10.21.2019

LCH Clears First €STR swaps

  • LCH is first clearing house to offer clearing of Euro-denominated swaps benchmarked to the new reference rate, €STR
  • Launched in response to strong market demand to clear the products
  • Demonstrates LCH’s support for global rates reform

LCH, a leading global clearing house, today announced that it has cleared the first Euro interest rate swaps referencing the Euro short-term rate (€STR). LBBW and Morgan Stanley were among the first participants to clear derivatives using the new rate, first published on 2 October 2019.

LCH has introduced clearing of €STR swaps as the industry adopts new interest rate benchmarks. The move follows its launch of clearing for SOFR swaps in July 2018, SONIA Futures in April 2018, and SARON swaps in October 2017.

Susi De Verdelon, Head of SwapClear and Listed Rates, said: “The introduction of €STR earlier this month was a significant milestone in the global efforts to transition to alternative reference rates. We’re pleased to be offering this product to our members and their clients, to support their adoption of €STR and facilitate a smooth transition.”

Dr. Thilo Rossberg, Head of FICC Markets, LBBW, said: “We’re proud to be one of the first market participants clearing €STR swaps on LCH as it underlines our strong position as a market maker in EUR-swaps. We’re encouraged by the swift introduction of clearing for this product, as it’s a vital step for the development of a vibrant market. €STR is taking over, and we aim to be a reliable partner and liquidity provider in €STR swaps. Besides underlining our ambitions of being a reliable liquidity provider for our clients, this €STR-trade was moreover helpful in managing our overall risk position.”

Andrew Millward, European Head of Macro Trading at Morgan Stanley, said: “We anticipate that €STR swaps will inherit much of the pre-existing liquidity from the EONIA swaps market and are expecting strong investor demand from the out-set. As an active participant in the global derivatives market, we are delighted to offer this cleared product to our clients.”

Bill Stenning, MD – Clearing, Regulatory & Strategic Affairs, SGCIB, said: “The static spread between €STR and recalibrated EONIA is very positive for €STR swap liquidity, and we are ready to support adoption of cleared swaps by our customers through this new offering.”

Source: LCH

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