Transition from TOIS to SARON

Report date

Circular No.

LCH Circular No 3893


2nd October 2017


All LCH SwapClear members


Further to the communication of 01/09/2017, LCH Limited (“LCH”) is writing to notify Clearing Members that as of 30 September 2017, there are no outstanding SwapClear Contracts referencing the TOIS index. By way of reminder, SwapClear Contracts referencing the TOIS index will no longer be eligible for clearing from 2 October 2017.

Pursuant to paragraph 1.12 of the Procedures and paragraph 3.5.2 of the FCM Procedures, with effect from 16 October 2017, LCH will be changing the PAI rate in respect of CHF denominated SwapClear Contracts from TOIS to SARON. In addition, from 16 October 2017, LCH will also be changing its discount curves to refer to SARON based instruments.

If you have any questions please contact: SwapClear Client Services a:

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