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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

CORPORATE

VIA CFTC PORTAL

July 17, 2023

Mr. Christopher Kirkpatrick

Commodity Futures Trading Commission

1155 21st Street NW

Three Lafayette Centre

Washington, DC 20581

LCH Limited Self-Certification: SwapClear Service Opening – 24x5

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 revisions to its rules (“LCH Rules”) related to the extension of the opening hours of 

the SwapClear service for twenty-four hours a day, five days a week (“24x5”).

Part I: Explanation and Analysis

LCH’s SwapClear Service is currently operational for twenty-two hours each business day, five 

days a week (“22x5”). Beginning April 2022, LCH’s SwapClear Service has been running a code 

base that provides for operations 24x5, with a 2-hour scheduled maintenance period between 

02:00-04:00 (London time) (the “Maintenance Period”). During the Maintenance Period, trade 

registration is paused. The proposed change will codify in the LCH Rules the Maintenance Period

and establish that the SwapClear Service will remain operational and continue to register trades

during the Maintenance Period, unless LCH notifies Clearing Members that the SwapClear Service 

is scheduled for closure during the Maintenance Period.

1 The LCH Rules will be amended to include 

revisions to the General Regulations, Default Rules, Procedures, FCM Regulations and FCM 

Procedures to effect this change.

Part II: Description of Rule Changes

These changes to the LCH Rules extend the SwapClear Service operating hours on each business 

day as follows:

a) Monday - 09:00 (Sydney time) to 02:00 (London time) on Tuesday (except if such Tuesday 

is not a business day, in which case the SwapClear Service will close at 19:00 (New York 

time) on Monday);

1 Note: LCH will still reserve the right to notify SwapClear Clearing Members if the SwapClear 

Service is scheduled for closure for operational or other reasons (including compression runs).
CORPORATE

b) Tuesday to Thursday - 04:00 (London time) to 02:00 (London time) on the following day 

(except if such following day is not a business day, in which case the SwapClear Service 

will close on the preceding business day at 19:00 (New York time)); and 

c) Friday - 04:00 (London time) to 19:00 (New York time). 

In addition, LCH may open the SwapClear Service at the earlier time of:

a) 02:00 (London time) on a business day that is not a Monday (which effectively creates a 

24x5 hour week); or

b) 09:00 (Sydney time) on a business day following a day that is not a business day. 

The remaining changes to the LCH Rules are to replace references to ‘close of business’ and ‘end 

of the business day’ (and other conforming changes to the time), as applicable and determined by 

LCH.2In addition, Rule CS1(c), Schedule 6 of the Default Rules has been amended to align with 

the existing, parallel provisions under Rule S1(a), Part A and Rule L2(a), Part B.

The changes to the LCH Rules are included as Appendices I - VI in black line form. The changes 

will be effective not earlier than August 7, 2023.

Part III: Core Principle Compliance

LCH reviewed the proposed changes to the LCH Rules against the requirements of the Core 

Principles and finds it will continue to comply with all requirements and standards set forth therein. 

Specifically, this change to the LCH Rules has potential relevance to Core Principle L (§39.21)

(Public Information) under the CFTC regulations. 

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

including that, in addition to the applicable provisions of §39.21, LCH makes available any

information that is relevant to participation in the clearing and settlement activities of LCH. LCH 

considered its regulatory requirements with respect to disclosure of public information and believes

the inclusion of rules related to the SwapClear Service operating hours in its publicly available 

rulebook reflects its compliance with Core Principle L and CFTC regulation §39.21. As a result, 

LCH believes these changes are consistent with the requirements of Core Principle L on Public 

Information under CFTC regulation §39.21.

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 that were not incorporated into this proposal.

2 Note: These changes have also been made for the ForexClear Service, given that the ForexClear 

Service already has a 24x5 operating model.
CORPORATE

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.mahalinam@lseg.com.

Yours sincerely,

Lavannyan Mahalingam

Regulatory Advisor

LCH Limited
CORPORATE

Appendix I

LCH General Regulations

Changed Pages
Clearing House: General Regulations

- iApril May 2022

GENERAL REGULATIONS OF

LCH LIMITED
Clearing House: General Regulations

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April May 2022

CHAPTER XI – NETTING AND DISTRIBUTION 

REGULATION 45 NETTING

(a) If at any time the Clearing House fails to make a payment or a delivery of an asset to a 

Member, other than a Defaulter, under a Contract for a period of 30 days from the date 

when the obligation to pay or deliver fell due then that Member may exercise its rights 

under paragraph (c) below.

(b) If at any time the Clearing House commences a voluntary case or other procedure 

seeking or proposing liquidation, administration, receivership, voluntary arrangement 

or a scheme of arrangement, or other similar relief with respect to itself or to its debts 

under any bankruptcy, insolvency, regulatory, supervisory or similar law, or if any of 

the foregoing cases or procedures is commenced in relation to the Clearing House by 

any other person which results in liquidation or winding up of the Clearing House, or 

if the Clearing House takes corporate action to authorise any of the foregoing, in any 

such case other than for the purposes of corporate restructuring (including any 

consolidation, amalgamation or merger), then a Member, other than a Defaulter, may 

exercise the right given to it under paragraph (c) below.

(c) A Member entitled to exercise rights under this paragraph may, at any time whilst any 

of the circumstances referred to in paragraph (a) or (b) giving rise to such rights 

continue, by notice in writing to the Clearing House, specify a Termination Date for the 

termination and liquidation of all Contracts to which it is a party in accordance with 

paragraph (d) below.

(d) Upon the occurrence of a Termination Date:

(i) neither the Clearing House nor the Member shall be obliged to make any further 

payments or deliveries under any Contract between them which would, but for 

this Regulation 45, have fallen due for performance on or after the Termination 

Date, and any obligations to make further such payments or deliveries which 

would otherwise have fallen due shall be satisfied by settlement (whether by 

payment, set-off or otherwise) of the Termination Amount;

(ii) the Member shall (on, or as soon as reasonably practicable after, the 

Termination Date) determine (discounting if appropriate) in respect of each 

Contract its total loss or, as the case may be, gain, in each case expressed in the 

lawful currency of the United Kingdom (the "Base Currency"), (and, if 

appropriate, including any loss of bargain, cost of funding or, without 

duplication, loss or, as the case may be, gain as a result of the termination, 

liquidation, obtaining, performing or re-establishing of any hedge or related 

trading position), as a result of the termination, pursuant to this agreement, of 

each payment or delivery which would otherwise have been required to be made 

under such Contract (assuming satisfaction of each applicable condition 

precedent and having due regard to, if appropriate, such market quotations 

published on, or official settlement prices set by, a relevant exchange or clearing 

organisation, as may be available on, or immediately preceding, the date of 

calculation); 
Clearing House: General Regulations

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April May 2022

(iii) any cash Collateral balance held by the Clearing House and/or the Member in 

respect of the other party's initial margin and/or variation margin obligations 

shall (to the extent not already due and payable) be accelerated so as to become 

immediately due and payable to the Member or Clearing House who provided 

such cash Collateral, and the Member shall (on, or as soon as reasonably 

practicable after, the Termination Date) determine the Base Currency 

Equivalent of such amount(s). For the purposes of this Regulation 45, the "Base 

Currency Equivalent" means, in respect of any amount denominated in the 

Base Currency, such Base Currency amount and, in respect of any amount 

denominated in a currency other than the Base Currency (the "Other 

Currency"), the amount in the Base Currency determined by the Member as 

being required to purchase such amount of such Other Currency as at the 

relevant Termination Date, with the Base Currency; and

(iv) the Member shall treat each loss to it determined under paragraph (ii) above and 

the Base Currency Equivalent of any amount of cash Collateral due and payable 

to it as a positive amount and each gain by it determined under paragraph (ii)

above and the Base Currency Equivalent of any amount of cash Collateral due 

and payable by it as a negative amount and, subject to paragraph (v), shall 

aggregate all of such amounts to produce a single, net positive or negative 

amount, denominated in the Base Currency (the "Termination Amount").

(v) Where a Member has a Proprietary Account and one or more Client Accounts:

(A) the Member shall determine one or more net amounts under paragraph 

(iv): a separate net amount in respect of gains and losses arising on 

Contracts registered in each of its Client Accounts and any 

corresponding cash Collateral balances held by that Member or the 

Clearing House; and a further separate net amount in respect of gains 

and losses arising on all Contracts registered in such Member's 

Proprietary Account (or Proprietary Accounts as combined) and any 

corresponding cash Collateral balances held by that Member or the 

Clearing House; and

(B) each of the net amounts determined under paragraph (A) shall constitute 

Termination Amounts.

(vi) If a Termination Amount determined pursuant to paragraph (v) above is a 

positive amount, the Clearing House shall pay it to the Member and if any such 

Termination Amount is a negative amount, the Member shall pay it to the 

Clearing House, in either case in accordance with paragraph (vii). The Member 

shall notify the Clearing House of each such Termination Amount, and by which 

party it is payable, immediately after the calculation thereof.

(vii) A Termination Amount shall, subject to Regulation 46, be paid in the Base 

Currency by the close of business on the business day following notification 

pursuant to paragraph (vi) above (converted as required by Applicable Law into 

any other currency, any costs of such conversion to be borne by, and (if 

applicable) deducted from any payment to, the Clearing House). Any 

Termination Amount which is not paid on such day shall bear interest, at the 

average rate at which overnight deposits in the currency of such payment are 
Clearing House: General Regulations

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April May 2022

offered by major banks in the London interbank market as of 11:00 hours 

(London time) (or, if no such rate is available, at such reasonable rate as the 

Member may select) plus 1 per cent. per annum, for each day for which any 

such sum remains unpaid.

(viii) For the purposes of any calculation required to be made under this Regulation, 

the Member may convert amounts denominated in any other currency into the 

Base Currency at such rate prevailing at the time of the calculation as it shall 

reasonably select.

The Member’s rights under this Regulation 45 shall be in addition to, and not in 

limitation or exclusion of, any other rights which the Member may have (whether by 

agreement, operation of law or otherwise, including its rights under Regulation 10(i)).

(e) If a Member is a Defaulter and either:

(i) no default management process has been commenced by the Clearing House in 

respect of such Member within 3 business days following a Default Notice 

being issued in respect of that Member; or

(ii) such default management process has been commenced within such period but 

that Member determines (acting reasonably) that the relevant default 

management process is unlikely to be completed,

then, provided that an event or circumstance as described in paragraph (a) (ignoring, 

for this purpose, the words "other than a Defaulter" in that paragraph) or (b) above has 

also occurred, the relevant Member shall be entitled to exercise the rights provided 

under paragraph (c) above, notwithstanding that it is a Defaulter.

(f) Interpretation in Relation to FDICIA. The Clearing House and each Clearing Member 

intend that certain provisions of the General Regulations and the Procedures (including 

this Regulation 45) be interpreted in relation to certain terms that are defined in 

FDICIA, as follows:

(i) The Clearing House is a “clearing organization”.

(ii) An obligation of a Clearing Member to make a payment to the Clearing House, 

or of the Clearing House to make a payment to a Clearing Member, subject to a 

netting contract, is a “covered clearing obligation” and a “covered contractual 

payment obligation”.

(iii) An entitlement of a Clearing Member to receive a payment from the Clearing 

House, or of the Clearing House to receive a payment from a Clearing Member, 

subject to a netting contract, is a “covered contractual payment entitlement”.

(iv) The Clearing House is a “member”, and each Clearing Member is a “member”. 

(v) The amount by which the covered contractual payment entitlements of a 

Clearing Member or the Clearing House exceed the covered contractual 

payment obligations of such Clearing Member or the Clearing House after 

netting under a netting contract is its “net entitlement”. 
Clearing House: General Regulations

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April May 2022

(vi) The amount by which the covered contractual payment obligations of a Clearing 

Member or the Clearing House exceed the covered contractual payment 

entitlements of such Clearing Member or the Clearing House after netting under 

a netting contract is its “net obligation”.

