Euro Overnight Index Average (EONIA) to Euro Short Term Rate (ESTR) - Floating Rate Conversion Notice

Report date

Circular Number:

LCH circular number: 4175


15 October 2021


All SwapClear Users


This Circular constitutes a Floating Rate Conversion Notice given pursuant to Regulation 60C and FCM Regulation 48B of LCH Limited (LCH) in relation to the transition from EONIA to €STR in the SwapClear service and SwapClear FCM service, which shall take effect in accordance with Regulation 60C, FCM Regulation 48B, the terms set out in the Floating Rate Conversion Annex contained in Schedule 3 to Procedures Section 2C (SwapClear Clearing Service) and the terms set out in Floating Rate Conversion Annex contained in Schedule 2.1C to the FCM Procedures (each, a Floating Rate Conversion Annex) (as applicable).

The matters specified in the Floating Rate Conversion Annexes referred to above shall apply to each SwapClear Contract and SwapClear FCM Contract that (i) specifies EUR-EONIA-OIS COMPOUND or EUR-EONIA-OIS Compound as its Floating Rate Option or uses EUR-EONIA-OIS COMPOUND or EUR-EONIA-OIS Compound to calculate the floating amount thereunder, and (ii) is registered with LCH at the end of the business day in New York on October 15, 2021.  

Pursuant to Regulation 60C and FCM Regulation 48B LCH may, from time to time, amend, modify, supplement, replace, withdraw, or override the terms of this Floating Rate Conversion Notice or any Floating Rate Conversion Annex through a Circular or such other method as LCH shall determine is appropriate.

Capitalized terms used herein but not otherwise defined have the meaning given to them in the Regulations, FCM Regulations or relevant Floating Rate Conversion Annex (as applicable).