LCH LIMITED

PROCEDURES SECTION 2C

SWAPCLEAR CLEARING SERVICE
Clearing House Procedures SwapClear 

Service 

LCH Limited © 2022 - 70 - September November 2022

with the Inflation Swaps Operational Specifications) and the SwapClear End of 

Day Price.

1.32 Notifications via Approved Trade Source Systems

1.32.1 With prior approval of the Clearing House, SwapClear Clearing Members and

SwapClear Clearing Clients may elect to submit and receive certain post-trade

messages via any Approved Trade Source System previously approved by the

Clearing House for the results of compression procedures, Permitted Transfers

and non-economic amendments of SwapClear Contracts.

1.32.2 A SwapClear Clearing Member, either on its own account or with respect to a

SwapClear Clearing Client (where applicable), acknowledges and agrees, with

respect to an election to receive messages and/or notifications under this Section 

1.31 from the Clearing House via an Approved Trade Source System, that (i) 

the Clearing House makes no warranty (and will accept no liability) as to the 

effectiveness, efficiency, performance or any other aspect of the services 

provided by any Approved Trade Source System or the timeliness or otherwise 

of the delivery of any notices, reports or details by that Approved Trade Source 

System to the Clearing House of the SwapClear Clearing Member or SwapClear 

Clearing Client, as applicable, (ii) the Clearing House will process and use any 

information provided to it under this Section 1.31 via an Approved Trade Source 

System on an “as is” basis (with no obligation to verify any details), (iii) the 

Clearing House accepts no liability for (A) any error within or corruption of any 

data sent by an Approved Trade Source System to the Clearing House, the 

SwapClear Clearing Member or any SwapClear Clearing Client or (B) any 

delay in or failure of the transmission of such data to the Clearing House, the 

SwapClear Clearing Member or any SwapClear Clearing Client.

1.32.3 Any request for the Clearing House to approve the submission and receipt of

post-trade messages via any Approved Trade Source System must be made in

writing and using the Clearing House’s standard documentation. Through

making a request, a SwapClear Clearing Member, either on their own account

or with respect to a SwapClear Clearing Client, is deemed to represent and

warrant that the individual making the request is appropriately authorized to do 

so.

1.33 [Reserved.]Basis swap splitting 

From time to time a SwapClear Clearing Member or a SwapClear Clearing Client may 

request via the ClearLink API or SwapClear Portal that the Clearing House re-registers 

one or more of its eligible SwapClear Contracts that are recorded in the books and 

records of the Clearing House as “basis swaps” (each, an “Original Basis Swap”) so 

that immediately following such re-registration by the Clearing House, the Original 

Basis Swap is replaced by the following two SwapClear Contracts which, together, 

shall be economically identical to the Original Basis Swap:

(a) the first SwapClear Contract shall have a “Floating Rate” (as defined in the 

ISDA Definitions) equal to the first “Floating Rate” referenced in the Original 

Basis Swap, a “Fixed Rate” (as defined in the ISDA Definitions) determined by 

the Clearing House, and the "Floating Rate Payer" or “Floating Amount Payer” 
Clearing House Procedures SwapClear 

Service 

LCH Limited © 2022 - 71 - September November 2022

(as defined in the ISDA Definitions) shall be the same as the "Floating Rate 

Payer" or "Floating Amount Payer" in relation to the first "Floating Rate" under 

the Original Basis Swap; and

(b) the second SwapClear Contract shall have a “Floating Rate” (as defined in the 

ISDA Definitions) equal to the second “Floating Rate” referenced in the 

Original Basis Swap, a “Fixed Rate” (as defined in the ISDA Definitions) equal 

to the “Fixed Rate” under (a) above, and the "Floating Rate Payer" or "Floating 

Amount Payer” (as defined in the ISDA Definitions) shall be the same as the 

"Floating Rate Payer" or "Floating Amount Payer" in relation to the second 

"Floating Rate" under the Original Basis Swap.

If the Clearing House accepts the SwapClear Clearing Member or SwapClear Clearing 

Client’s request, it shall effect the re-registration referred to above no later than the 

business day following the date on which the request is received, subject to and in 

accordance with such other conditions or provisions as the Clearing House may from 

time to time provide or require generally or in relation to any specific request.

1.331.34 Actions in Respect of an FCM Client Default

Following an FCM Client Default (as defined in the FCM Regulations) and in 

connection with a request from an FCM Clearing Member to the Clearing House to 

transfer one or more FCM SwapClear Contracts (including those submitted for 

registration pursuant to Section 2.1.13(c) of the FCM Procedures) from (i) a Defaulting 

FCM Client’s FCM Client Sub-Account or (ii) an FCM Clearing Member’s Proprietary 

Account to the Proprietary Account of a SwapClear Clearing Member, such SwapClear 

Clearing Member shall transfer (or make available) required margin into its Proprietary 

Account.

2. PORTFOLIO MARGINING SERVICE

2.1 Introduction

The Portfolio Margining Service is an optional service which provides Joint Rates 

Service Clearing Members portfolio-margining functionality in respect of pairs of 

accounts which are held in the SwapClear and Listed Interest Rates Services by 

transferring Eligible Listed Interest Rates Contracts between accounts in each Service.

A Joint Rates Service Clearing Member must opt-in to the Portfolio Margining Service 

in accordance with the procedure set out in paragraph 2.2 below and meet the PM 

Eligibility Criteria (as defined below) in order to benefit from the portfolio-margining 

functionality provided by the service. However it should be noted that, regardless of 

whether or not a Joint Rates Service Clearing Member opts in, the SwapClear Service 

and Listed Interest Rates Service share a common default fund. Accordingly, the risk 

profile of participating in either one of such Services may be impacted by other Clearing 

Members participating in the other such Service whether or not as a Portfolio Margining 

Clearing Member. In particular, the resources of a Clearing Member that is a member 

of the SwapClear Service and the Listed Interest Rates Service will be made available 

to cover the Clearing House’s losses in a different manner to those of a Clearing 

Member that is only a member of one of those Services, regardless of whether that 

Clearing Member opts-in to the Portfolio Margining Service. SwapClear Clearing