(vii) The General Regulations and the Procedures, including this Regulation 45

constitute a “netting contract”.

(viii) The provisions of the Rulebook (including the Default Rules) and the 

Procedures providing for the use and liquidation of Collateral each constitute a 

“security agreement of arrangement or other credit enhancement related to one 

or more netting contracts between any 2 members of a clearing organization”. 

(ix) For purposes of this Regulation 45, the term “payment” means “a payment of 

United States dollars, another currency, or a composite currency, and a noncash 

delivery, including a payment or delivery to liquidate an unmatured obligation”.
Clearing House: General Regulations

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April July 20232

REGULATION 94 EXERCISE OF FOREXCLEAR OPTION CONTRACTS

(a) Subject to (b) and (c) below, a ForexClear Option Buyer may exercise the right or rights 

granted to it pursuant to a ForexClear Option Contract only by giving an irrevocable 

notice in the manner and at the time specified by the Procedures.

(b) Subject to (c) below, a ForexClear Option Contract has not been exercised in the 

manner and by the time specified in the Procedures, then it will, subject to the 

satisfaction of any conditions set forth in the Procedures, be deemed exercised in the 

manner and at the time specified by the Procedures.

(c) In the event (i) a ForexClear Option Contract (to the extent capable of exercise) has not 

been exercised by the time, as determined by the Clearing House, on end of the business 

day immediately preceding the relevant Expiration Date for such ForexClear Option 

Contract, (the “Automatic Expiry Point”), (ii) the ForexClear Option Clearing 

Member party to each such ForexClear Option Contract has not opted out of the 

Clearing House’s “automatic expiry” service in accordance with the Procedures, and 

(iii) such ForexClear Option Contract is “equal and offsetting” with another ForexClear 

Option Contract, as determined by the Clearing House in accordance with the 

Procedures, the Clearing House shall automatically expire such ForexClear Option 

Contracts at the time, as determined by the Clearing House, on start of the such given 

Expiration Date. Upon the automatic expiry of a ForexClear Option Contract pursuant 

to this paragraph, such ForexClear Option Contract shall immediately terminate. For 

the avoidance of doubt, a ForexClear Option Contract subject to automatic expiry on 

its a given Expiration Date shall automatically expire and terminate notwithstanding 

the Clearing House’s receipt of an instruction to exercise such ForexClear Option 

Contract after the Automatic Expiry Point for such ForexClear Option Contract. on the 

Expiration Date

(d) If a ForexClear Option Contract has not been (i) exercised, (ii) deemed to have been 

exercised or (iii) automatically exercised pursuant to this Regulation 94, the right or 

rights granted pursuant to that ForexClear Option Contract will immediately expire and 

become void and of no effect.

(e) For the avoidance of doubt, a ForexClear Option Contract may be exercised (or deemed 

to be exercised) in partial or in whole. 
CORPORATE

Appendix II

LCH FCM Regulations

Changed Pages
FCM REGULATIONS OF THE CLEARING HOUSE

LCH LIMITED
FCM Regulations

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October 2021

CHAPTER X - NETTING AND DISTRIBUTION

REGULATION 37 NETTING

(a) If at any time the Clearing House fails to make a payment to an FCM Clearing Member, 

other than a Defaulter, under an FCM Contract for a period of 30 days from the date 

when the obligation to pay fell due, then that FCM Clearing Member may exercise its 

rights under paragraph (c) below.

(b) If at any time the Clearing House commences a voluntary case or other procedure 

seeking or proposing liquidation, administration, receivership, voluntary arrangement 

or a scheme of arrangement, or other similar relief with respect to itself or to its debts 

under any bankruptcy, insolvency, regulatory, supervisory or similar law, or if any of 

the foregoing cases or procedures is commenced in relation to the Clearing House by 

any other person which results in liquidation or winding up of the Clearing House, or 

if the Clearing House takes corporate action to authorize any of the foregoing, in any 

such case other than for the purposes of corporate restructuring (including any 

consolidation, amalgamation or merger), then an FCM Clearing Member, other than a 

Defaulter, may exercise the right given to it under paragraph (c) below.

(c) An FCM Clearing Member entitled to exercise rights under this paragraph may, at any 

time while any of the circumstances referred to in paragraph (a) or (b) above giving rise 

to such rights continue, by notice in writing to the Clearing House, specify a 

Termination Date for the termination and liquidation of all FCM Contracts to which it 

is a party in accordance with paragraph (d) below.

(d) Upon the occurrence of a Termination Date:

(i) neither the Clearing House nor the FCM Clearing Member shall be obliged to 

make any further payments under any FCM Contract between them which 

would, but for this FCM Regulation 37, have fallen due for performance on or 

after the Termination Date, and any obligations to make further payments which 

would otherwise have fallen due shall be satisfied by settlement (whether by 

payment, set-off or otherwise) of the Termination Amount;

(ii) the FCM Clearing Member shall (on, or as soon as reasonably practicable after, 

the Termination Date) determine (discounting if appropriate) in respect of each 

FCM Contract its total loss or, as the case may be, gain, in each case expressed 

in the lawful currency of the United States or the currency of the relevant FCM 

Contract where agreed by the Clearing House and the FCM Clearing Member 

(the “Base Currency”), (and, if appropriate, including any loss of bargain, cost 

of funding or, without duplication, loss or, as the case may be, gain as a result 

of the termination, liquidation, obtaining, performing or re-establishing of any 

hedge or related trading position), as a result of the termination, pursuant to this 

agreement, of each payment which would otherwise have been required to be 

made under such FCM Contract; 

(iii) the FCM Clearing Member shall (on, or as soon as reasonably practicable after, 

the Termination Date) determine the amount of its Collateral held by the 

Clearing House, which amount shall be treated as a loss for purposes of this 

FCM Regulation 37(d), and the amount of any Collateral required to be 
FCM Regulations

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October 2021

delivered by the FCM Clearing Member to the Clearing House and not yet so 

delivered, which amount shall be treated as a gain for purposes of this FCM 

Regulation 37(d); and

(iv) the FCM Clearing Member shall treat each loss to it, determined as above, as a 

positive amount and each gain by it, so determined, as a negative amount and, 

subject to paragraph (v) below, shall aggregate all of such amounts to produce 

a single, net positive or negative amount, denominated in the Base Currency 

(the “Termination Amount”).

(v) Where an FCM Clearing Member has a Proprietary Account and one or more 

FCM Omnibus Client Accounts with LCH:

(A) the FCM Clearing Member shall determine a number of net amounts 

under paragraph (d)(iv) as applicable: (1) separate net amounts in 

respect of gains and losses arising on FCM Contracts registered to each 

FCM Client Sub-Account carried by such FCM Clearing Member (i.e., 

on an FCM Client by FCM Client basis with respect to Swaps Products); 

(2) one net amount in respect of gains and losses arising on FCM 

Contracts registered in the FCM Clearing Member's FCM Omnibus 

Futures Client Accounts with LCH on a combined basis; (3) one net 

amount in respect of gains and losses arising on FCM Contracts 

registered in the FCM Clearing Member’s FCM Omnibus Foreign 

Futures Client Accounts with LCH on a combined basis; and (4) one net 

amount in respect of gains and losses arising on FCM Contracts 

registered in the FCM Clearing Member's Proprietary Accounts on a 

combined basis; and

(B) each of the net amounts determined under paragraph (v)(A) above shall 

constitute Termination Amounts.

(vi) If a Termination Amount determined pursuant to paragraph (d)(v) above is a 

positive amount, the Clearing House shall pay it to the FCM Clearing Member 

and if any such Termination Amount is a negative amount, the FCM Clearing 

Member shall pay it to the Clearing House, in either case in accordance with 

paragraph (v). The FCM Clearing Member shall notify the Clearing House of 

each such Termination Amount, and by which party it is payable, immediately 

after the calculation thereof.

(vii) A Termination Amount shall, subject to FCM Regulation 38, be paid in the Base 

Currency by the close of business on the Business Day following notification 

pursuant to paragraph (vi) above (converted as required by Applicable Law into 

any other currency, any costs of such conversion to be borne by, and (if 

applicable) deducted from any payment to, the Clearing House). Any 

Termination Amount which is not paid on such day shall bear interest, at the 

average rate at which overnight deposits in the currency of such payment are 

offered by major banks in the London interbank market as of 11:00 hours 

(London time) (or, if no such rate is available, at such reasonable rate as the 

FCM Clearing Member may select) plus 1% per annum, for each day for which 

any such sum remains unpaid.
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Member’s Proprietary Account, or (y) except in accordance with an instruction 

(provided in accordance with the FCM Rulebook) by the applicable FCM 

Clearing Member, apply Unallocated Excess to an FCM Client Sub-Account or 

to the FCM Buffer Sub-Account.

(iv) Upon the request of an FCM Clearing Member (including as a result of a 

standing instruction of an FCM Clearing Member) in accordance with the FCM 

Procedures, the Clearing House will return Unallocated Excess to an FCM 

Clearing Member. The FCM Clearing Member shall be deemed to represent to 

the Clearing House, upon making any such request, that any such request 

complies with the CFTC Regulations and that the returned Unallocated Excess 

will remain segregated as required under the CFTC Regulations and the FCM 

Rulebook.

(v) Upon the default of an FCM Clearing Member, any Unallocated Excess in such 

FCM Clearing Member’s Unallocated Excess Sub-Accounts shall be held by 

the Clearing House for the benefit of the applicable FCM Clients in accordance 

with Part 190 of the CFTC Regulations and Applicable Law, and the Clearing 

House shall not be permitted to apply any such Unallocated Excess to the 

obligations of the FCM Clearing Member to the Clearing House (on behalf of 

its FCM Clients or otherwise) except to the extent required by Applicable Law 

and/or directed by the applicable bankruptcy trustee or Regulatory Body in

accordance with Applicable Law. 

(vi) Certain additional procedures relating to Unallocated Excess differ based on 

whether the FCM Omnibus Swaps Client Accounts with LCH to which such 

Unallocated Excess corresponds is subject to the Without Client Excess Model

or the With Client Excess Model, as such models are described in FCM 

Regulation 15(c) and FCM Regulation 15(d) (and in other applicable provisions 

of the FCM Rulebook).

(c) Without Client Excess Model. The provisions of this FCM Regulation 15(c) describe 

certain components of the Clearing House’s model for margining, in accordance with 

Part 22 of the CFTC Regulations, FCM Omnibus Swaps Client Accounts with LCH in 

a manner which prohibits the maintenance of Excess Margin in FCM Client SubAccounts on a day-to-day basis (such model is referred to in the FCM Rulebook as the 

“Without Client Excess Model”). An alternative model which permits such Excess 

Margin to be maintained (the With Client Excess Model) is described in FCM 

Regulation 15(d). The Without Client Excess Model is the default model that shall 

apply to an FCM Clearing Member’s FCM Omnibus Swaps Client Accounts with LCH, 

and such model shall apply to all such accounts except where an FCM Clearing 

Member, to the extent permitted by the FCM Procedures, applies to and is approved by 

the Clearing House to have one or more of its FCM Omnibus Swaps Client Accounts 

with LCH treated in accordance with the alternative model (the With Client Excess 

Model described in FCM Regulation 15(d)).

The provisions of this FCM Regulation 15(c) apply only to FCM Omnibus Swaps 

Client Accounts with LCH that are subject to the Without Client Excess Model.

