The Clearing Corporation of India Ltd. (CCIL) has issued a consultancy paper on 1st December, 2022. The paper is titled ‘Transitioning Outstanding MIFOR Swaps Post Index Cessation – Proposed Cash Computation Methodology and Operational Aspects of Transition.’
London Clearing House (LCH) and the Chicago Mercantile Ex- change Clearing (CME) have proposed a transition of USD London Interbank Offered Rate (LIBOR) swap to USD Secured Overnight Financing Rate (SOFR) swaps before June 30, 2023. This will be without transitioning to fallback.
Additionally, LCH also clears Singapore Dollar (SGD) Swap Offer Rate (SOR) Swaps. LCH has now proposed that all cleared SOR contracts outstanding from the conversion date will be converted into SORA contracts.
These global CCPs completed their consultation process in mid-2022. Their members have agreed to the methodology of transition to Risk-free rate (RFR) swaps rather than to fallback swaps post-transition date (before 30th June 2023). Post member consultation, an update on the proposed conversion process in these CCPs was created. This is set forth in Annexure- 2 of the present consultation paper.
Members are requested to send their comments and feedback on the proposal, specifically to the Consultation Questions in Section 8 of this paper. The feedback may be sent by email to the Chief Risk Officer, CCIL, latest by 15th December, 2022, at rmd@ccilindia.co.in
