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LCH Proposes Exact Dates for ‘Big Bang’ Libor Transition
2021-03-19 08:19:58.932 GMT

By William Shaw
(Bloomberg) — Clearing house LCH has proposed exact dates
for when it may carry out a synchronized exit from most Libor
rates for interest-rate derivatives.
* For Swiss franc, euro and Japanese yen Libor, conversion shall
apply to SwapClear contracts outstanding at close of business on
Dec. 3, and will be conducted that weekend, LCH says in a
statement; it has previously said dollar Libor transition will
take place later
** For sterling Libor, conversion shall apply at close of
business on Dec. 17 and will be conducted that weekend
** The spread adjustment on the RFR leg will be the relevant
spread adjustment published by Bloomberg Index Services Ltd. and
will be carried at its full degree of accuracy without any
rounding
** LCH intends to split each basis-swap contract that would on
conversion otherwise result in an RFR/RFR contract into a pair
of fixed/floating contracts in a preparatory conversion event in
late Q3
* NOTE: Early Libor Shift for Derivatives Is Weighed by Clearing
Houses
* NOTE: Libor ‘Big Bang’ Faces Headwinds, Barclays Strategists
Warn
* NOTE: Libor ‘Big Bang’ May Have Unintended Consequences: TD
Securities

To contact the reporter on this story:
William Shaw in London at wshaw20@bloomberg.net
To contact the editors responsible for this story:
Kristine Aquino at kaquino1@bloomberg.net
William Shaw, Constantine Courcoulas

To view this story in Bloomberg click here:
https://blinks.bloomberg.com/news/stories/QQ7HVKT1UM0W