Handling of Cleared Contracts at JSCC IRS clearing service (bulk conversion to OIS) towards Benchmark Reform (Permanent Cessation of LIBOR)

On March 5, 2021, ICE Benchmark Administration (IBA) published "Feedback Statement on Consultation on Potential Cessation" and UK Financial Conduct Authority (FCA) published "FCA announcement on future cessation and loss of representativeness of the LIBOR benchmarks". With these announcements, the publication of LIBOR will cease permanently, immediately after the end of 2021, except for certain US dollar LIBOR tenor.

In response to Permanent Cessation of LIBOR, JSCC will convert IRS Cleared Contracts referencing JPY-LIBOR existing as of the close of business on December 3, 2021 to those referencing TONA (OIS) (Please refer to the following file for the outline of conversion details and other related matters.).

After the execution of above bulk conversion to OIS trades, JPY-LIBOR referencing IRS will become ineligible for clearing. (However, up to Dec. 30, 2021, LIBOR swaps coming into existence as a result of swaption exercise will remain eligible and JSCC will clear these swaps. JSCC will convert LIBOR Cleared Contracts existing as of the end of business on Dec. 30,2021 into TONA(OIS).)

Consequently, IRS Cleared Contracts whose Floating Rate Option is JPY-LIBOR, subject to the terms of the 2006 ISDA Definitions as amended (so-called fallback provisions, etc.) exhibited in "Handling of Cleared Contracts at JSCC IRS clearing service with regard to amendments to ISDA Definitions dealing with Benchmark Reform (Permanent Cessation of LIBOR)" published by JSCC on October 26, 2020 will not exist, when fallback language is applied.

【Contact for Inquiry】
Japan Securities Clearing Corporation OTC Derivatives Clearing Service
TEL: 050-3361-1794
Contact Points：https://www.jpx.co.jp/jscc/form/contact.html