LCH.Clearnet LLC - Discontinuation of EURIBOR Tenors, 1 November 2013

On November 1st 2013, the number of Euribor tenors will be reduced from 15 to 8.  Consequently, as of November 1st 2013, the Euribor index will be calculated and published for the following 8 maturities only: 1 and 2 weeks and 1, 2, 3, 6, 9 and 12 months.

For more information please see:

http://www.euribor-ebf.eu/assets/files/D2832A-2013-Euribor%20tenors%20to%20be%20reduced%20as%20of%201%20November%202013.pdf  

As a consequence of the above, LCH.Clearnet LLC intends to take steps with respect to its SwapClear US service such that:

Owing to unavailability of the discontinued Euribor tenors, the SwapClear Eligibility Criteria will be amended in respect of Forward Rate Agreements referencing EUR-EURIBOR-REUTERS by the deletion of the discontinued Euribor tenors.

Conforming changes to the rulebook have been submitted for self-certification with the Commodity Futures Trading Commission.

If you require additional information please contact Nicholas Varelakis on Tel: +1 212 513 8294 Email: [email protected]