suisse, Goldman Sachs and J.P. Morgan were among the first participants to clear swaps using the new rate.
This follows the announcement by the Alternative Reference Rates Committee in June, identifying SOFR as an alternative US dollar reference rate.
According to LCH, this initiative represents best practice for use in certain new US dollar derivatives and other financial contracts.
SOFR was first published by the Federal Reserve Bank of New York in April 2018.
Michael Davie, global head of rates at LCH, said: 鈥淭he US dollar interest rate derivatives market is the largest in the world by many measures, and the introduction of SOFR as a new alternative reference rate marks a seminal moment for the industry. LCH is committed to continuing our work with customers and regulators to help facilitate a smooth transition to new reference rates.鈥�
Akash Agrawal, part of the USD swaps trading team at Credit Suisse, commented: 鈥淭he transition to SOFR is an important element in the global rates reform effort, which we are pleased to support. Being among the first participants to clear SOFR swaps is significant for us, as we look to work with the market to develop liquidity and support a seamless move to alternative reference rates.鈥�
Scott Rofey, co-head of interest rate products trading at Goldman Sachs, said: 鈥淲e are pleased to see the market for SOFR-based derivatives continue to take hold as an alternative reference rate market. We welcome LCH offering a cleared solution for the nascent SOFR swaps market.鈥�
Thomas Pluta, co-head of global rates at J.P. Morgan, said: 鈥淲e鈥檙e pleased to be among the first participants to clear SOFR swaps. The transition to using SOFR is hugely significant both for the US and the global derivatives markets, as clearing SOFR swaps will be a key component in developing a liquid market for this product.鈥�
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