PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA 

MANUAL
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2022 - 36 - October December 2022

PART B

PRODUCT ELIGIBILITY CRITERIA FOR REGISTRATION OF A SWAPCLEAR 

CONTRACT

1. SwapClear Transaction

Without prejudice to the Regulations and the Procedures, the Clearing House will only register 

a SwapClear Contract pursuant to receipt of particulars of a transaction where at the time of 

the particulars being presented:

(a) the transaction meets the eligibility criteria, set out in paragraphs 1.2(a), (b), (c) or (d)

below for a SwapClear Transaction; and

(b) each party to the transaction is either a SwapClear Dealer, a SwapClear Clearing 

Member (including an SCM Branch), an FCM Clearing Member, a SwapClear 

Clearing Client, an FCM Client or, in respect of Risk Neutralisation, the Clearing

House.

and the requirements of (a) and (b) continue to be satisfied at Registration Time.

1.2 SwapClear Product Eligibility Criteria for a SwapClear Transaction

(a) Vanilla interest rate swaps and notional interest rate swaps having the characteristics 

set out in the table below:

Instrument Currency Leg 1 Leg 2 Variable 

Notional Maximum Tenor Notional Amount

Interest rate 

swap

GBP Fixed GBP-LIBOR-BBA No 18,675 days 0.01-99,999,999,999.99

Interest rate 

swap

GBP Fixed GBP-LIBOR No 18,675 days 0.01-99,999,999,999.99

OIS GBP Fixed GBP-SONIA-COMPOUND Yes 18,675 days 0.01-99,999,999,999.99

OIS GBP Fixed GBP-SONIA-OIS 

Compound Yes 18,675 days 0.01-99,999,999,999.99

Interest rate 

swap

USD Fixed USD-LIBOR-BBA Yes 18,675 days 0.01-99,999,999,999.99

Interest rate 

swap

USD Fixed USD-LIBOR Yes 18,675 days 0.01-99,999,999,999.99

OIS USD Fixed USD-SOFR-COMPOUND Yes 18,675 days 0.01-99,999,999,999.99

OIS USD Fixed USD-SOFR-OIS Compound Yes 18,675 days 0.01-99,999,999,999.99

Basis swap USD USD-LIBORBBA USD-LIBOR-BBA Yes 18,675 days 0.01-99,999,999,999.99

Basis swap USD USD-LIBOR USD-LIBOR Yes 18,675 days

0.01-99,999,999,999.99
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2022 - 37 - October December 2022

Basis swap USD USD-SOFROIS Compound USD-SOFR-OIS Compound No 18,675 days 0.01-99,999,999,999.99

Interest rate 

swap

USD Fixed USD-BSBY14 Yes 4,050 days 0.01-99,999,999,999.99

Basis swap USD USD-LIBORBBA USD-SOFR-COMPOUND No 18,675 days 0.01-99,999,999,999.99

Basis swap USD USD-LIBOR USD-SOFR-OIS Compound No 18,675 days 0.01-99,999,999,999.99

Basis swap USD

USDFEDERAL 

FUNDS-H.15

USD-LIBOR-BBA No 18,675 days 0.01-99,999,999,999.99

Basis swap USD USD-Federal 

Funds USD-LIBOR No 18,675 days 0.01-99,999,999,999.99

Basis swap USD

USDFEDERAL 

FUNDS-H.15-

OISCOMPOUND

USD-SOFR-COMPOUND No 18,675 days 0.01-99,999,999,999.99

Basis swap USD

USD-Federal 

Funds-OIS 

Compound

USD-SOFR-OIS Compound No 18,675 days 0.01-99,999,999,999.99

Basis swap USD USD-Federal 

Funds USD-SOFR-OIS Compound No 18,675 days 0.01-99,999,999,999.99

Basis swap USD USD-BSBY15 USD-SOFR-COMPOUND No 4,050 days 0.01-99,999,999,999.99

Basis swap USD USD-BSBY16 USD-SOFR-OIS Compound No 4,050 days 0.01-99,999,999,999.99

Basis swap USD USD-BSBY USD-BSBY17 No 4,050 days 0.01-99,999,999,999.99

OIS USD Fixed USD-Federal Funds H.15-

OIS-COMPOUND Yes 18,675 days 0.01-99,999,999,999.99

OIS USD Fixed USD-Federal Funds-OIS 

Compound Yes 18,675 days 0.01-99,999,999,999.99

14 BLOOMBERG, BLOOMBERG INDICES and BLOOMBERG SHORT-TERM BANK YIELD INDEX are 

trademarks or service marks of Bloomberg Finance L.P and its affiliates (collectively, "Bloomberg") and have been 

licensed for use for certain purposes by LCH Group. Bloomberg is not affiliated with LCH Group and does not approve, 

endorse, review, or recommend any financial instrument. Bloomberg or its licensors own all proprietary rights in the 