(i) Restriction on Excess Margin in FCM Client Sub-Accounts on a Day-toDay Basis. Excess Margin is not permitted to be maintained in any FCM Client 
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October 2021

Sub-Account on a day-to-day basis. However, an FCM Client’s FCM Client 

Sub-Account is permitted to maintain Excess Margin on an intraday basis. Any 

Excess Margin attributable to an FCM Client Sub-Account of an FCM Client 

that exists in such sub-account following the time, as determined by the Clearing 

House, on a Business Day a daily close of the FCM Clearing Services shall be 

transferred by the Clearing House into the corresponding Unallocated Excess 

Sub-Account on the morning of the following Business Day (and as such, such 

Excess Margin shall become Unallocated Excess); provided, that all sums due 

from the relevant FCM Clearing Member at such time in respect of the 

applicable FCM Omnibus Swaps Client Account with LCH have been paid to 

the Clearing House. If at any time an FCM Clearing Member furnishes Margin 

to the Clearing House on behalf of an FCM Client in an amount which would 

cause such FCM Client’s FCM Client Sub-Account to contain Excess Margin, 

the Clearing House shall be permitted to reject the deposit of any such Excess 

Margin or to immediately transfer any such Excess Margin back to the FCM 

Clearing Member.

(ii) Application of FCM Buffer.

(A) The Clearing House shall be permitted to apply any portion of an FCM 

Clearing Member’s FCM Buffer (any portion of FCM Buffer when 

applied, “Encumbered FCM Buffer”) to any FCM Client Sub-Account 

held by such FCM Clearing Member in the same FCM Omnibus Swaps 

Client Account with LCH (in which such FCM Buffer is held) which is 

in or would become in default.

(B) At no time shall the Clearing House apply FCM Buffer in an amount 

that, in respect of an FCM Client, would cause the sum of the FCM 

Client’s FCM Client Sub-Account Balance and the Encumbered FCM 

Buffer applicable to such FCM Client’s FCM Client Sub-Account at 

such time (if any) to exceed the amount of Required Margin applicable 

to such FCM Client Sub-Account. In the event that any such excess 

exists (e.g., due to a decrease in Required Margin, the crediting of 

additional Margin attributable to such FCM Client, or other reasons) 

with respect to an FCM Client Sub-Account, the Clearing House shall 

reduce the amount of Encumbered FCM Buffer applicable to such FCM 

Client in an amount sufficient to remove any such excess, and any such 

reduced portion of Encumbered FCM Buffer shall again constitute only 

FCM Buffer (and shall no longer be considered Encumbered FCM 

Buffer).

(C) Other than any Encumbered FCM Buffer applied to an FCM SwapClear 

Suspension Account, any Encumbered FCM Buffer that is applied to an 

FCM Client Sub-Account on a Business Day and remains applied to 

such sub-account at the opening of the relevant FCM Clearing Service 

on the following Business Day (as necessary to satisfy the applicable 

Required Margin) shall, at such time, be deemed to become part of such 

FCM Client’s FCM Client Sub-Account Balance and shall thereafter no 

longer constitute Encumbered FCM Buffer or FCM Buffer.
CORPORATE

Appendix III

Section 2C (SwapClear Clearing Service) of the LCH Procedures 

Changed Pages
CORPORATE

LCH LIMITED

PROCEDURES SECTION 2C

SWAPCLEAR CLEARING SERVICE
Clearing House Procedures SwapClear 

Service 

LCH Limited © 20232 - 6 - May July 20232

1.2 Operating Times and Calendars

1.2.1 Opening Days

The SwapClear Service will be open every day, except weekends, Christmas 

Day, New Year’s Day and Good Friday1.

1.2.2 Opening Hours

Unless notified otherwise, the SwapClear Service will be operational on each 

business day that is: 

(a) a Monday from 092:00 (London Sydney time) to 2:005 (London time) 

on Tuesday (except if such Tuesday is not a business day, in which case 

the SwapClear service will close at 19:00 (New York time) on Monday);

(b) a Friday from 046:00 (London time) to 19:00 (New York time); and

(c) not a Monday or Friday from 046:00 (London time) to 02:00 (London 

time)5 on the following day (except if such following day is not a 

business day, in which case the SwapClear service will close on the 

preceding business day at 19:00 (New York time)).

23

The Clearing House will notify SwapClear Clearing Members if the SwapClear 

Service is scheduled for closure for operational or other reasons (including 

compression runs).

1.2.3 SwapClear Clearing System Calendars

The SwapClear clearing system uses the SwapsMonitor Financial Calendar for 

its processing. This will require all SwapClear Clearing Members to be 

licensees of the SwapsMonitor Financial Calendar. The calendars, as applicable 

to the SwapClear clearing system, will be available online for inspection and 

for file download from the SwapClear Clearing Member reporting system (see 

Section 1.1.3).

With respect to SwapClear Contracts that are denominated in Israeli Shekel, the 

Clearing House will not recognise Sunday as a Business Day for the purposes 

of the SwapClear Contract Terms.

1

 While the SwapClear Service is generally closed on Good Friday, the Clearing House may, by prior written 

notice to SCMs, open the SwapClear Service on such day, in which case it will be a business day. 

2

 However, the Clearing House will continue to accept Necessary Consents until one minute after closure of the 

SwapClear Service.

3

 The SwapClear Service may, in the Clearing House’s absolute discretion, be operational beginning (a) 090:00 

London (Sydney time) on a business day following a day that is not a business day, that is a Monday, or (b)

024:00 (London time) on a business day that is not a Monday.
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(o) The failure of an SCM to satisfy any call for Collateral in respect of 

utilised SwapClear Tolerance may give rise to a Default by such SCM.

Standing Order Amount

(p) An SCM may elect to maintain a minimum level of Client Excess, in 

respect of its Primary Client Account, or House Excess at the start ofon 

each a business day (each such amount, a “Standing Order Amount”). 

The Clearing House may approve such election in its sole discretion. 

Upon the effectiveness of such election, if, at the time on end of a 

business day, which time is as determined by the Clearing House, the 

amount of the SCM’s Client Excess, in respect of its Primary Client 

Account, or House Excess is less than the applicable Standing Order 

Amount, the Clearing House will call the SCM for an amount of cash 

Collateral equal to the difference. Any amount so called and received by 

the Clearing House pursuant to this section shall constitute Collateral, in 

respect of the SCM’s Primary Client Account, or Collateral, in respect 

of the SCM’s Proprietary Account, as applicable, of the SCM.

(q) The form and manner of an election by an SCM pursuant to paragraph 

(p) above shall be determined by the Clearing House in its sole discretion 

(a “Standing Order Request”). In the event an SCM wishes to rescind 

or modify its Standing Order Request, it must contact the Clearing 

House’s Client Services Department (ratesclientservices@lch.com). The 

Clearing House may reduce the Standing Order Amount or terminate a 

Standing Order Request in its sole discretion.

(r) Through submitting a Standing Order Request, an SCM warrants that the 

individual making the request on behalf of the SCM is appropriately 

authorised to do so.

1.3.4 Approved Trade Source Systems and Trading Venues

(a) Approved Trade Source Systems

Application for approved trade source system status shall be made in accordance 

with the policies published from time to time on the Clearing House's website. 

A list of Approved Trade Source Systems currently approved by the Clearing 

House is available on the Clearing House's website. Where the Clearing House 

approves additional Approved Trade Source Systems, it will notify SwapClear 

Clearing Members via a member circular.

SwapClear Transactions presented through an Approved Trade Source System 

must be in an acceptable message format, as prescribed by the Clearing House.

Notwithstanding the designation by the Clearing House of any system as an

Approved Trade Source System, 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 SwapClear Transaction details 

by that Approved Trade Source System to the Clearing House. Such matters 
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The Clearing House provides access to Approved Trade Source Systems and 

Trading Venues on an open and non-discriminatory basis.

1.3.6 Backloading of Existing Trades

A SwapClear Transaction that has a Trade Date of greater than ten calendar 

days prior to the date of presentation of such SwapClear Transaction to the 

Clearing House for clearing is considered a backloaded trade by the Clearing 

House (a "Backloaded Trade"). Due to the nature of Backloaded Trades, 

SwapClear Clearing Members should note that a relatively large amount of 

Collateral is required to register such trades. The Clearing House provides the 

facility for SwapClear Clearing Members to load such eligible existing 

SwapClear Transactions, through an Approved Trade Source System. Where 

the Clearing House approves additional Approved Trade Source Systems for 

these purposes, it will notify SwapClear Clearing Members via a member 

circular. Backloading requires bilateral agreement between the relevant 

Executing Parties and acceptance by the SwapClear Clearing Member(s) or the 

SwapClear Clearing Member and the FCM Clearing Member (as the case may 

be) of the full particulars required by the Clearing House for each such 

SwapClear Transaction.

At least once every Business Day, the Clearing House will carry out a process 

(each a "Backload Registration Cycle") for the registration of Backloaded 

Trades which have been presented for clearing or with respect to which the 

Clearing House has received one or more Necessary Consents, if any. Following 

each Backload Registration Cycle, the Clearing House will calculate the 

increase in Collateral required to register the Backloaded Trade(s) and will 

notify each relevant SwapClear Clearing Member (the "Backload Margin 

Call"). 

The Backload Margin Call will be for the entire amount of additional Collateral 

required in connection with the Backloaded Trade(s), and the Backload Margin 

Call cannot be satisfied by and will not take into account SwapClear Tolerance 

(i.e. SwapClear Tolerance is not available for this purpose) or any available 

Client Buffer (other than that which has been expressly allocated for that 

purpose, as described in the paragraph below). In connection with a Backload 

Margin Call, following the time that a SwapClear Clearing Member is required 

to deliver to the Clearing House the Collateral associated with such Backload 

Margin Call (the "Backload Margin Call Deadline"), the Clearing House will 

issue such SwapClear Clearing Member with a subsequent margin call to 

deliver Collateral in respect of any increase in SwapClear Tolerance utilisation 

as of the time of the Backload Margin Call Deadline (if any).

Where an individual SwapClear Clearing Member determines that the 

Backloaded Trade(s) that it is submitting for registration will lead to an 

aggregate change (be it either an increase or decrease) in the net present value 

of its portfolio of SwapClear Contracts in excess of a threshold amount (the 

"Individual Backload Value Threshold") as published by the Clearing House 

from time to time, it shall notify the Clearing House before the end of on the 

bBusiness dDay preceding the relevant Backload Registration Cycle. In the 

event thatIf the Clearing House does not receive such notification and the 
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change in net present value of the SwapClear Clearing Member’s portfolio of 

SwapClear Contracts is in excess of the Individual Backload Value Threshold 

the Clearing House may, in its sole discretion, exclude that SwapClear Clearing 

Member from the Backload Registration Cycle or postpone or cancel the entire 

Backload Registration Cycle.

Where a SwapClear Clearing Member notifies the Clearing House of a change 

in net present value in excess of the Individual Backload Value Threshold, the 

Clearing House shall inform the SwapClear Clearing Member whether it will 

be required to pre-fund the Backload Margin Call and, if so, how Collateral 

should be delivered such that it will be made available for a Backload 

Registration Cycle.

In the event that the aggregate Backload Margin Call required from all 

SwapClear Clearing Members participating in a Backload Registration Cycle is 

in excess of a pre-determined threshold amount (the "Aggregate Backload 

Margin Threshold") as published by the Clearing House from time to time, the 

Clearing House may postpone or cancel the relevant Backload Registration 

Cycle.

Where the Clearing House postpones or cancels a Backload Registration Cycle 

it shall notify those SwapClear Clearing Members that were intending to 

participate in the Backload Registration Cycle.

Backloaded Trades received by the Clearing House in advance of a Backload 

Registration Cycle will be ‘parked’ until the next Backload Registration Cycle 

(whether that Backload Registration Cycle is on the same Business Day or the 

following Business Day).

In order for the registration of the Backloaded Trades included in a Backload 

Registration Cycle to complete, each SwapClear Clearing Member (and each 

FCM Clearing Member, if applicable) which is party to a Backloaded Trade 

within that Backload Registration Cycle must provide sufficient Collateral as 

required to the Clearing House in advance.

A Backloaded Trade which has been presented for clearing (or with respect to 

which the Clearing House has received the one or more Necessary Consents, if 

any) shall be deemed to have been submitted by the SwapClear Clearing 

Member(s) or the SwapClear Clearing Member and the FCM Clearing Member 

(as the case may be) for registration by the Clearing House at such time that the 

Clearing House determines that sufficient Collateral has been provided to 

register that Backloaded Trade. 

