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LCH | 10 Paternoster Square | London EC4M 7LS | T: +44 (0)20 7426 7000 | F: +44 (0)20 7426 7001 | lch.com

LCH Group Holdings Limited | LCH Limited | Banque Centrale de Compensation | LCH.Clearnet LLC

LCH Limited. Registered in England No. 25932 Registered Office: 10 Paternoster Square, London, EC4M 7LS

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VIA CFTC PORTAL

20 January 2023

Mr. Christopher Kirkpatrick

Commodity Futures Trading Commission

1155 21st Street NW

Three Lafayette Centre

Washington, DC 20581

LCH Limited Self-Certification: Rates Reform - USD LIBOR fallback and conversion fees

Dear Mr. Kirkpatrick,

Pursuant to Commodity Futures Trading Commission (“CFTC”) Regulation §40.6(a), LCH Limited 

(“LCH”), a derivatives clearing organization registered with the CFTC, is submitting for selfcertification website changes to accommodate new fees related to the Rates Reform Program.

Part I: Explanation and Analysis

LCH supports the continuing industry-wide efforts to transition from existing benchmarks to riskfree rates (“RFRs”). The US Dollar London Interbank Offered Rate (USD LIBOR) benchmark is set 

to be discontinued from 30th June 2023.This cessation necessitates the adoption of the relevant 

RFR – Secured overnight Financing Rate (SOFR) in its place.

LCH proposes to charge fallback fees, and a conversion fee for those contracts which cannot 

otherwise be amended and so remain outstanding at the conversion event. 

Fallback fee

The fallback fee applies to cleared contracts for which an index cessation event has occurred. It 

aims to encourage early transition before the LCH conversion processes are run, thereby reducing 

the volume and value of such contracts requiring ongoing risk and default management and 

ultimately needing to undergo the conversion process.

Effective 31st January 2023 with first billing on 3rd February 2023, LCH will apply a monthly 

Fallback Fee for outstanding* USD LIBOR contracts which have a maturity date after the USD 

LIBOR cessation date of 30th June 2023, as of the last good business day of that month.

The following charges will apply to cleared contracts in both SwapClear Clearing Member House 

and Client accounts; 30-days’ notice will be provided for any amendment to these fee amounts.
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January 2023 February 2023 March 2023 April 2023

USD 5.00 USD 5.00 USD 5.00 USD 5.00

*(i) FRAs will not be subject to Fallback Fees. (ii) Any LIBOR-LIBOR basis swaps that may be voluntarily split into two 

interest rate swaps by LCH prior to conversion will not be double charged.

Conversion fee

The Conversion Fee applies to cleared contracts for which a rate will cease and where LCH 

converts the cleared contract to one referencing a RFR. The conversion process is designed as a 

last resort for those participants who are otherwise unable to transition away from fallen back rates. 

The fee will allow LCH to recover the costs of designing, building and running the conversion 

process and should also discourage over-reliance on the conversion tool.

LCH will apply a conversion fee to SwapClear Clearing Member House and Client

contracts which are not otherwise converted and will therefore require the LCH conversion tool. 

The conversion processes in 2023 will encompass USD LIBOR contracts. LCH is proposing the 

following dates:

• Tranche 1: USD LIBOR / FEDFUNDS Basis Swaps, USD VNS and USD ZCS, conversion

would apply to SwapClear Contracts outstanding at COB on Friday 21st April 2023 and be

conducted over that weekend.

• Tranche 2: all other USD LIBOR, conversion would apply to SwapClear contracts

outstanding at COB on Friday 19th May 2023 and be conducted over that weekend.

Fee Amount per Contract:

USD LIBOR**

USD 30.00

**Any LIBOR-LIBOR basis swaps that are voluntarily split into two interest rate swaps by LCH prior to conversion will 

be treated as two separate swaps from the point of splitting. As such, any outstanding LIBOR contracts that may have 

arisen from a basis swap splitting event will be charged separately if included in a conversion process.

An annual Conversion Fee Cap will apply in 2023 for all SwapClear Clearing Member House 

accounts as follows. Note, this cap applies to Conversion Fees only and is not applicable for 

LIBOR Fallback Fees.