Bloomberg Short-Term Bank Yield Index. Bloomberg does not guarantee the timeliness, accurateness, or 

completeness of any data or information relating to Bloomberg Short-Term Bank Yield Index. Bloomberg makes no 

warranty, express or implied, as to the Bloomberg Short-Term Bank Yield Index or any data or values relating thereto 

or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular 

purpose with respect thereto. To the maximum extent allowed by law, Bloomberg, its licensors, and its and their 

respective employees, contractors, agents, suppliers, and vendors shall have no liability or responsibility whatsoever 

for any injury or damages-whether direct, indirect, consequential, incidental, punitive, or otherwise-arising in 

connection with the Bloomberg Short Term Bank Yield Index or any data or values relating thereto-whether arising 

from their negligence or otherwise

15

 Ibid footnote 14. 

16

 Ibid footnote 14. 

17

 Ibid footnote 14. 
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2022 - 38 - October December 2022

Interest rate 

swap

EUR Fixed EUR-EURIBOR-Reuters Yes 18,675 days 0.01-99,999,999,999.99

Interest rate 

swap

EUR Fixed EUR-EURIBOR Yes 18,675 days 0.01-99,999,999,999.99

Basis swap EUR

EUREURIBORReuters

EUR-EURIBOR-Reuters Yes 18,675 days 0.01-99,999,999,999.99

Basis swap EUR EUREURIBOR EUR-EURIBOR Yes 18,675 days 0.01-99,999,999,999.99

OIS EUR Fixed EUR-EuroSTRCOMPOUND Yes 18,675 days 0.01-99,999,999,999.99

OIS EUR Fixed EUR-EuroSTR-OIS 

Compound Yes 18,675 days 0.01-99,999,999,999.99

Basis swap EUR

EUREURIBORReuters

EUR-EuroSTRCOMPOUND No 18,675 days 0.01-99,999,999,999.99

Basis swap EUR EUREURIBOR

EUR-EuroSTR-OIS 

Compound No 18,675 days 0.01-99,999,999,999.99

Interest rate 

swap

AUD Fixed AUD-BBR-BBSW Yes 11,375 days 0.01-99,999,999,999.99

Interest rate 

swap

AUD Fixed AUD-BBSW Yes 11,375 days 0.01-99,999,999,999.99

Basis swap AUD AUD-BBRBBSW AUD-BBR-BBSW Yes 11,375 days 0.01-99,999,999,999.99

Basis swap AUD AUD-BBSW AUD-BBSW Yes 11,375 days 0.01-99,999,999,999.99

Basis swap AUD

AUD-AONIAOISCOMPOUND

AUD-BBR-BBSW No 11,375 days 0.01-99,999,999,999.99

Basis swap AUD AUD-AONIAOIS Compound AUD-BBSW No 11,375 days 0.01-99,999,999,999.99

OIS AUD Fixed AUD-AONIA-OISCOMPOUND Yes 11,375 days 0.01-99,999,999,999.99

OIS AUD Fixed AUD-AONIA-OIS 

Compound Yes 11,375 days 0.01-99,999,999,999.99

Interest rate 

swap

CAD Fixed CAD-BA-CDOR Yes 15,025 days 0.01-99,999,999,999.99

Interest rate 

swap

CAD Fixed CAD-CDOR Yes 15,025 days 0.01-99,999,999,999.99

Basis swap CAD CAD-BACDOR CAD-BA-CDOR Yes 15,025 days 0.01-99,999,999,999.99

Basis swap CAD CAD-CDOR CAD-CDOR Yes 15,025 days 0.01-99,999,999,999.99

Basis swap CAD CAD-BACDOR

CAD-CORRA-OISCOMPOUND Yes 15,025 days 0.01-99,999,999,999.99

Basis swap CAD CAD-CDOR CAD-CORRA-OIS 

Compound Yes 15,025 days 0.01-99,999,999,999.99
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2022 - 39 - October December 2022

