08 Apr 2021

Eurex Clearing

Amendments to the Clearing Conditions and FCM Regulations of Eurex Clearing AG relating to transactions referencing CHF, GBP, JPY, and USD LIBOR

Eurex Clearing Circular 033/21 Amendments to the Clearing Conditions and FCM Regulations of Eurex Clearing AG relating to transactions referencing CHF, GBP, JPY, and USD LIBOR


1.   Introduction

This circular contains information with respect to the service offering of Eurex Clearing AG (Eurex Clearing) regarding the following topics:

A. Treatment of LIBOR-based Forward Rate Agreements (FRAs) and USD LIBOR-based interest rate swaps and cross-currency swaps with stubs relying on 1W and 2M fixings

B. Treatment of GBP/USD cross-currency swaps referencing GBP LIBOR

For topic A, this circular also introduces amendments to the Clearing Conditions and FCM Regulations of Eurex Clearing AG.

The amendments to the service offering and to the Clearing Conditions and FCM Regulations of Eurex Clearing AG will become effective as of 3 May 2021.

Further amendments to the legal framework of Eurex Clearing, e.g. relating to the treatment of legacy trades, will be communicated with subsequent circulars.

2.   Required action

The necessary amendment of clearing eligibility of the announced instruments may have an impact on clearing participant’s internal processes and positions. Therefore, it might be necessary for clearing participants to update their internal processes and technical interfaces to take these proposed changes into account.

3.   Details

As a result of the announcement made by IBA on 5 March 2021, Eurex Clearing has published its intended treatment of cleared LIBOR based contracts on 11 March 2021, see Eurex Clearing Circular 022/21.  

A.  Treatment of LIBOR-based Forward Rate Agreements (FRAs) and USD LIBOR-based interest rate swaps and cross-currency swaps with stubs relying on 1W and 2M fixings

Eurex Clearing will revoke the clearing eligibility of FRAs referencing CHF, GBP and/or JPY LIBOR with an expiry on or after 1 October 2021 and of FRAs referencing USD LIBOR with an expiry on or after 1 April 2023.

Single period swaps (as a FRA substitute) continue to be eligible for clearing as part of Eurex Clearing’s service offering. Eurex Clearing further notes that the clearing eligibility of EUR EURIBOR FRAs remains unchanged by this announcement.

Further, Eurex Clearing will limit clearing eligibility of USD LIBOR-referencing interest rate swaps and cross-currency swaps with expiry on or after 1 October 2021, if the swaps contain stub periods relying on 1W or 2M USD LIBOR fixings with or without linear interpolation being specified. 

Minor editorial changes are applied as well in this context.

To reflect these amendments, the following provisions will be amended as outlined in Attachments 1 and 2:

  • Chapter VIII Part 2 Number 2.1.5.1, Part 4 Number 4.1.5.1 of the Clearing Conditions
  • Chapter II Part 2 Number 2.1.5.1 of the FCM Regulations

B.  Treatment of GBP/USD cross-currency swaps referencing GBP LIBOR

Eurex Clearing will temporarily deactivate the clearing eligibility of GBP/USD cross-currency swaps as of 3 May 2021. The currency pair is aimed to be activated again by end November 2021 based on the new GBP reference rate, SONIA. A separate communication on reactivation will be circulated closer to the time.

As of the effective date, the full versions of the amended Clearing Conditions and FCM Regulations will be available for download on the Eurex Clearing website www.eurex.com/ec-en/ under the following link:

Rules & Regs > Rules and Regulations

The amendments to the legal framework of Eurex Clearing AG published by this circular are deemed accepted by each affected contractual party of Eurex Clearing AG, unless the respective contractual party objects by written notice to Eurex Clearing AG within the first 15 Business Days (or, in respect of amendments to the Price List, within the first 10 Business Days) after publication. Any ordinary right of Eurex Clearing AG to terminate the respective contract (including a Clearing Agreement, if applicable) shall remain unaffected.

Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable.

Attachments:

  • 1 – Amended sections of the Clearing Conditions of Eurex Clearing AG
  • 2 – Amended sections of the FCM Regulations of Eurex Clearing AG


Further information

Recipients:

All Clearing Members, Basic Clearing Members, Disclosed Direct Clients 
of Eurex Clearing AG and vendors 

Target groups:

Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination

Related circulars:

Eurex Clearing circulars 111/20, 112/20, 022/21

Contact:

client.services@eurex.com

Web:

www.eurex.com/ec-en/

Authorised by:

Jens Janka


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