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Jul 10, 2017

Eurex Clearing

EurexOTC Clear: TOIS index decommissioning and replacement with the SARON index

Eurex Clearing currently offers clearing services in Swiss francs (CHF) for TOIS indexed swaps. In November 2016, the TOIS index administrator ACI Suisse announced to discontinue the CHF TOIS index after 29 December 2017.

Eurex Clearing will therefore change its EurexOTC Clear Service in the following areas:

  1. Accrued interest calculated on Swiss francs variation margin (PAI) will reference SARON index fixing.
  2. Valuation and margining will be based on discounting all Swiss francs swap transactions with a SARON swap discounting curve (except for any remaining TOIS overnight indexed swaps).
  3. Subject to regulatory approval, clearing of SARON overnight indexed swaps will be introduced.
  4. Reports will be enhanced to show the new index SARON.
  5. Clearing of TOIS overnight indexed swaps will be discontinued.

The Eurex Clearing functional and technical documents will be updated with EurexOTC Release 8.0. The Clearing Conditions of Eurex Clearing AG will be adjusted in time before the introduction in production and published accordingly via separate Eurex Clearing circular.