For any SwapClear Transaction which is a Backloaded Trade, where one leg is 

to be registered as an FCM SwapClear Contract, the FCM Rulebook will apply 

with respect to such registration of an FCM SwapClear Contract.

The Clearing House shall publish the following via member circular: 

(i) times of Backload Registration Cycles;
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TWD 8:20, 13:15 and 19:05

USD

LIBOR; SOFR & OIS

20:00

ZAR 16:30

EURO

OIS

18:00

GBP

OIS

18:00

Zero coupon yield curves used for daily marking to market or settlement-tomarket (as applicable) will be published on the Clearing House's member 

reporting website at intervals during the day as the prices and rates are 

captureddetermined by the Clearing House.

1.7.3 Net Present Value and Cumulative Net Present Value

The Clearing House will calculate the net present value ("NPV") of each 

eligible SwapClear Contract using the Clearing House's zero coupon yield 

curves.

On the basis of, amongst other things, the net present value so calculated in 

relation to a relevant SwapClear Contract, the Clearing House shall calculate 

the Cumulative Net Present Value of that SwapClear Contract.

It is a condition of registration that sufficient Collateral, as determined by the 

Clearing House, is held with the Clearing House to cover the variation margin, 

initial margin and/or NPV Payment obligations (as applicable) in respect of 

each SwapClear Transaction (taking into account, for these purposes, any 

SwapClear Tolerance, if any), except that such Collateral shall not be required 

to be provided prior to registration as a condition thereto if such SwapClear 

Transaction is a Sub-Block Trading Venue Transaction.

1.7.4 Price Alignment Interest

The transfer of Collateral in respect of variation margin on a daily basis without 

adjustment would distort the pricing for SwapClear Transactions cleared 

through the Clearing House. In order to minimise the impact of variation 

margin, the Clearing House will for each SCM either charge interest on 

cumulative amounts received by the SCM in respect of variation margin

obligations, or pay interest on cumulative amounts paid by the SCM in respect 

of variation margin obligations. In a negative interest rate environment where

the applicable PAI Rate is negative, the Clearing House will for each SCM 

either pay interest on cumulative amounts received by the SCM in respect of 
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right at its discretion to vary the rates for the whole market or for a specific 

SCM's Proprietary Account and/or Client Accounts.

1.9.2 Counterparty Risk Multiplier

The Clearing House reserves the right to require additional amounts of 

Collateral from a specific SCM or from all SCMs in accordance with Regulation 

20 (Margin and Collateral).

1.9.3 Liquidity Multiplier

Risk Management apply a liquidity multiplier based on scenario values

exceeding certain thresholds on the SCM's whole portfolio and individual 

currencies. The threshold amounts and multipliers are reviewed on an ongoing 

basis. 

1.9.4 Intra-day Margin Calls

In accordance with the Regulations, the Clearing House is entitled, where 

considered necessary, to demand that a Clearing Member transfer additional 

Collateral to the Clearing House the same day (intra-day margin calls). Intraday margin calls can be made at any time (between 08:30 and 21:00 (London 

time) onthroughout the a business day). Intra-day margin calls will usually be 

made via the protected payments system (see Section 1.11).

In certain circumstances the Clearing House may require a Clearing Member to 

transfer additional cash Collateral to the Clearing House after the closure of 

London PPS facilities at 16:00 hours London time. In this event the Clearing 

House will require payment of additional cash Collateral through PPS facilities 

in the USA (see Section 1.3 of Procedure 3 (Financial Transactions)). 

Members must ensure, in these circumstances, that they are in a position 

to comply with such demands through their nominated US PPS account 

within one hour of the demand.

1.9.5 Calculation of Initial Margin

Portfolio Approach to Interest Rate Scenarios (PAIRS)

PAIRS is a historical model which takes historical events that occurred within 

the look-back period and from these calculates initial margin in line with the 

Clearing House’s risk policies (which also take into account regulatory 

requirements). All positions in each currency are revalued under a series 

of scaled historical market moves and initial margin is calculated as the 

Expected Shortfall (ES) of the portfolio. Further details of this method are 

available upon request and are detailed in the PAIRS TIP document. The 

PAIRS document and further information relating to initial margin calculations 

can be obtained from SwapClear Risk on +44 (0)20 7 426 7549.

1.9.6 Default Fund Additional Margin

The Clearing House may from time to time require an SCM to transfer Collateral 

to the Clearing House to meet the default fund additional margin requirement as 
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the Member Compression Cycle as set forth in Regulation 56 in its sole and absolute 

discretion.

SwapClear Clearing Members should contact swapclear.clientservices@lch.com for 

further information.

1.18 Amendment of Trade References

A SwapClear Clearing Member may wish to change its own trade references 

numbers/codes by which it identifies trades registered in the SwapClear Service. 

Subject to that SwapClear Clearing Member meeting all the Clearing House's 

requirements and these Procedures (including those set forth in Section 1.19), the 

Clearing House will, as part of its service to SwapClear Clearing Members, amend its 

records in order to reflect this change. Such change has no effect whatsoever on the 

terms of any registered SwapClear Contract or any other obligations of the SCMs party 

to those contracts.

1.19 Trade Reference Amendment Request Form

SwapClear Clearing Members may submit a request to the Clearing House to amend a 

trade reference (either on behalf of the given SwapClear Clearing Member or a Clearing 

Client) (a “Trade Amendment Request”). Trade Amendment Requests must be 

submitted in the form and manner prescribed by the Clearing House from time to time, 

and may be approved by the Clearing House in its sole discretion. Upon approval by 

the Clearing House, Trade Amendment Requests will typically be processed within two 

business days. In the event the Clearing House is unable, or determines it will be unable, 

to process an approved Trade Amendment Request within two business days, it shall 

attempt to notify the given SwapClear Clearing Member as soon as reasonably 

practicable.

1.19.1 Processing

The Clearing House shall reject a Trade Amendment Request in the event that:

(a) it is not made in accordance with these Procedures;

(b) any trade reference submitted in the Trade Amendment Request does 

not (i) match the SwapClear Clearing Member’s trade reference in the 

Clearing House’s books and records or (ii) refer to a trade registered in 

the SwapClear clearing system;

(c) any trade reference submitted in the Trade Amendment Request is not 

recorded by the Clearing House against the BIC code of the SwapClear 

Clearing Member requesting the amendment; or

(d) it determines it advisable, in its sole discretion, for risk, legal, technical, 

cost or similar considerations.

Upon processing a Trade Amendment Request, the Clearing House will notify 

the given SwapClear Clearing Member and will produce a report setting out 

details of the time and date that it has amended its records in accordance with 

the request, details of the old and new SwapClear Clearing Member trade 
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references and the status of the amendment in respect of each trade set out in 

the Trade Reference Amendment Request. All records of the Clearing House

and data held in the SwapClear clearing system will then be updated overnight 

following the close of the given business day.

1.20 Custodial Segregated Accounts

A Custodial Segregated Account allows a Custodial Segregated Client to provide 

Collateral directly to the Clearing House to meet certain obligations of the relevant 

SwapClear Clearing Member, in respect of such Custodial Segregated Account, in 

accordance with the terms of the relevant Collateral Management Agreement and Client 

Charge. 

A SwapClear Clearing Member may request that the Clearing House opens a Custodial 

Segregated Account in respect of a Clearing Client and must execute, and procure that 

the Clearing Client executes, such documentation as the Clearing House specifies.

1.21 SwapClear STM Contracts and SwapClear CTM Contracts – Elections and 

Conversions

If a SwapClear Clearing Member wishes to make an election pursuant to Regulation 

55(c) or a conversion pursuant to Regulation 57A(n) it must complete and deliver to 

the Clearing House such documentation as the Clearing House shall make available for 

such purposes from time to time. A SwapClear Clearing Member wishing to make such 

an election or conversion should contact swapclearclientservices@lch.com. SwapClear 

Clearing Members agree that Clearing Clients (including FCM Clients) may submit an 

election pursuant to Regulation 55(c) or conversion pursuant to Regulation 57A(n) on 

their behalf via the SwapClear Portal.

1.22 SwapClear Client Clearing

As part of the SwapClear Service, a SwapClear Clearing Member is able to provide 

certain clearing services to SwapClear Clearing Clients.

1.22.1 Security Deed

Unless specified otherwise by the Clearing House, a SwapClear Clearing 

Member must enter into a Security Deed in respect of its Clearing Clients in 

relation to amounts due to it from the Clearing House pursuant to the Client 

Clearing Annex. Further information in relation to such Security Deed is 

prescribed by the Clearing House from time to time and published on the 

Clearing House's website.

1.22.2 Prescribed Language

Pursuant to the Clearing House's Regulations, each SwapClear Clearing 

Member is required to ensure that it includes certain language in its agreement 

with its SwapClear Clearing Client (the "Clearing House Prescribed 

Language"). The Clearing House Prescribed Language is shown at Schedule 1 

of Section 1 of the Procedures.
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Where an SCM successfully appoints an LCH Approved Outsourcing Agent, 

that SCMs may be subject to increased Collateral requirements to cater for the 

additional time required to invoke an outsourcing process in the event of a 

default.

SCMs should note that LCH Approved Outsourcing Agents may be subject to 

a more rigorous driving test and fire-drill than SCMs (i.e. required to 

demonstrate an ability to price and bid a greater number of trades at tighter 

pricing tolerances and within more onerous timeframes). In addition, the 

Clearing House may require an SCM that has appointed an LCH Approved 

Outsourcing Agent, to participate in an ad-hoc fire-drill or driving test with such 

notice as the Clearing House deems appropriate in its sole discretion.

The Clearing House reserves the right to revoke an entity's status as an LCH 

Approved Outsourcing Agent, in its sole discretion and without notice. In the 

event of such a revocation, the relevant SCM shall be required to assume those 

responsibilities that were previously outsourced. Such revocation may occur 

where the Clearing House considers that there is an insufficient number of third 

party entities that are providing outsourced default management services 

(usually a minimum of five providers at any one time).

Other than in exceptional circumstances and in the Clearing House's sole 

discretion, an LCH Approved Outsourcing Agent may not act on behalf of more 

than three clearing members.

The appointment of an LCH Approved Outsourcing Agent does not relieve a 

SwapClear Clearing Member of its obligations in relation to a Rates Service 

DMP (including its obligation to participate in an Auction) and an LCH 

Approved Outsourcing Agent's participation in the Rates Service DMP on 

behalf of an SCM, in the event of a default, shall not extend beyond the 

provision of operational and other ancillary support to that SCM.

1.28.8 Rates Service DMG

The necessary involvement of SCMs and the Rates Service DMG in the Rates 

Service DMP entails the assessment and dissemination of information that could 

give rise to conflicts of interest. To ensure that such potential conflicts are 

demonstrably contained, Schedule 1 establishes binding obligations of 

confidentiality, anonymity and the extent of dissemination of information on 

SCMs (and their executives or directors who participate from time to time in 

the Rates Service DMG) and on the Clearing House.

Each SCM who makes available a representative to serve on the Rates Service 

DMG agrees, and shall procure that, to the extent applicable, its representatives 

agree to be bound by and to ensure that it and any of its executives or directors 

serving on the Rates Service DMG complies with Schedule 1 covering 

confidentiality, non-disclosure and other terms.

1.28.9 Default Management Accounts
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(a) For the purposes of this Section 1.28.9, the following definitions will 

apply: 

“Affected Non-Porting Client Account” means, in respect of an Initial 

DMA or a Final DMA (as applicable) and the Rates Service Contracts 

that (at any time) comprise such Initial DMA or Final DMA (as 

applicable), each Non-Porting Client Account from which any such 

Rates Service Contract originated. 

“Auction” has the meaning assigned to it in the Rates Service DMP 

Annex. 

“Auction Date” means, in respect of an Auction Portfolio, the business 

day on which such Auction Portfolio is sold. 

