Transition to €STR discounting in SwapClear

Report date

Circular No.

LCH Circular No 4052


27 September 2019


All SwapClear Users


Dear SwapClear Users[1]

This communication is intended to provide you with further information regarding the transition to €STR-discounting in SwapClear.

LCH Group (“LCH”) strongly supports the ongoing industry-wide efforts to reform many of the benchmarks used in global rates markets, including the working group on Euro risk-free rates convened by the European Central Bank.

The working group recently published their report [2] ‘On the impact of the transition from EONIA to the €STR on cash and derivatives products’. With respect to cleared derivatives, the report recommended:

  1. Clean discounting should be used for cleared derivatives (i.e. a single discounting curve should be used within a given CCP);
  2. The working group’s preferred methodology for discounting is using €STR flat;
  3. CCPs are recommended to set the discounting switch date as early as possible, preferably towards the end of the second quarter of 2020;


In support of these objectives, LCH is announcing the following:

  1. LCH is planning to update the PAI/PAA[3] and discounting on all SwapClear EUR-denominated products from EONIA to €STR flat;
  2. LCH plans to apply cash compensation payments for all accounts with a live EUR-denominated position at the point of conversion; 
  3. The conversion date is planned to be on or around 22nd June 2020.


In accordance with the ‘clean discounting’ recommendation of the working group, this change will apply to new and existing transactions simultaneously, i.e. LCH does not plan to support ‘dual discounting’.

These plans remain subject to further consultation, governance, legal and regulatory review.  Details of the proposed process will be developed further and are subject to change in light of further feedback from participants or otherwise.

If you have any comments or want to discuss any aspects of the plan in more detail, please contact your LCH representative or get in touch via  

We actively welcome your feedback on these proposals.

Kind regards

Membership Sales & Relationship Management, Rates


[1] For the purpose of this announcement, “SwapClear Users” means SwapClear Clearing Members (including FCMs) and their clients.


[3] Price Alignment Interest/Price Alignment Amount


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