LCH Consultation on Conversion of Outstanding Cleared CAD CDOR Contracts
LCH Circular No. 4269
01st August 2023
All SwapClear Users
The LCH group, and its SwapClear business, strongly supports the continuing industry-wide efforts to transition from existing benchmarks to risk-free rates (“RFRs”).
Following extensive consultation with SwapClear members and clients, LCH Ltd (“LCH”) has already successfully converted SwapClear Contracts1 linked to a number of discontinued benchmarks. The most recent example is the conversion of SwapClear’s USD LIBOR Contracts into SOFR-equivalents, which was completed by SwapClear in two tranches earlier this year2.
The benchmark administrator for CAD CDOR has announced that all tenors (which are currently in publication) are set to be discontinued from 28th June 20243. This discontinuation has triggered well-established CORRA-driven fallback arrangements but also gives rise to complications and challenges.
Through this circular, LCH is issuing an invitation to all SwapClear users to respond to a consultation regarding the treatment of outstanding cleared CAD CDOR SwapClear Contracts at or around the Index Cessation Effective Date4 and their potential conversion into (or replacement with) corresponding CORRA-based SwapClear Contracts. A consultation document addressed to all SwapClear users has been published on LCH’s website, together with instructions on how to respond.
LCH strongly encourages SwapClear participants 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 15th September 2023. 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.
 “SwapClear Contract” includes an “FCM SwapClear Contract” for the purposes of this circular and the consultation. SwapClear Contract and FCM SwapClear Contract have the meanings assigned to them in the General Regulations or FCM Regulations (as applicable) and made available at https://www.lch.com/resources/rulebooks/lch-limited
As defined in ISDA’s Fallbacks Supplement