“Auction Result” means, in respect of an Auction Portfolio, the amount 

equal to: 

(i) the gains or losses of the Clearing House arising from the sale of 

such Auction Portfolio, where a gain is a positive amount and a 

loss is a negative amount; 

(ii) plus the Auction Portfolio NPV Gain for such Auction Portfolio 

(if any); 

(iii) minus the Auction Portfolio NPV Loss for such Auction 

Portfolio (if any). 

“Auction Portfolio” means a Basis Portfolio or an OTC Auction 

Portfolio, as applicable. 

“Auction Portfolio Calculation Period” means, in respect of an 

Auction Portfolio and its Auction Date, the period commencing 

immediately after the Daily Calculation Period for the business day 

preceding such Auction Date and ending at the point at which such 

Auction Portfolio is sold.

“Auction Portfolio NPV Change” means, in respect of an Auction 

Portfolio and its Auction Portfolio Calculation Period, the amount (if 

any) by which the aggregate net present value of the Rates Service

Contracts within such Auction Portfolio has changed during such 

Auction Portfolio Calculation Period, and 

(i) where such change is in favour of the Defaulter, is the “Auction 

Portfolio NPV Gain”; and 

(ii) where such change is in favour of the Clearing House, is the 

“Auction Portfolio NPV Loss”. 

“Basis Portfolio” has the meaning assigned to it in the Rates Service 

DMP Annex. 
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“Daily Amount” means, in respect of a DMA and a Daily Calculation 

Period, the Daily Gain or Daily Loss for such DMA and Daily 

Calculation Period. 

“Daily Calculation Period” means, in respect of a business day, the 

period, in respect of which the Clearing House determines the end of 

day margin and settlement payments for Rates Service Contracts for 

such business day. 

“Daily Gain” means, in respect of a DMA and a Daily Calculation 

Period, the amount (if any) by which the Daily NPV Gain exceeds the 

Daily Hedge Costs (in each case) for such DMA and Daily Calculation 

Period. 

“Daily Hedge Costs” means, in respect of a DMA and a Daily 

Calculation Period, all costs incurred by the Clearing House in 

connection with hedging the exposure of one or more Rates Service 

Contracts within such DMA in accordance with the Risk Neutralisation 

process under Rule 2.2 of the Rates Service DMP Annex. 

“Daily Loss” means, in respect of a DMA and a Daily Calculation 

Period, either: (i) where the DMA experiences a Daily NPV Loss in 

respect of such Daily Calculation Period, the aggregate of such Daily 

NPV Loss and the Daily Hedge Costs for such DMA and Daily 

Calculation Period; or (ii) where the DMA experiences a Daily NPV 

Gain in respect of such Daily Calculation Period, the amount by which 

the Daily Hedge Costs for such DMA and Daily Calculation Period 

exceed such Daily NPV Gain. 

“Daily NPV Change” means, in respect of a DMA and a Daily 

Calculation Period, the amount (if any) by which the aggregate net 

present value of the Remaining Contracts within such DMA has changed 

during such Daily Calculation Period, and:

(i) where such change is in favour of the Defaulter, is the “Daily 

NPV Gain”; and 

(ii) where such change is in favour of the Clearing House, is the 

“Daily NPV Loss”. 

“DMA” means an Initial DMA or a Merged DMA, as applicable. 

“DMA Creation Date” means, in respect of an Initial DMA, the 

business day on which such Initial DMA is established by the Clearing 

House. 

“DMA Merger Date” means, in respect of a Merged DMA, the business 

day on which two or more DMAs are combined to form such Merged 

DMA. 
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“Final DMA” means, in respect of an Auction Portfolio that is auctioned 

and sold, the most recently established DMA from which such Auction 

Portfolio was formed. 

“Initial DMA” means a default management account established by the 

Clearing House, acting in its sole discretion, to which one or more Sets 

of Non-Porting Contracts are transferred (by book-entry) on the DMA 

Creation Date for such default management account. 

“Latest DMA” means, in respect of a Daily Calculation Period, a DMA 

that exists at the end of such Daily Calculation Period, but which has not 

itself been combined with another DMA to form a separate Merged 

DMA. 

“Merged DMA” means a default management account established by 

the Clearing House, acting in its sole discretion, which results from the 

combination of two or more DMAs. 

“Non-Porting Client Account” means, in respect of a Defaulter, the 

Individual Segregated Account, Custodial Segregated Account, 

Omnibus Gross Segregated Sub-Account, Indirect Net Account, Indirect 

Gross Sub-Account, Non-Identified Client Omnibus Net Segregated 

Account, Affiliated Client Omnibus Net Segregated Account, Identified 

Client Omnibus Net Segregated Account or FCM Client Sub-Account 

(as applicable) of such Defaulter, to which the Rates Service Contracts 

that the Clearing House has determined will not be ported in accordance 

with the Client Clearing Annex or the FCM Rulebook are, or were, 

registered at the point of the Default of the Defaulter. 

“OTC Auction Portfolio” has the meaning assigned to it in the Rates 

Service DMP Annex. 

“Pre-Default TMR” means, in respect of an Affected Non-Porting 

Client Account of a Defaulter, the TMR for such Affected Non-Porting

Client Account as at the time on end of day margin and settlement call 

for the business day before the day of Default of such Defaulter, which 

time is as determined by the Clearing House. 

“Pre-Default TMR Ratio” means 

(i) in respect of an Initial DMA and an Affected Non-Porting Client 

Account referable to it, the ratio that the Pre-Default TMR of 

such Affected Non-Porting Client Account bears to the 

aggregate Pre-Default TMR of all Affected Non-Porting Client 

Accounts referable to such Initial DMA; or 

(ii) in respect of a Final DMA and an Affected Non-Porting Client 

Account referable to it, the ratio that the Pre-Default TMR of 

such Affected Non-Porting Client Account bears to the 

aggregate Pre-Default TMR of all Affected Non-Porting Client 

Accounts referable to such Final DMA. 
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“Pre-Merger TMR” means, in respect of a DMA that was combined 

with one or more other DMA(s) to form a Merged DMA, the TMR for 

such DMA as at the time on end of day margin and settlement call for 

the business day before the DMA Merger Date of such Merged DMA, 

which time is as determined by the Clearing House. 

“Pre-Merger TMR Ratio” means, in respect of a DMA that was 

combined with one or more other DMA(s) to form a Merged DMA, the 

ratio that such DMA’s Pre-Merger TMR bears to the aggregate PreMerger TMR of all DMAs that were combined to form such Merged 

DMA. 

“Prior Merged DMA” means, in respect of a Merged DMA, an existing 

Merged DMA that has been combined with one or more other DMA(s) 

to form such Merged DMA. 

“Remaining Contracts” means, in respect of a DMA and a Daily 

Calculation Period, all of the Rates Service Contracts within such DMA 

during such Daily Calculation Period, excluding those Rates Service 

Contracts that the Clearing House has auctioned and sold at any point 

within such Daily Calculation Period. 

“Set of Non-Porting Contracts” means, in respect of a Non-Porting 

Client Account, the Rates Service Contracts that are transferred by the 

Clearing House from such Non-Porting Client Account to an Initial 

DMA. 

“TMR” means (i) in respect of an Affected Non-Porting Client Account, 

the total margin requirement as determined by the Clearing House for 

such Affected Non-Porting Client Account, or (ii) in respect of a DMA, 

the total margin requirement as determined by the Clearing House for 

such DMA, in each case excluding: (x) variation margin; (y) Stress Loss 

Margin as defined in Section 1.9.7 above; and (z) counterparty risk 

multiplier margin as described in Section 1.9.2 above.

(b) Initial DMAs 

(i) After a Default, the Clearing House may, in its sole discretion: 

(A) determine that the Rates Service Contracts registered to 

a Non-Porting Client Account will not port in accordance 

with the Client Clearing Annex or the FCM Rulebook (as 

applicable); and 

(B) transfer the resulting Set of Non-Porting Contracts in 

respect of such Non-Porting Client Account to an Initial 

DMA on the business day on which the Clearing House 

makes such determination. 
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(ii) The Clearing House may in its sole discretion create more than 

one Initial DMA for the purposes of subparagraph (i)(B) above 

on the same business day. 

(iii) No Contracts other than Rates Service Contracts will be 

transferred into an Initial DMA. 

(iv) Any outstanding and owing, but unsettled, variation margin or 

settlement amounts in respect of Rates Service Contracts as at 

the end of the Daily Calculation Period for the business day prior 

to the transfer of such Rates Service Contracts in accordance 

with subparagraph (i) above shall be discharged by the Clearing 

House debiting or crediting (as applicable) the Non-Porting 

Client Account from which such Rates Service Contracts were 

transferred. 

(c) Merged DMAs 

(i) On any business day following the creation of two or more Initial 

DMAs pursuant to paragraph (b) above, the Clearing House may 

create a Merged DMA by combining: 

(A) multiple Initial DMAs; 

(B) one or more Initial DMAs and one or more Prior Merged 

DMAs; or 

(C) multiple Prior Merged DMAs. 

(ii) The Clearing House may in its sole discretion create more than 

one Merged DMA on the same business day. 

(d) Auctions 

(i) The Clearing House shall conduct Auctions in respect of Auction 

Portfolios referable to DMAs in accordance with the provisions 

of the Rates Service DMP Annex.

(ii) More than one Auction Portfolio may be referable to a single 

DMA, in which case: 

(A) the Clearing House will conduct one or more Auctions of 

each Auction Portfolio referable to such DMA; and 

(B) on and from the date of the first Auction in respect of the 

DMA, the Clearing House may no longer combine such 

DMA into a Merged DMA. 

(iii) Following the sale of an Auction Portfolio, the Rates Service 

Contacts within such Auction Portfolio shall no longer form part 

of the DMA from which the Auction Portfolio was created. 
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(e) Attribution of Daily Amounts 

(i) The Clearing House shall, following each Daily Calculation 

Period, determine the Daily Amount for each Latest DMA in 

respect of such Daily Calculation Period. 

(ii) The Clearing House shall attribute the Daily Amount of a Latest 

DMA that is: 

(A) an Initial DMA, to each Affected Non-Porting Client 

Account referable to such Initial DMA, pro rata 

according to the Pre-Default TMR Ratio of each such 

Affected Non-Porting Client Account; and 

(B) a Merged DMA, to each DMA that was combined to 

form such Merged DMA, pro rata according to the PreMerger TMR Ratio of each such DMA (where the 

amount attributed to each such DMA is an “Interim 

Amount”). 

(iii) If the Clearing House attributes an Interim Amount to a DMA 

under subparagraph (ii)(B) above, then it will further attribute 

such Interim Amount as follows: 

(A) Where the DMA to which the Interim Amount was 

attributed is an Initial DMA, the Clearing House will 

further attribute such amount to each Affected NonPorting Client Account referable to such Initial DMA, 

pro rata according to the Pre-Default TMR Ratio of each 

such Affected Non-Porting Client Account; and 

(B) Where the DMA to which the Interim Amount was 

attributed is a Merged DMA, the Clearing House will 

further attribute such amount to each DMA that was 

combined to form such Merged DMA, pro rata according 

to the Pre-Merger TMR Ratio of each such DMA.

(iv) If the Clearing House attributes an amount to a DMA under 

subparagraph (iii)(B) above, then it will further attribute such 

amount according to the method specified in subparagraph (iii) 

(treating such amount as an Interim Amount for the purposes of 

subparagraph (iii)) until all amounts are attributed to NonPorting Client Accounts. 

(f) Attribution of Auction Results 

The Clearing House shall attribute the Auction Result, in respect of the 

sale of an Auction Portfolio, to each Affected Non-Porting Client 

Account referable to the Final DMA from which such Auction Portfolio 

was formed, pro rata according to the Pre-Default TMR Ratio of each 

such Affected Non-Porting Client Account. 
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SCHEDULE 2 RATE CHANGE ANNEXES

SWAPCLEAR SCM SERVICE - RATE CHANGE ANNEX – SECURED 

OVERNIGHT FINANCING RATE (SOFR)

1. SCOPE AND INTERPRETATION

(a) This Annex constitutes a “Rate Change Annex” as defined in and pursuant to the

Regulations and supplements and forms part of the Rulebook.