OIS CAD Fixed CAD-CORRA-OISCOMPOUND Yes 15,025 days 0.01-99,999,999,999.99

OIS CAD Fixed CAD-CORRA-OIS 

Compound Yes 15,025 days 0.01-99,999,999,999.99

Interest rate 

swap

CZK Fixed CZK-PRIBOR-PRBO Yes 5,875 days 0.01-99,999,999,999.99

Interest rate 

swap

CZK Fixed CZK-PRIBOR Yes 5,875 days 0.01-99,999,999,999.99

Basis swap CZK CZK-PRIBORPRBO CZK-PRIBOR-PRBO Yes 5,875 days 0.01-99,999,999,999.99

Basis swap CZK CZK-PRIBOR CZK-PRIBOR Yes 5,875 days 0.01-99,999,999,999.99

Interest rate 

swap

DKK Fixed DKK-CIBOR-DKNA13 Yes 11,375 days 0.01-99,999,999,999.99

Interest rate 

swap

DKK Fixed DKK-CIBOR Yes 11,375 days 0.01-99,999,999,999.99

Interest rate 

swap

DKK Fixed DKK-CIBOR2-DKNA13 Yes 11,375 days 0.01-99,999,999,999.99

Interest rate 

swap

DKK Fixed DKK-CIBOR2 Yes 11,375 days 0.01-99,999,999,999.99

OIS DKK Fixed DKK-DESTR-OIS 

Compound Yes 4,050 days 0.01-99,999,999,999.99

Basis swap DKK DKK-CIBORDKNA13 DKK-CIBOR-DKNA13 Yes 11,375 days 0.01-99,999,999,999.99

Basis swap DKK DKK-CIBOR DKK-CIBOR Yes 11,375 days 0.01-99,999,999,999.99

Basis swap DKK DKK-CIBOR2-

DKNA13 DKK-CIBOR2-DKNA13 Yes 11,375 days 0.01-99,999,999,999.99

Basis swap DKK DKK-CIBOR2 DKK-CIBOR2 Yes 11,375 days 0.01-99,999,999,999.99

Interest rate 

swap

HKD Fixed HKD-HIBOR-HKAB Yes 5,700 days 0.01-99,999,999,999.99

Interest rate 

swap

HKD Fixed HKD-HIBOR Yes 5,700 days 0.01-99,999,999,999.99

Interest rate 

swap

HKD Fixed HKD-HIBOR-ISDC Yes 5,700 days 0.01-99,999,999,999.99

OIS HKD Fixed HKD-HONIX-OISCOMPOUND Yes 4,050 days 0.01-99,999,999,999.99

OIS HKD Fixed HKD-HONIA-OIS

Compound Yes 4,050 days 0.01-99,999,999,999.99

Basis swap HKD HKD-HIBORHKAB HKD-HIBOR-HKAB Yes 5,700 days 0.01-99,999,999,999.99

Basis swap HKD HKD-HIBOR HKD-HIBOR Yes 5,700 days 0.01-99,999,999,999.99

Basis swap HKD HKD-HIBORISDC HKD-HIBOR-ISDC Yes 5,700 days 0.01-99,999,999,999.99
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2022 - 40 - October December 2022

Basis swap HKD

HKD-HONIXOISCOMPOUND

HKD-HIBOR-HKAB Yes 4,050 days 0.01-99,999,999,999.99

Basis swap HKD HKD-HONIAOIS Compound HKD-HIBOR Yes 4,050 days 0.01-99,999,999,999.99

Interest rate 

swap

HUF Fixed HUF-BUBOR-Reuters Yes 7,700 days 1-10,000,000,000,000 

Interest rate 

swap

HUF Fixed HUF-BUBOR Yes 7,700 days 1-10,000,000,000,000 

Basis swap HUF HUF-BUBORReuters HUF-BUBOR-Reuters Yes 4,050 days 1-10,000,000,000,000 

