LCH Consultation on Conversion of Outstanding Cleared THB THBFIX Contracts

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 THB THBFIX is dependent on USD LIBOR, we also need to make arrangements for contracts linked to this benchmark.

Through this circular, LCH is issuing an invitation to all SwapClear participants to respond to a consultation regarding the treatment of outstanding cleared THB THBFIX SwapClear Contracts immediately prior to the Index Cessation Effective Date[3] for THBFIX and their potential conversion into corresponding THOR-based SwapClear Contracts. A consultation document has been published on LCH’s website (https://www.lch.com/system/files/media_root/LCH_THBFIX%20Cessation_Consultation.pdf) 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 18^th November 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 THBFIXConversion@lseg.com.

[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] As defined in ISDA’s Fallbacks Supplement.