Platinum Tariff Gold, Silver and Bronze Tariffs

USD 150,000 USD 100,000

Part II: Description of Rule Changes

There are no changes to the LCH Rulebook, however LCH will make changes to its website. The 

changes to the webpage on SwapClear fees are set out in Appendix I.
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Part III: Core Principle Compliance

LCH reviewed the proposed changes against the requirements of the Core Principles and finds it 

will continue to comply with all the requirements and standards set forth therein. Specifically, these 

rule changes have potential relevance to Core Principle L under CFTC regulation §39.21

(Public information).

The changes described in this filing ensure that LCH meets the objectives of Core Principle L

(§39.21) on Public information, which requires DCOs to make available publicly each clearing and 

other fee charged to Clearing Members. Publishing the changes to the SwapClear clearing fees 

will provide sufficient information to market participants to enable them to identify and evaluate 

accurately the costs associated with using its services.

Part IV: Public Information

LCH has posted a notice of pending certification with the CFTC and a copy of the submission on 

LCH’s website at: https://www.lch.com/resources/rulebooks/proposed-rule-changes.

Part V: Opposing Views

There were no opposing views expressed to LCH by governing board or committee members, 

members of LCH or market participants.

Certification

LCH hereby certifies to the CFTC, pursuant to the procedures set forth in CFTC Regulation §40.6, 

that the attached submission complies with the Commodity Exchange Act, as amended, and the 

regulations promulgated thereunder.

Should you have any questions please contact me at lavannyan.mahalingam@lseg.com. 

Yours sincerely,

Lavannyan Mahalingam

Regulatory Advisor

LCH Limited
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Appendix I

Website changes (Fees webpage) 

SwapClear | Fees | LCH Group

Client Fees Segment

LIBOR Fallback Fees

Effective 31st January 2023, LCH will apply a monthly fee for outstanding USD LIBOR SwapClear 

Contracts. The fee will apply to those SwapClear Contracts outstanding which have a maturity 

date after the USD LIBOR cessation date of 30th June 2023, as of the last business day of that 

month.

Fee per outstanding SwapClear Contract:

January 2023 February 2023 March 2023 April 2023

USD 5 USD 5 USD 5 USD 5

Further details can be found in circular 4217.

• FRAs will not be subject to Fallback Fees

• Any LIBOR-LIBOR basis swaps that may be voluntarily split into two interest rate swaps by LCH prior to a 

conversion cycle will not be charged twice

• 'SwapClear Contract' includes an 'FCM SwapClear Contract'

Conversion Fees

LCH will apply a conversion fee to client SwapClear Contracts which are converted by the LCH 

conversion tool.

Fee Amount:

USD LIBOR

USD 30

Further details can be found in circular 4217.

• Any LIBOR-LIBOR basis swaps that are voluntarily split into two interest rate swaps by LCH prior to 

conversion will be treated as two separate swaps from the point of splitting. As such, any outstanding LIBOR 
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contracts what may have arisen from a basis swap splitting event will be charged separately if included in a 

conversion cycle

• 'SwapClear Contract' includes an 'FCM SwapClear Contract'

Member Fees Segment

LIBOR Fallback Fees

Effective 31st January 2023, LCH will apply a monthly fee for outstanding USD LIBOR contracts. 

The fee will apply to those SwapClear Contracts outstanding which have a maturity date after the 

USD LIBOR cessation date of 30th June 2023, as of the last business day of that month.

Fee per outstanding contract:

January 2023 February 2023 March 2023 April 2023

USD 5 USD 5 USD 5 USD 5

Further details can be found in circular 4217.

• FRAs will not be subject to Fallback Fees

• Any LIBOR-LIBOR basis swaps that may be voluntarily split into two interest rate swaps by LCH prior to a 

conversion cycle will not be charged twice

Conversion Fees

LCH will apply a conversion fee to SwapClear Clearing Member House SwapClear Contracts which 

are converted by the LCH conversion tool.

Fee Amount:

USD LIBOR

USD 30

A cap will apply in 2023 for all SwapClear Clearing Member House accounts as follows. Note, this 

cap applies across Conversion Fees only.

Platinum Tariff Gold, Silver and Bronze Tariffs

USD 150,000 USD 100,000

Further details can be found in circular 4217.

• Any LIBOR-LIBOR basis swaps that are voluntarily split into two interest rate swaps by LCH prior to 

conversion will be treated as two separate swaps from the point of splitting. As such, any outstanding LIBOR 

contracts that may have arisen from a basis swaps splitting event will be charged separately if included in a 

conversion cycle