SwapClear Valuation Model Updates

Dear SwapClear Member,

As previously communicated and as part of the up-coming Rapid Release 3 on 23 September 2019 we are planning to make the following updates to our valuation methodologies.

The updates will implement OIS discounting in NZD, SEK and DKK and will refresh the instruments used in curve construction for these currencies and for NOK.

These changes are intended to align our variation margin calculations more closely with industry best practice. Member reporting will also be amended to reflect these updates.

New Zealand Dollar:

• Discounting curve will move to NZIONA (OIS)

• 1M and 3M forward curves will be added

Swedish Krona:

• Discounting curve will move to STINA (OIS)

Danish Krone:

• Discounting curve will move to CITA (OIS)

• Increase number of IMM dated FRAs from 6 to 8 in 3M curve; remove 2Y Swap

Norwegian Krone:

• Increase number of IMM dated FRAs from 6 to 8 in 3M curve; remove 2Y Swap

More information on the scope of Rapid Release 3 is available in the SwapClear Member information section of LCH Secure Area (here).

If you would like to find out more details on any of these initiatives please do not hesitate to contact Membership Sales & Relationship Management. SwapClearMembershipSales@lch.com

Kind regards,

Sales and Relationship Management, Rates Service

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