Treatment of ILS TELBOR floating rate agreement SwapClear contracts
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LCH circular number: |
4323 |
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Date: |
Sept 30, 2024 |
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To: |
All SwapClear Participants |
Dear SwapClear Participant,
As communicated via separate LCH’s Rates Service Updates and ILS conversion related communications, ILS TELBOR floating rate agreement swap transactions with ILS TELBOR fixings occurring beyond the ILS TELBOR cessation date [1] (i.e. with fixings after 30 June 2025) will no longer be eligible for clearing with the SwapClear service of LCH Limited (LCH) on and from Monday 4 November 2024.
In addition, LCH has a limited number of ILS TELBOR floating rate agreement SwapClear Contracts [2] (each, an ILS TELBOR FRA) that have a fixing beyond 30 June 2025 and that remain outstanding, and which we ask members and clients to actively manage (i.e. terminate) as soon as possible. We ask members and clients with such outstanding ILS TELBOR FRAs to contact us (at the email address set out below) to discuss available options.
LCH will terminate all ILS TELBOR FRAs with ILS TELBOR fixings beyond 30 June 2025 and that are outstanding as at 19:00 (New York time) on Friday 1 November 2024 pursuant to section 1.8.11 of the SwapClear Procedures and section 2.1.9(m) of the FCM Procedures. Termination will occur on Saturday 2 November 2024 at the price determined by LCH. Termination amounts [3] will either be payable to, or by, SwapClear members that were a party to any such terminated ILS TELBOR FRA.
For the avoidance of doubt, the above arrangements apply only to ILS TELBOR FRAs with a fixing after 30 June 2025. Any ILS TELBOR FRAs with a fixing on or before 30 June 2025 can remain outstanding, will not be in scope of the ILS TELBOR conversion event [4] and will be fulfilled in accordance with their original contractual terms.
We thank you in advance for your cooperation. Please do not hesitate to contact RatesClientServices@lch.com if you have any questions.
The process described herein remains subject to risk governance and legal and regulatory review.
Kind regards,
Rates Client Services
[2] “SwapClear Contract” includes an “FCM SwapClear Contract” for the purposes of this circular. 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.
[3] LCH expects to determine termination amounts for the relevant ILS TELBOR FRAs in line with the LCH valuations of such contracts as at the end of day on 1 November 2024, based on the prevailing market rates.