(b) This Annex relates to the change in the rate from the Fed Funds Rate to the Secured 

Overnight Financing Rate provided by the Federal Reserve Bank of New York, as 

administrator (or a successor administrator) (SOFR) for the purposes of (i) calculating 

PAI, (ii) calculating the Price Alignment Amount, and (iii) constituting the relevant 

underlying benchmark for the instruments used to construct the Clearing House’s zero 

coupon yield curves under 1.7.2 of Section 2C of the Procedures to calculate the net 

present value, each in relation to the Impacted SwapClear Contracts.

(c) The terms of this Annex shall apply to all Impacted SwapClear Contracts (as set-out in 

the Rate Change Notice relating to SOFR) that are registered with the Clearing House 

as set out below. For the avoidance of doubt, (i) no other SwapClear Contract shall be 

subject to, or affected by, the terms of this Annex and each SwapClear Contract shall 

remain in full force and effect, and (ii) the SwapClear Contract Terms shall not be 

amended by the terms of this Annex.

(d) Capitalized terms used but not otherwise defined in this Annex have the meaning given 

to them in the Regulations. The term "business day" has the meaning given to it in the 

Regulations.

(e) The terms of this Annex relating to operational or procedural matters may be 

supplemented, modified, amended, replaced or withdrawn from time to time by the 

Clearing House in its sole discretion through a member circular or such other method 

as the Clearing House shall determine is appropriate.

2. DEFINITIONS

For the purposes of this Annex:

Auction Adjustment per Unit means, in relation to a Maturity Bucket, an amount in USD 

equal to (i) the aggregate of all Auction Winner Amounts for that Maturity Bucket divided by 

(ii) the total notional amount of Discounting Risk Swaps in that Maturity Bucket which have 

been liquidated pursuant to the Cash Settlement Schedule.

Auction Date means, in relation to a Rate Change Notice relating to SOFR, the date specified 

as such by the Clearing House in such Rate Change Notice, being the date on which the auctions 

referred to herein and the Cash Settlement Supplement shall be held and certain amounts 

payable hereunder shall be calculated.

Auction Winner means, in relation to the Net Auction Contract Pair in respect of a Maturity 

Bucket, each Cash Settlement Participant (as defined in the Cash Settlement Schedule) that has 

submitted the winning price for such Net Auction Contract Pair, as determined by the Clearing 

House in accordance with the Cash Settlement Supplement.
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Auction Winner Amount means, in relation to the Net Auction Contract Pair for a Maturity 

Bucket and an Auction Winner, an amount in USD equal to the product of: (i) that Auction 

Winner's Winning Bid Quantity; (ii) the difference between that Auction Winner's Winning 

Bid Price and the Mid-Price; and (iii) the SOFR Basis Point Cash Value per Million, each for 

that Maturity Bucket. If the Auction Winner’s Winning Bid Price is a price that by reference 

to the Mid-Price is (a) in favor of the Clearing House, the Auction Winner Amount shall be a 

negative amount or (b) in favor of the Auction Winner, the Auction Winner Amount shall be a 

positive amount.

Cash Compensation Contract means each contract determined by the Clearing House and 

registered in the relevant Proprietary Account, Individual Segregated Account or "position 

account" within an Omnibus Segregated Account pursuant to Section 8 below.

Cash Only Client means a SwapClear Clearing Client that has its positions recorded in a Cash 

Only Client Position Account.

Cash Only Client Position Account means: 

(i) each Individual Segregated Account registered in the name of a SwapClear Clearing Client 

that is identified as a Cash Only Client Position Account in a Cash Only Election Notice; and

(ii) each "position account" within an Omnibus Segregated Account that is identified as a Cash 

Only Client Position Account in a Cash Only Election Notice, provided that, each "position 

account" in a net Omnibus Segregated Account shall be a Cash Only Client Position Account 

if the Clearing House has received a Cash Only Election Notice in relation to at least one 

“position account” in such net Omnibus Segregated Account. The phrase Omnibus Segregated 

Account includes both a "net" Omnibus Segregated Account and a "gross" Omnibus 

Segregated Account.

Cash Only Client Position Account Auction Adjustment means, in relation to a Cash Only 

Client Position Account and a Maturity Bucket, an amount in USD in favor of the Clearing 

House or a SwapClear Clearing Member (as applicable) equal to the product of (i) the notional 

amount of Discounting Risk Swaps for that Maturity Bucket that would, but for the delivery of 

the Cash Only Election Notice, have been registered in that Cash Only Client Position Account 

and which have been liquidated pursuant to the Cash Settlement Schedule, and (ii) the Auction 

Adjustment per Unit for that Maturity Bucket. 

Cash Only Election Cut-Off Date is the date specified as such by the Clearing House in a 

Rate Change Notice relating to SOFR, being the date by which SwapClear Clearing Members 

must deliver any Cash Only Election Notices to the Clearing House.

Cash Only Election Notice means a written notice delivered by a SwapClear Clearing Member 

to the Clearing House in accordance with this Annex identifying each Individual Segregated 

Account and/or each "position account" within each Omnibus Segregated Account held by that 

SwapClear Clearing Member in respect of which there has been an election to be treated as a 

Cash Only Client Position Account(s) in accordance with Section 4 of this Annex. 

Cash Settlement Schedule means the schedule hereto which sets out the terms on which the 

Clearing House shall conduct one or more auctions for purposes of determining certain 

amounts, curves and spreads and related information relevant to this Annex, as supplemented 
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by any Cash Settlement Supplement published by the Clearing House from time to time. The 

Cash Settlement Schedule supplements, and forms part of, this Annex.

Cash Settlement Supplement means any document identified as such by the Clearing House 

which supplements and forms part of the Cash Settlement Schedule and sets out further terms 

in relation to the auctions. 

Cash Valuation Change Amount (MXN) means each amount denominated in MXN and 

determined in accordance with Section 7.5 of this Annex.

Cash Valuation Change Amount (USD) means each amount denominated in USD and 

determined in accordance with Section 7.1, Section 7.2 or Section 7.3 of this Annex. 

De Minimis Participant Account means, in relation to a Maturity Bucket, any Proprietary 

Account, Individual Segregated Account, or "position account" within an Omnibus Segregated 

Account that, as of the Swap Portfolio Calculation Date, would have an allocation of 

Discounting Risk Swaps in a given Maturity Bucket with a notional amount that is closer to 

zero than to the integral number set out in the table in paragraph 5.1(c) in relation to that 

Maturity Bucket.

Discounting Risk Auction has the meaning given to it in the Cash Settlement Schedule.

Discounting Risk Swaps means the SwapClear Contracts determined, identified and notified 

by the Clearing House in accordance with Section 5 this Annex and entered into and registered 

between the Clearing House and a SwapClear Clearing Member pursuant to Regulation 60B.

FedFunds Discounted Value means, in relation to an Impacted SwapClear Contract, the net 

present value, as of the time end of the "business day" in New York on the Auction Date

determined by the Clearing House, of all future cash flows under that Impacted SwapClear 

Contract calculated using the Fed Funds Rate as the discounting rate for the purposes of 

constructing the zero coupon yield curves under 1.7.2 of Section 2C of the Procedures (with 

the future cash flows calculated in the same manner as for the determination of the SOFR 

Discounted Value). If the net present value represents an asset or positive value for the 

Clearing House, such FedFunds Discounted Value shall be a positive amount and if the net 

present value represents a liability or negative value for the Clearing House, such FedFunds 

Discounted Value shall be a negative amount. 

Maturity Bucket means, in relation to the Impacted SwapClear Contracts, Discounting Risk 

Swaps and Net Auction Contract Pairs, a group of such contracts which all have the same 

maturity, being either two years, five years, ten years, fifteen years, twenty years or thirty years 

from the date of registration. 

Mid-Price has, in relation to the Net Auction Contract Pair for a Maturity Bucket, the meaning 

given to it in the Cash Settlement Schedule, and shall be expressed in basis points.

Mid-Price Auction has the meaning given to it in the Cash Settlement Schedule.

MXN Impacted SwapClear Contracts has the meaning given to it in Section 7 of this Annex.

Net Auction Contract Pair has the meaning given to it in the Cash Settlement Schedule.
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SOFR Basis Point Cash Value per Million means, in relation to the Net Auction Contract 

Pair for a Maturity Bucket, an amount in USD equal to the change (expressed as a positive if a 

gain and a negative if a loss) in value of such Net Auction Contract Pair with a notional amount 

of USD one million as a result of adding a one basis point spread to the SOFR leg, as 

determined by the Clearing House in its sole discretion.

SOFR Discounted Value means, in relation to an Impacted SwapClear Contract, the net 

present value, as of the time end of the "business day" in New York on the Auction Date

determined by the Clearing House, of all future cash flows under that Impacted SwapClear 

Contract using the SOFR Discounting Curve for the purposes of such calculation (with the 

future cash flows calculated in the same manner as for the determination of the FedFunds 

Discounted Value). If the net present value represents an asset or positive value for the Clearing 

House, such SOFR Discounted Value shall be a positive amount and if the net present value 

represents a liability or negative value for the Clearing House, such SOFR Discounted Value 

shall be a negative amount.

SOFR Discounting Curve means the SOFR pricing curve constructed by the Clearing House 

in accordance with Section 4 of the Cash Settlement Schedule.

Swap Portfolio Calculation Date means, in relation to a Rate Change Notice relating to 

SOFR, the date specified as such by the Clearing House in such Rate Change Notice relating 

to SOFR, being the date on which the Clearing House shall determine the portfolios of 

Discounting Risk Swaps in relation to all Impacted SwapClear Contracts registered with the 

Clearing House on such date.

Winning Bid Price means, in relation to the Net Auction Contract Pair for a Maturity Bucket 

and an Auction Winner, the price payable to, or by, that Auction Winner to the Clearing House, 

expressed as a positive or negative spread in basis points on the SOFR leg of the Net Auction 

Contract Pair for that Maturity Bucket and determined through a modified Dutch auction as 

further set-out in the Cash Settlement Supplement(s). For the avoidance of doubt: (a) if the 

Clearing House is the receiver of SOFR under the Net Auction Contract Pair, and (1) the spread 

is a positive amount, the Winning Bid Price shall be a positive amount; or (2) the spread is a 

negative amount, the Winning Bid Price shall be a negative amount; and (b) if the Clearing 

House is the receiver of the Fed Funds Rate under the Net Auction Contract Pair, and (1) the 

spread is a positive amount, the Winning Bid Price shall be a negative amount; or (2) the spread 

is a negative amount, the Winning Bid Price shall be a positive amount.

Winning Bid Quantity means, in relation to an Auction Winner and a Net Auction Contract 

Pair for a Maturity Bucket, the notional amount (expressed in units of USD one million) of the 

Discounting Risk Swap related to such Net Auction Contract Pair (or the part thereof) which 

will be determined by the Clearing House pursuant to the Cash Settlement Supplement and 

registered in the Proprietary Account of the Auction Winner.

3. OBLIGATIONS TO MAKE CERTAIN CALCULATIONS AND ENTER INTO 

CERTAIN CONTRACTS

(a) In connection with the change from the Fed Funds Rate to SOFR described in Section 

1(b) above, pursuant to and in accordance with the Clearing House’s powers under 

Regulation 60B of the Regulations, this Annex sets out the method by which the 

Clearing House will:
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Cash Valuation Change Amount (USD), Cash Valuation Change Amount (MXN) 

and Cash Compensation Contracts

(i) for each Proprietary Account, each Individual Segregated Account and each 

"position account" within each Omnibus Segregated Account, calculate the 

following amounts, in each case, if any:

(A) Cash Valuation Change Amount (USD); and

(B) Cash Valuation Change Amount (MXN), 

each of which are “Rate Change Payments” for the purpose of Regulation 60B. 