Basis swap HUF HUF-BUBOR HUF-BUBOR Yes 4,050 days 1-10,000,000,000,000 

Interest rate 

swap

ILS Fixed ILS-TELBOR01-Reuters Yes 4,050 days 0.01 -

99,999,999,999.99 

Interest rate 

swap

ILS Fixed ILS-TELBOR Yes 4,050 days 0.01 -

99,999,999,999.99 

Interest rate 

swap

JPY Fixed JPY-LIBOR-BBA No 15,025 days 1-10,000,000,000,000 

Interest rate 

swap

JPY Fixed JPY-LIBOR No 15,025 days 1-10,000,000,000,000 

OIS JPY Fixed JPY-TONA-OISCOMPOUND Yes 15,025 days 1-10,000,000,000,000

OIS JPY Fixed JPY-TONA-OIS Compound Yes 15,025 days 1-10,000,000,000,000

Interest rate 

swap

MXN Fixed MXN-TIIE-Banxico No 7,700 days 0.01-99,999,999,999.99

Interest rate 

swap

MXN Fixed MXN-TIIE No 7,700 days 0.01-99,999,999,999.99

Interest rate 

swap

NOK Fixed NOK-NIBOR-OIBOR Yes 11,375 days 0.01-99,999,999,999.99

Interest rate 

swap

NOK Fixed NOK-NIBOR Yes 11,375 days 0.01-99,999,999,999.99

Interest rate 

swap

NOK Fixed NOK-NIBOR-NIBR Yes 11,375 days 0.01-99,999,999,999.99

Basis swap NOK NOK-NIBORNIBR NOK-NIBOR-NIBR Yes 11,375 days 0.01-99,999,999,999.99

Basis swap NOK NOK-NIBOROIBOR NOK-NIBOR-OIBOR Yes 11,375 days 0.01-99,999,999,999.99

Basis swap NOK NOK-NIBOR NOK-NIBOR Yes 11,375 days 0.01-99,999,999,999.99

OIS NOK Fixed NOK-NOWA-OIS 

Compound Yes 5,875 days 0.01-99,999,999,999.99

Interest rate 

swap

NZD Fixed NZD-BBR-FRA Yes 11,375 days 0.01-99,999,999,999.99

Interest rate 

swap

NZD Fixed NZD-BKBM FRA Yes 11,375 days 0.01-99,999,999,999.99
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2022 - 41 - October December 2022

OIS NZD Fixed NZD-NZIONIA-OISCOMPOUND Yes 4,050 days 0.01-99,999,999,999.99

OIS NZD Fixed NZD-NZIONA-OIS 

Compound Yes 4,050 days 0.01-99,999,999,999.99

Basis swap NZD NZD-BBRFRA

NZD-NZIONIA-OISCOMPOUND No 4,050 days 0.01-99,999,999,999.99

Basis swap NZD NZD-BKBM 

FRA

NZD-NZIONA-OIS 

Compound No 4,050 days 0.01-99,999,999,999.99

Basis swap NZD NZD-BBRFRA NZD-BBR-FRA Yes 11,375 days 0.01-99,999,999,999.99

Basis swap NZD NZD-BKBM 

FRA NZD-BKBM FRA Yes 11,375 days 0.01-99,999,999,999.99

Interest rate 

swap

SGD Fixed SGD-SOR-Reuters Yes 7,700 days 0.01-99,999,999,999.99

Interest rate 

swap

SGD Fixed SGD-SOR-VWAP Yes 7,700 days 0.01-99,999,999,999.99

Interest rate 

swap

SGD Fixed SGD-SOR Yes 7,700 days 0.01-99,999,999,999.99

OIS SGD Fixed SGD-SORA-COMPOUND Yes 11,375 days 0.01-99,999,999,999.99

OIS SGD Fixed SGD-SORA-OIS Compound Yes 11,375 days 0.01-99,999,999,999.99

Interest rate 

swap

SEK Fixed SEK-STIBOR-SIDE Yes 11,375 days 0.01-99,999,999,999.99

Interest rate 

swap

SEK Fixed SEK-STIBOR Yes 11,375 days 0.01-99,999,999,999.99

OIS SEK Fixed SEK-SWESTR-OIS 

Compound Yes 4,050 days 0.01-99,999,999,999.99

Basis swap SEK SEK-STIBORSIDE SEK-STIBOR-SIDE Yes 11,375 days 0.01-99,999,999,999.99

Basis swap SEK SEK-STIBOR SEK-STIBOR Yes 11,375 days 0.01-99,999,999,999.99

Interest rate 

swap

CHF Fixed CHF-LIBOR-BBA No 11,375 days 0.01-99,999,999,999.99

Interest rate 

swap

CHF Fixed CHF-LIBOR No 11,375 days 0.01-99,999,999,999.99

OIS CHF Fixed CHF-SARON-OISCOMPOUND Yes 11,375 days 0.01-99,999,999,999.99

OIS CHF Fixed CHF-SARON-OIS 

Compound Yes 11,375 days 0.01-99,999,999,999.99

Interest rate 

swap

PLN Fixed PLN-WIBOR-WIBO Yes 5,875 days 0.01-99,999,999,999.99

Interest rate 

swap

PLN Fixed PLN-WIBOR Yes 5,875 days 0.01-99,999,999,999.99

Basis swap PLN PLN-WIBORWIBO PLN-WIBOR-WIBO Yes 5,875 days 0.01-99,999,999,999.99