Transition to €STR Discounting: Updated Timing

Report date

Circular No.

LCH Circular No 4088


17 April 2020


All SwapClear Users


Dear SwapClear Users,

We understand that, like us, many firms have moved to comprehensive remote working arrangements in recent weeks.  For many, this transition has resulted in several weeks lost from project delivery timelines as operational functions have settled into new working practices. 

I assure you that we remain unwavering in our commitment to supporting the reform of interest rate benchmarks, and the transition plans that have been laid out to achieve this.  However, ensuring a safe transition with the minimum of operational risk is of paramount importance.  

For these reasons, after extensive dialogue and careful consideration we have decided to provide for a 5-week extension to the timeline. Given the industry's preparations, this decision has not been taken lightly and we discussed the matter with many of our members and with the working group on euro risk-free rates

The new live date for the €STR discounting environment and PAI/PAA rates will now be Monday 27 July 2020*.

Please note that this decision does not affect other benchmark reform milestones (for example the transition to SOFR discounting in the US market scheduled for 19 October 2020*). We remain committed to the existing timelines for these milestones.  This delay is designed to provide adequate relief for the impact of firms’ transition to remote working, while being short enough so that these other important events can continue as planned.

I understand that changes to project timelines can be disruptive.  However, the balance of feedback from the market to us has been that in these unique circumstances a short delay is prudent. 

Should you have any questions or would like to discuss in more detail, please do not hesitate to contact

Kind regards,

Susi de Verdelon

Head of SwapClear & Listed Rates, LCH Ltd


* Subject to regulatory non-objection

Terms used in this circular have the meaning assigned to them in either the Rulebook or FCM Rulebook (as applicable), available at The terms “SwapClear Users” means SwapClear Clearing Members (including FCMs) and their clients