(ii) determine and register, pursuant to Regulation 60B, certain Cash Compensation 

Contracts in each Proprietary Account, Individual Segregated Account and each 

"position account" within each Omnibus Segregated Account in accordance 

with Section 8 of this Annex in order to effect the payment of each Cash 

Valuation Change Amount (USD), Cash Valuation Change Amount (MXN), 

Cash Only Client Position Auction Adjustment, and Auction Winner Amount, 

in each case, if any;

Discounting Risk Swaps and Auction Winner Amounts

(iii) subject to (b) below, for (x) each Proprietary Account and (y) each Individual 

Segregated Account, and each "position account" within each Omnibus 

Segregated Account which is not a Cash Only Client Position Account, 

determine how certain Discounting Risk Swaps shall be identified in accordance 

with Section 5, registered and entered into between the Clearing House and each 

SwapClear Clearing Member pursuant to Regulation 60B and the terms of those 

Discounting Risk Swaps; 

(iv) subject to (b) below, for each Cash Only Client Position Account, calculate the 

related Cash Only Client Position Account Auction Adjustments (which shall 

also each be a “Rate Change Payment” for the purpose of Regulation 60B); and

(v) for each Auction Winner, calculate the Auction Winner Amount (which shall 

also be a "Rate Change Payment" for the purpose of Regulation 60B).

(b) Any account that is a De Minimis Participant Account in relation to a Maturity Bucket 

shall not have any Discounting Risk Swaps in that Maturity Bucket determined or 

registered in its name and shall not be obliged to pay, or entitled to receive, any Cash 

Only Client Position Account Auction Adjustments. Any Cash Only Election Notice 

received in relation to an Individual Segregated Account or "position account" within 

an Omnibus Segregated Account that is a De Minimis Participant Account as of the 

Auction Date shall be invalid and shall have no effect whatsoever (and, for the 

avoidance of doubt, the Discounting Risk Swaps that would otherwise be registered in 

any De Minimis Participant Account shall not count towards the Net Auction Contract 

Pair for any Maturity Bucket). 
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4. CLEARING MEMBER DEALINGS WITH CLIENTS AND CLIENT CASH 

ONLY ELECTIONS 

Client Cash Only Elections

(a) In relation to its SwapClear Client Clearing Business, a SwapClear Clearing Member 

shall provide each SwapClear Clearing Client with an election not to have Discounting 

Risk Swaps registered on that SwapClear Clearing Client’s behalf in relation to 

Impacted SwapClear Contracts registered in the relevant Individual Segregated 

Account, or "position account" within the relevant Omnibus Segregated Account, and 

instead, subject to Section 4(d) below, to assume a right, or an obligation to pay or be 

paid an amount equal to the Cash Only Client Position Account Auction Adjustment in 

respect of the relevant Individual Segregated Account or "position account", as 

determined pursuant to this Annex (except in the circumstances provided for in the 

Cash Settlement Schedule, where the election not to have Discounting Risk Swaps 

registered may be overridden). 

(b) A SwapClear Clearing Member shall be entitled to deliver Cash Only Election Notices 

to the Clearing House at any time up to, and including, the Cash Only Election Cut-Off 

Date. All Cash Only Election Notices must be delivered to the Clearing House via the 

SwapClear Portal.

(c) No SwapClear Clearing Member shall be entitled to deliver a Cash Only Election 

Notice in respect of its Proprietary Accounts and any such notice shall be invalid and 

shall have no effect whatsoever. 

(d) The Clearing House reserves the right to reject any Cash Only Election Notice received 

by the Clearing House after the time end of the "business day" in New York on the 

Cash Only Election Cut-Off Date determined by the Clearing House. A SwapClear 

Clearing Member shall only be entitled to deliver a Cash Only Election Notice in 

respect of all, but not some only, of the SwapClear Contracts registered in the name of 

a SwapClear Clearing Client in a single Individual Segregated Account or a single 

"position account" within an Omnibus Segregated Account. In relation to an Omnibus 

Segregated Account, the SwapClear Clearing Member shall be entitled to deliver a 

separate Cash Only Election Notice in relation to each "position account" within that 

Omnibus Segregated Account, provided however that, in relation to a net Omnibus 

Account, if the SwapClear Clearing Member has delivered a Cash Only Election Notice 

in respect of any "position account", all "position accounts" therein shall be Cash Only 

Client Position Accounts.

(e) The delivery by a SwapClear Clearing Member of a Cash Only Election Notice shall 

be deemed, as of the time end of the "business day" in New York on the Cash Only 

Election Cut-Off Date determined by the Clearing House, to be an irrevocable 

instruction of that SwapClear Clearing Member (for itself and acting on behalf of the 

relevant SwapClear Clearing Client(s) for whom the Individual Segregated Account or 

any "position account" within an Omnibus Segregated Account which such Cash Only 

Election Notice affects is held) to the Clearing House to determine the Cash Valuation 

Change Amount (USD), the Cash Valuation Change Amount (MXN) and each Cash 

Only Client Position Account Auction Adjustment in accordance with Section 7.3, 

Section 7.4 and Section 7.5 of this Annex and to register the related Cash Compensation 
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Contracts in the relevant Individual Segregated Account or "position account" within 

an Omnibus Segregated Account in accordance with this Annex. 

(f) If a SwapClear Clearing Member does not deliver a Cash Only Election Notice in 

respect of an Individual Segregated Account or "position account" within an Omnibus 

Segregated Account held for a SwapClear Clearing Client then that shall be deemed, 

as of the time end of the "business day" in New York on the Cash Only Election CutOff Date determined by the Clearing House, to be an irrevocable instruction of that 

SwapClear Clearing Member (for itself and acting on behalf of that SwapClear Clearing 

Client) to the Clearing House to (i) determine the Cash Valuation Change Amount 

(USD) and the Cash Valuation Change Amount (MXN) in accordance with Section 7.2 

and Section 7.5 of this Annex and to register the related Cash Compensation Contract 

in the relevant Individual Segregated Account or "position account" within an Omnibus 

Segregated Account in accordance with this Annex, and (ii) determine the Discounting 

Risk Swaps to be allocated to such Individual Account or "position account" within an 

Omnibus Segregated Account in accordance with this Annex and to register such 

Discounting Risk Swaps in such account. 

(g) By not delivering a Cash Only Election Notice, in relation to an Individual Segregated 

Account or "position account" within an Omnibus Segregated Account, each 

SwapClear Clearing Member represents and warrants to the Clearing House on the 

Cash Only Election Cut-Off Date that (i) it has used reasonable endeavors to obtain 

instructions from each SwapClear Clearing Client in relation to the exercise of an 

election not to receive Discounting Risk Swaps in relation to such account or "position 

account" and (ii) it has not received instructions from any SwapClear Clearing Client 

to deliver a Cash Only Election Notice in respect of such account or "position account".

Clearing Member Obligations

(h) Each SwapClear Clearing Member (and in the case of (h)(vi) below, each SwapClear 

Clearing Member and the Clearing House):

(i) agrees to use reasonable endeavors to provide its SwapClear Clearing Clients 

with (i) information on the change in the rate from the Fed Funds Rate to SOFR 

pursuant to the terms of Regulation 60B and this Annex, (ii) information on the 

amounts payable pursuant to the terms of the Cash Compensation Contracts 

which may be registered in that SwapClear Clearing Client’s Individual 

Segregated Account or "position account" within an Omnibus Segregated 

Account pursuant to the terms of this Annex, (iii) information on the 

Discounting Risk Swaps which may be allocated to that SwapClear Clearing 

Client’s Individual Segregated Account or "position account" within an 

Omnibus Segregated Account pursuant to the terms of this Annex, and (iv) other 

information (indicative or otherwise) in relation to each SwapClear Clearing 

Client’s "position account" that the Clearing House has notified Clearing 

Members must be provided to SwapClear Clearing Clients.. Such information 

shall include the terms of this Annex and any information which it has received 

from, or is made available by, the Clearing House in connection with this 

Annex, including any risk disclosure statements relating to the matters herein;

(ii) agrees that it, and each applicable SwapClear Clearing Client, shall be bound 

by the terms of any Cash Compensation Contracts and Discounting Risk Swaps 
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registered pursuant to this Annex and all payment obligations thereunder (as 

determined by the Clearing House pursuant to this Annex);

(iii) represents and warrants to the Clearing House as at the Cash Only Election Cutoff Date that each Cash Only Client in relation to which it has delivered a Cash 

Only Election Notice (A) has instructed the SwapClear Clearing Member to 

deliver the Cash Only Election Notice on its behalf, and (B) has expressly 

agreed (i) that by electing for its Individual Segregated Account or "position 

account" within an Omnibus Segregated Account to be a Cash Only Client 

Position Account under this Annex it shall not, other than if (X) the Cash 

Settlement Schedule provides that one or more Discounting Risk Auctions have 

failed, or (Y) some of the Discounting Risk Swaps are not successfully 

auctioned and liquidated in accordance with the Cash Settlement Schedule, be 

party to any Discounting Risk Swaps (ii) that it shall be obliged to pay or entitled 

to receive the Cash Valuation Change Amount (USD), the Cash Valuation 

Change Amount (MXN) and, provided the Cash Only Client Position Account 

is not a De Minimis Participant Account, each Cash Only Client Position 

Account Auction Adjustment determined in accordance with Section 7.3, 

Section 7.4 and Section 7.5 of this Annex, and (iii) that the Cash Only Client 

Position Account Auction Adjustment may not be economically equivalent to 

being party to any such Discounting Risk Swaps or liquidating, closing-out, 

selling or replacing the Discounting Risk Swaps in the relevant market;

(iv) acknowledges that the Cash Valuation Change Amounts, the Auction Winner 

Amounts, each Cash Only Client Position Account Auction Adjustment, and 

the spread in relation to the Discounting Risk Swaps shall be determined by 

reference to the Discounting Risk Auctions and the Mid-Price Auctions, and 

agrees to be bound by the results of such auctions and the terms of the Cash 

Settlement Schedule and the Cash Settlement Supplement;

(v) agrees to perform all obligations and exercise all rights under this Annex, the 

Cash Settlement Schedule, the Cash Settlement Supplement, the Cash 

Compensation Contracts and the Discounting Risk Swaps in accordance with 

Applicable Law; and

(vi) agrees (in the case of the Clearing House) and acknowledges (in the case of the 

SwapClear Clearing Member) that each Cash Compensation Contract and 

Discounting Risk Swap is being registered in the relevant account in connection 

with the matters specified in this Annex and the obligations thereunder are for 

the sole purpose of addressing the value and discounting risk impact of the 

change from the Fed Funds Rate to SOFR and effecting the payment of amounts 

owed to, or payable by, the Auction Winner.

