SwapClear Inflation Rebasing – EU HICPxT and FR CPIxT

Dear SwapClear Participant,

We refer to the recent announcements [Note 1] that the (i) EUR – Excluding Tobacco-Non-Revised Consumer Price Index (EU HICPxT) and (ii) FRC – Excluding Tobacco-Non-Revised Consumer Price Index (FR CPIxT) will each be rebased, starting from (and including) the releases of such indices for January 2026, such that the reference year will change from the previous 2015 = 100 base to the new 2025 = 100 base [Note 2].

Rebasing of SwapClear Contracts and FCM SwapClear Contracts

Consequently, LCH Limited (LCH) will perform a rebasing exercise for all SwapClear Contracts and FCM SwapClear Contracts that (i) reference EUR-EXT-CPI or FRC-EXT-CPI, and (ii) are registered with LCH at the time determined by LCH on the LCH business day occurring immediately prior to the LCH Rebasing Date (each, an Affected Inflation Contract).

Please note that:

• The term “LCH Rebasing Date” means the date that LCH determines and notifies to affected SwapClear Clearing Members and FCM Clearing Members.
• The terms “EUR-EXT-CPI” and “FRC-EXT-CPI” (one of which is referenced in the associated FpML confirmation for an Affected Inflation Contract) is equal to, and means the same as, “EU HICPxT” and “FR CPIxT”, respectively [Note 3]. 

Following consultation with affected SwapClear Clearing Members and FCM Clearing Members, LCH has determined, and notifies its affected SwapClear Clearing Members and FCM Clearing Members, that the LCH Rebasing Date will be 28 February 2026.

LCH will rebase the initial index level of each Affected Inflation Contract on such LCH Rebasing Date, so that it is adjusted by a rebasing key as published by the relevant market authority and will (after rebasing) represent a 2025 = 100 base. Rounding for the rebased initial index level will be to 5 decimal places.

The rebased initial index level will be visible in REP00084/c (trade level report) for each Affected Inflation Contract, and in REP00003 (historic index rates).

New SwapClear Transactions and FCM SwapClear Transactions 

Please note that after the rebasing exercise is complete, all new SwapClear Transactions and FCM SwapClear Transactions that (in each case) reference EUR-EXT-CPI or FRC-EXT-CPI and that are submitted to LCH for clearing after the LCH Rebasing Date (including those that are being backloaded or have historic effective dates) must reference the new 2025 base initial index level.

To support this requirement, LCH will implement a new clearing eligibility rule – an eligibility check to ensure that the initial index level is within ±5% of the index level at the relevant fixing date in 2025=100 terms, as published under REP00003 (historic index rates).

This eligibility rule will apply only to zero-coupon inflation SwapClear Transactions and FCM SwapClear Transactions that (i) reference EUR-EXT-CPI or FRC-EXT-CPI (including both new and backloaded SwapClear Transactions and FCM SwapClear Transactions), and (ii) are submitted to LCH for clearing on and from 01 March 2026. SwapClear Transactions and FCM SwapClear Transactions that do not meet the criteria under this eligibility check will be rejected.

If you have any questions, please contact RatesClientServices@lch.com

Terms that begin with the capital letter, but are not defined, in this member circular shall have the meaning defined in the LCH rulebook, which is located here, or the 2008 ISDA inflation derivatives definitions.  

[1] Euro area annual inflation up to 2.2% - Euro indicators - Eurostat & Inflation -Consumer price index: what is the trend? | Service Public Back to note 1

[2] The release of the level of the EU HICPxT and FR CPIxT for January 2026 is scheduled to be the middle of February 2026 (i.e. approximately 17 or 18 February 2026). Back to note 2

[3] fpml.org/coding-scheme/inflation-index-description-2-2.xml Back to note 3