21 Dec 2021

Eurex Clearing

IBOR reform takes another significant step

The Interbank Offered Rate (IBOR) reform has reached one of the last major milestones for the time being. Over two weekends in December and shortly before triggering of the fallback provisions after year end, the Eurex Clearing and other clearing houses have legally converted their legacy transactions referencing to CHF, JPY, and GBP LIBORs to the respective fallback risk-free rates. 

Across the weekend of 17 December, Eurex converted about 1100 GBP trades with a total outstanding notional of over GBP 20 billion. Before, from 03 to 05 December, the clearing house had converted a total of 4200 CHF trades with a total outstanding notional worth CHF 174 billion. 

Andreas Franke, Head of Risk Methodology OTC at Deutsche Börse: “The transition marks the provisional conclusion of years of preparations in industry working groups. We are proud of the role that CCPs are playing in IBOR reforms and the building of confidence and long-term sustainability in the important risk-free rate benchmarks.” 

Already in October, Eurex Clearing successfully managed to transition legacy transactions worth EUR 364 billion references to EONIA across to €STR. This significant change in the European rates landscape is also increasingly reflected in Eurex’s business, especially with respect to the OIS segment. €STR OIS volume at Eurex Clearing have consistently grown throughout the year 2021.  

The next and final step in the IBOR reform will be the transition of USD legacy transactions before USD IBOR will be ceased on 30 June 2023. Timeline of this conversion will be announced in due time. 

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