LCH Completes LIBOR Swaps Conversion for CHF, EUR and JPY

Basel Committee Consults on Interest-Rate Risk

LCH successfully completed LIBOR swaps conversion event for CHF, EUR and JPY over the weekend.

Susi de Verdelon, Head of SwapClear and Listed Rates, LCH Ltd:

“LCH continues to lead the way in the LIBOR transition for the swaps market. Over the weekend, LCH SwapClear converted around 100,000 Swiss Franc, Euro and Japanese Yen LIBOR swap contracts into their risk free rate (RFR) equivalents, SARON, €STR and TONA respectively, representing an aggregate notional value of $6 trillion.

“This weekend’s conversion was delivered smoothly with LCH completing its process on Saturday and market participants completing their part on Sunday for a seamless opening on Monday. The conversion of these contracts represents a significant milestone for the industry in the LIBOR transition, which will see CHF, EUR, GBP, and JPY LIBORs cease following their last publication on 31 December 2021.

“These conversions follow LCH’s consultation this year and our recent successful conversion in October of EONIA swaps contracts with a notional value of €13 trillion to €STR. We look forward to working with our members through, what will be the final event for non-USD LIBOR this year, the conversion of GBP LIBOR swaps at LCH, which will take place over the weekend of 18 December.”

Source: LCH

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