LCH Consultation on Conversion of Outstanding Cleared SGD SOR Contracts

Report date

Circular No.

LCH Circular No. 4221


10 August 2022


 All SwapClear Users


LCH Group, and its SwapClear business, strongly supports the continuing industry-wide efforts to transition from existing benchmarks to risk-free rates (“RFRs”).

We recently consulted[1] SwapClear members and clients on how to handle USD LIBOR contracts in light of benchmark cessation at the end of June 2023 and announced the outcome in early July[2]. Since SGD SOR is dependent on USD LIBOR, we also need to make arrangements for contracts linked to this benchmark.

The recent announcement[3] regarding fallback arrangements for SGD SOR based contracts and specifically on Adjustment Spreads within the MAS Recommended Rate have provided welcome clarity to the marketplace. Nonetheless, open questions remain in the immediate aftermath of SOR cessation while Fallback Rate (SOR) is in publication.

Through this circular, LCH is issuing an invitation to all SwapClear participants to respond to a consultation regarding the treatment of outstanding cleared SGD SOR SwapClear Contracts immediately prior to the Index Cessation Effective Date[4] for SOR and their potential conversion into corresponding SORA-based SwapClear Contracts. A consultation document has been published on LCH’s website, which incorporates instructions on how to respond.

LCH strongly encourages affected SwapClear users to respond to this consultation and to express their opinion on the proposed approach in order to gather the widest set of feedback possible regarding next steps. LCH requires responses by 9th September 2022. Feedback received after this date may not be considered.

Any solution will be subject to risk governance review and regulatory review and/or non-objection.

Should you have any comments or questions, or if you require further information, please do not hesitate to contact  


[1] LCH Consultation on Conversion of Outstanding Cleared USD LIBOR® Contracts | LCH Group

[2] LCH’s Consultation on Conversion of Outstanding USD LIBOR® SwapClear Contracts | LCH Group

[3] industry-steering-committee-finalises-the-key-settings-of-the-mas-recommended-rate-and-supplementary-guidance-for-active-transition-of-legacy-wholesale-market-sor-(002).pdf (

[4] As defined in ISDA’s Fallbacks Supplement.