HKEX to clear SOFR cross-currency swaps from early 2021
Legacy Libor cross-currency swaps could move to SOFR discounting at the same time
Hong Kong Exchange’s OTC Clear will start clearing US dollar versus Hong Kong dollar and Chinese renminbi cross-currency basis swaps linked to the secured overnight financing rate (SOFR) around the second quarter of 2021.
The clearing house will also begin using SOFR to value and pay interest on cash collateral held against Libor-referencing US dollar cross-currency swaps at the same time – but only if the bilateral market has already made the switch.
“A few major banks are seeking some
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