Search: SOFR
RBA Glossary definition for SOFR
SOFR – the Secured Overnight Financing Rate
Search Results
Assessment of LCH Limited’s SwapClear Service
29 Nov 2020
PDF
1663KB
Overnight Financing Rate (SOFR). Additionally, LCH Ltd transitioned its discounting and calculation of. ... clearing of variable notional OIS (VNOIS) for GBP SONIA, USD SOFR and USD Fed Funds swaps.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/lch/2020/pdf/lch-assess-2020-12.pdf
Assessment of LCH Limited’s SwapClear Service
2 Dec 2019
PDF
1600KB
and SOFR. LCH Ltd began clearing STR swaps in October 2019. ... EUR and USD to STR and SOFR in June and October 2020, respectively.
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/lch/2019/pdf/lch-assess-2019-12.pdf
Assessment of LCH Limited’s SwapClear Service
3 Dec 2018
PDF
3061KB
Market participants are beginning to use alternative rates, such as SOFR (for USD swaps) and SONIA (for GBP swaps). ... LCH Ltd now accepts USD SOFR basis swaps and OIS for clearing (see 2.3.4).
https://www.rba.gov.au/payments-and-infrastructure/financial-market-infrastructure/clearing-and-settlement-facilities/assessments/lch/2018/pdf/lch-assess-2018-12.pdf