Transition from SOR to SORA PAI/PAA & Discounting

Report date

Wed, 04/08/2021

Summary

Circular No.	LCH Circular No 4165
Date:	4 August 2021
To:	All SwapClear Users

Body

Dear SwapClear User,

With effect from 9^th August 2021, LCH will be changing the PAI and PAA rate in respect of SGD denominated SwapClear Contracts from SOR to SORA. In addition, from 9^th August 2021, LCH will also be updating its discount curves to refer to SORA based instruments.

If you have any questions please contact: Rates Client Services: RatesClientServices@lch.com

This circular constitutes a Rates Change Notice pursuant to the Rulebook of LCH Limited.

Terms used herein and not defined herein shall have the meaning assigned in the Clearing House Rulebook. References to a “SwapClear Contract” and the “Rulebook” include an “FCM SwapClear Contract” and the “FCM Rulebook”