Dear Clearing Member,
With Eurex Clearing Circular 022/21, Eurex Clearing announced its intention to actively convert the remaining cleared legacy LIBOR-based Interest Rate Swaps (IRS) (including Forward Rate Agreements (FRAs)) and basis swap trades to standard and liquid risk-free rate (RfR) Overnight Index Swap (OIS) trades before the fallback provisions are triggered.
Having successfully transitioned in December 2021 all CHF, GBP and JPY LIBOR trade references to the RfR index underlying their respective fallbacks, Eurex Clearing intends to preserve the applied approach also for the upcoming USD LIBOR Index Conversion. This Newsflash is intended to announce the timeline of the planned conversion.
A detailed explanation of the conversion from an operational and methodological perspective is outlined in the "Eurex Clearing - USD LIBOR Trade Conversion Booklet" which can be found in the Member Section of Deutsche Börse Group under the following path:
Timeline for the transition
Eurex Clearing plans to execute the conversion of EurexOTC Clear trades referencing USD LIBOR starting on Friday, 21 April 2023 and lasting over that weekend. Upon completion of the conversion, USD LIBOR floating-rate references will no longer be eligible for the EurexOTC Clear service.
To allow Clearing Members multiple testing possibilities, Eurex Clearing will perform two dress-rehearsals for the USD LIBOR conversion at the following dates:
1. from 28 February - 2 March 2023
2. from 21 - 23 March 2023.
A newsflash regarding the simulation testing details will be sent prior to the dress-rehearsals for the USD LIBOR conversion.
Please note that some points of the outlined process and considerations are subject to future adjustments and changes based on Member feedback.
If you have questions or comments, please contact your Clearing Key Account Manager or send an e-mail to firstname.lastname@example.org.
Your Client Services Team
All Clearing Members, FCM Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients and FCM Clients of Eurex Clearing AG and vendors
Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination
Related Eurex Clearing Readiness Newsflash:
Newsflash from 8 June 2022