Change in CHF benchmark interest rate from TOIS to SARON for cash deposits

Report date

Circular No.

LCH Circular No 3870


20th June 2017


All LCH Ltd Members


Dear Member,

Following the decision of the TOIS benchmark administrator to cease publication of a fixing beyond December 2017, LCH is pleased to announce a switch to using the SARON (Swiss Average Rate Over Night) benchmark from 21st July 2017 for CHF cash deposits.

The switch to using SARON will be in line with the July confirmation of LCH interest rate spreads due to be announced on the 19th July and effective from the 21st.  At this point LCH will no longer use TOIS and will instead use SARON.

The table below illustrates the indicative change to spreads when SARON becomes effective.  LCH is not seeking to alter the absolute spread as a result of using the SARON benchmark.

 Current benchmark and spread  New benchmark and spread from 21st July 2017
 TOIS minus 48bps   SARON minus 28bps*

*Indicative spread subject to change in July 2017 review.

This change is independent of the benchmark used for CHF interest rate swaps cleared through Swapclear.  A separate announcement with regards to the switch to SARON for swaps will be issued in due course.

Questions on the change of the deposit rate should be addressed to:

Kind regards,