CHF, EUR, GBP and JPY LIBOR – Floating Rate Conversion Notice

Report date
Summary

Circular No.

LCH Circular No 4183

Date:

2 December 2021

To:

All SwapClear Users
Body

This Circular constitutes a Floating Rate Conversion Notice given pursuant to Regulation 60C and FCM Regulation 48B of LCH Limited (LCH) in relation to the transition from certain of the London Interbank Offered Rates in the SwapClear service and SwapClear FCM service, which shall take effect in accordance with Regulation 60C, FCM Regulation 48B, the terms set out in the Floating Rate Conversion Annex contained in Schedule 4 to Procedures Section 2C (SwapClear Clearing Service) and the terms set out in the Floating Rate Conversion Annex contained in Schedule 2.1D to the FCM Procedures (each, a Floating Rate Conversion Annex) (as applicable).

The matters specified in the Floating Rate Conversion Annexes referred to above shall apply to each SwapClear Contract and SwapClear FCM Contract that (i) specifies an In-Scope Floating Rate Option (as defined below) as its Floating Rate Option or uses an In-Scope Floating Rate Option to calculate the floating amount thereunder, and (ii) is registered with LCH at the end of the business day in New York on (x) December 3, 2021 (in the case of CHF, EUR and JPY LIBOR). and (y) December 17, 2021 (in the case of GBP LIBOR). 

In-Scope Floating Rate Option means:

  1. CHF-LIBOR-BBA (as defined in the ISDA 2000 Definitions and the ISDA 2006 Definitions);
  2. CHF-LIBOR (as defined in the ISDA 2021 Definitions);
  3. EUR-LIBOR-BBA (as defined in the ISDA 2000 Definitions and the ISDA 2006 Definitions);
  4. EUR-LIBOR (as defined in the ISDA 2021 Definitions);
  5. GBP-LIBOR-BBA (as defined in the ISDA 2000 Definitions and the ISDA 2006 Definitions);
  6. GBP-LIBOR (as defined in the ISDA 2021 Definitions);
  7. JPY-LIBOR-BBA (as defined in the ISDA 2000 Definitions and the ISDA 2006 Definitions); and
  8. JPY-LIBOR (as defined in the ISDA 2021 Definitions).

 

Pursuant to Regulation 60C and FCM Regulation 48B LCH may, from time to time, amend, modify, supplement, replace, withdraw, or override the terms of this Floating Rate Conversion Notice or any Floating Rate Conversion Annex through a Circular or such other method as LCH shall determine is appropriate.

Capitalized terms used herein but not otherwise defined have the meaning given to them in the Regulations, FCM Regulations or relevant Floating Rate Conversion Annex (as applicable).