5. DETERMINING THE PORTFOLIO OF DISCOUNTING RISK SWAPS

5.1 On the Swap Portfolio Calculation Date, the Clearing House shall allocate Impacted 

SwapClear Contracts into different Maturity Buckets based on the tenor of the 

discounting risk associated with such Impacted SwapClear Contracts. Any Impacted 

SwapClear Contract that has discounting risk with a tenor that falls between two 

different Maturity Buckets shall be allocated to the nearest two Maturity Buckets in the 

Clearing House’s sole and absolute discretion. Separately in respect of the Impacted 
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SwapClear Contracts allocated to each Maturity Bucket in each Proprietary Account, 

Individual Segregated Account and "position account" within each Omnibus 

Segregated Account, the Clearing House shall determine a portfolio of Discounting 

Risk Swaps which is designed to, in the Clearing House's sole and absolute discretion 

and to the extent practicable, replicate the Fed Funds Rate discounting risk profile in 

relation to such SwapClear Contracts as of the Swap Portfolio Calculation Date. For 

the avoidance of doubt, the determination by the Clearing House pursuant to this 

paragraph may be different from a SwapClear Clearing Member's or SwapClear 

Clearing Client’s models or methodologies. Each pair of Discounting Risk Swaps will:

(a) have a maturity of two years, five years, ten years, fifteen years, twenty years 

or thirty years from the date of registration;

(b) when registered, comprise a pair of SwapClear Contracts whereby:

(i) under the first SwapClear Contract, the Clearing House or the 

SwapClear Clearing Member (Party X) will receive Fed Funds and pay 

to the other party (Party Y) fixed amounts, which shall be determined 

by reference to the fixed rate (, determined by the Clearing House in 

accordance with its usual processes), that would be payable on the fixed 

leg of a SwapClear Contract at the time close of business on the Swap 

Portfolio Calculation Date determined by the Clearing House, where the 

floating rate is the Fed Funds Rate and the maturity date corresponds to 

the applicable maturity referred to in (a) above; and

(i)

(ii) under the second SwapClear Contract, Party X will pay SOFR and 

receive from Party Y a fixed amount, which shall be a fixed rate, 

determined by subtracting the spread equal to the Mid-Price determined 

pursuant to the Cash Settlement Schedule from the fixed rate referred to 

in (i) above, provided that if the process referred to in the Cash 

Settlement Schedule fails to provide the Mid-Price for the relevant 

Maturity Bucket, the Clearing House shall determine the spread for that 

Maturity Bucket using its customary methodology and applying it to 

observable market data points and applying linear interpolation where 

the Clearing House considers appropriate; and 

(c) have a notional amount that is determined by the Clearing House, in its sole and 

absolute discretion, where such notional amount shall be rounded to the nearest 

integral number set out in the following table:

Maturity 

Bucket

2Y 5Y 10Y 15Y 20Y 30Y

Amount 

in USD 

to which 

the 

5,000,000 2,500,000 1,250,000 500,000 500,000 500,000
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notional 

amount 

will be 

rounded 

to

5.2 The Clearing House shall separately determine the portfolio of Discounting Risk Swaps 

in respect of each of the following (excluding, in relation to a Maturity Bucket, any De 

Minimis Participant Accounts in relation to that Maturity Bucket) as of the Swap 

Portfolio Calculation Date:

(a) the Impacted SwapClear Contracts then registered in each SwapClear Clearing 

Member’s Proprietary Account; 

(b) the Impacted SwapClear Contracts then registered in each Individual 

Segregated Account held for any SwapClear Clearing Client; and

(c) the Impacted SwapClear Contracts then registered in a "position account" in the 

name of each SwapClear Clearing Client within each Omnibus Segregated 

Account

5.3 The Clearing House shall promptly notify each SwapClear Clearing Member of each 

portfolio of Discounting Risk Swaps it has determined pursuant to this Section 5 in 

respect of each account or "position account" held by each SwapClear Clearing 

Member as set out above.

5.4 Without prejudice to the above, at any time prior to the Swap Portfolio Calculation 

Date, the Clearing House may publish indicative portfolios of the Discounting Risk 

Swaps in relation to the Impacted SwapClear Contracts then registered in the name of 

a SwapClear Clearing Member for information only.

6. THE AUCTIONS

6.1 On the Auction Date the Clearing House shall conduct one or more Discounting Risk 

Auctions and Mid-Price Auctions and each such auction shall be conducted in respect 

of both LCH's SCM service and LCH's FCM service. The initial terms of the 

Discounting Risk Auctions and the Mid-Price Auctions shall be as set out in the Cash 

Settlement Schedule and the Clearing House shall supplement such terms to provide 

further detail on the operation of the auctions through publication of one or more Cash 

Settlement Supplements, provided however that, the Clearing House shall not be 

entitled to materially alter the nature of the obligations of any SwapClear Clearing 

Member under this Rate Change Annex via any Cash Settlement Supplement. Each 

Cash Settlement Supplement shall be deemed to supplement, and form part of, the Cash 

Settlement Schedule and the Clearing House shall be entitled to supplement, modify, 

amend, replace or withdraw the Cash Settlement Schedule or Cash Settlement 

Supplements (in whole or in part) from time to time in its sole discretion through such 

method as the Clearing House shall determine is appropriate.

6.2 Each SwapClear Clearing Member that is an Expected Cash Settlement Participant (as 

defined in the Cash Settlement Schedule) agrees that it shall use all reasonable efforts 
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to submit pricing in accordance with the Cash Settlement Schedule for the Net Auction 

Contract Pair in each Maturity Bucket.

7. THE CASH VALUATION CHANGE AMOUNTS AND THE CASH ONLY 

CLIENT POSITION ACCOUNT AUCTION ADJUSTMENTS

All Impacted SwapClear Contracts other than TIIE Interest Rate Swaps denominated 

in MXN 

The following provisions are applicable in relation to all Impacted SwapClear Contracts 

other than Impacted SwapClear Contracts that are TIIE interest rate swaps denominated 

in MXN. With respect to the calculations to be performed under Section 7.1 to 7.3 

(inclusive) below, for the purposes of determining the Cash Valuation Change Amount 

(USD) in relation to non-deliverable interest rate swaps the Clearing House shall first 

convert into USD the value of the discounted future cash flows which are not 

denominated in USD by applying the relevant rate of exchange as determined by the 

Clearing House in accordance with its usual procedures. Each of the calculations 

performed under Sections 7.1 to 7.3 (inclusive) below shall include any non-deliverable 

interest rate swaps registered in the relevant account or "position account" as of the time 

end of the "business day" in New York on the Auction Date determined by the Clearing 

House.

Proprietary Accounts

7.1 Immediately following the conclusion of the Discounting Risk Auctions (or 

determination by the Clearing House that such auctions shall not occur) on the Auction 

Date, the Clearing House shall calculate the Cash Valuation Change Amount (USD) in 

respect of each Proprietary Account as follows:

(a) the Clearing House shall calculate the aggregate FedFunds Discounted Value 

and the aggregate SOFR Discounted Value in relation to each Impacted 

SwapClear Contract registered in each Proprietary Account as of the time end

of the "business day" in New York on the Auction Date determined by the 

Clearing House; 

(b) if the aggregate SOFR Discounted Value in relation to all Impacted SwapClear 

Contracts registered in a Proprietary Account exceeds the aggregate FedFunds 

Discounted Value in relation to all such Impacted SwapClear Contracts then the 

Cash Valuation Change Amount (USD) shall be an amount equal to the absolute 

value of the difference and shall be an amount in favor of the Clearing House in 

relation to such Proprietary Account; and

(c) if the aggregate SOFR Discounted Value in relation to all Impacted SwapClear 

Contracts registered in a Proprietary Account is less than the aggregate 

FedFunds Discounted Value in relation to all such Impacted SwapClear 

Contracts then the Cash Valuation Change Amount (USD) shall be an amount 

equal to the absolute value of the difference and shall be an amount in favor of 

the SwapClear Clearing Member in relation to such Proprietary Account.

Client Accounts (excluding Cash Only Client Position Accounts)
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7.2 The following only applies in relation to each Individual Segregated Account or 

"position account" within each Omnibus Segregated Account that is not a Cash Only 

Client Position Account. Immediately following the conclusion of the Discounting 

Risk Auctions (or determination by the Clearing House that such auctions shall not 

occur) on the Auction Date the Clearing House shall determine the Cash Valuation 

Change Amount (USD) in respect of the Impacted SwapClear Contracts registered in 

each Individual Segregated Account or "position account" within each Omnibus 

Segregated Account that is not a Cash Only Client Position Account as follows:

(a) the Clearing House shall calculate the aggregate FedFunds Discounted Value 

and the aggregate SOFR Discounted Value in relation to all Impacted 

SwapClear Contracts registered in such account as of the time end of the 

"business day" in New York on the Auction Date determined by the Clearing 

House; 

(b) if the aggregate SOFR Discounted Value in relation to all Impacted SwapClear 

Contracts registered in such account exceeds the aggregate FedFunds 

Discounted Value in relation to all such Impacted SwapClear Contracts then the 

Cash Valuation Change Amount (USD) shall be an amount equal to the absolute 

value of the excess and shall be an amount in favor of the Clearing House in 

relation to such account; and

(c) if the aggregate SOFR Discounted Value in relation to all Impacted SwapClear 

Contracts registered in such account is less than the aggregate FedFunds 

Discounted Value in relation to all such Impacted SwapClear Contracts then the 

Cash Valuation Change Amount (USD) shall be an amount equal to the absolute 

value of the difference and shall be an amount in favor of the SwapClear 

Clearing Member in relation to such account.

Cash Only Client Position Accounts

7.3 The following applies only in relation to Cash Only Client Position Accounts. 

Immediately following the conclusion of the Discounting Risk Auctions (or 

determination by the Clearing House that such auctions shall not occur) on the Auction 

Date the Clearing House shall determine the Cash Valuation Change Amount (USD) in 

respect of the Impacted SwapClear Contracts registered in a Cash Only Client Position 

Account as follows:

(a) the Clearing House shall calculate the aggregate FedFunds Discounted Value 

and the aggregate SOFR Discounted Value in relation to all Impacted 

SwapClear Contracts registered in such account as of the time end of the 

"business day" in New York on the Auction Date determined by the Clearing 

House; 

(b) if the aggregate SOFR Discounted Value in relation to all Impacted SwapClear 

Contracts registered in such account exceeds the aggregate FedFunds 

Discounted Value in relation to all such Impacted SwapClear Contracts then the 

Cash Valuation Change Amount (USD) shall be an amount equal to the absolute 

value of the difference and shall be an amount in favor of the Clearing House in 

relation to such account;
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(c) if the aggregate SOFR Discounted Value in relation to all Impacted SwapClear 

Contracts registered in such account is less than the aggregate FedFunds 

Discounted Value in relation to all such Impacted SwapClear Contracts then the 

Cash Valuation Change Amount (USD) shall be an amount equal to the absolute 

value of the difference and shall be an amount in favor of the SwapClear 

Clearing Member in whose name such Cash Only Client Position Account is 

held; and 

7.4 Immediately following the conclusion of the Discounting Risk Auctions on the Auction 

Date, provided that the Discounting Risk Auction for the relevant Maturity Bucket 

occurs in accordance with the Cash Settlement Schedule, the Clearing House shall 

calculate, in respect of each Cash Only Client Position Account the aggregate Cash 

Only Client Position Account Auction Adjustment in relation to each Maturity Bucket.

Impacted SwapClear Contracts which are TIIE Interest Rate Swaps denominated in 

MXN

7.5 Immediately following the conclusion of the Discounting Risk Auctions (or 

determination by the Clearing House that such auctions shall not occur) on the Auction 

Date the Clearing House shall determine the Cash Valuation Change Amount (MXN) 

separately in respect of each Impacted SwapClear Contracts that is a TIIE interest rate 

swap denominated in MXN (MXN Impacted SwapClear Contracts) registered in 

each Proprietary Account, Individual Segregated Account and "position account" 

within an Omnibus Segregated Account, as follows:

(a) first, for the purposes of determining the Cash Valuation Change Amount 

(MXN) in relation to the MXN Impacted SwapClear Contracts, the value of the 

discounted future cash flows thereunder shall be multiplied by the relevant 

USD/MXN rates of exchange determined by the Clearing House in accordance 

with the Clearing House’s usual procedures;

(b) second, the Clearing House shall calculate the aggregate FedFunds Discounted 

Value and the aggregate SOFR Discounted Value in relation to all MXN 

Impacted SwapClear Contracts registered in such account as of the time end of 

the "business day" in New York on the Auction Date determined by the Clearing 

House; 

(c) if the aggregate SOFR Discounted Value in relation to all such MXN Impacted 

SwapClear Contracts registered in such account exceeds the aggregate 

FedFunds Discounted Value in relation to all such MXN Impacted SwapClear 

Contracts then the Cash Valuation Change Amount (MXN) shall be an amount 

in MXN equal to the absolute value of the difference and shall be an amount in 

favor of the Clearing House in relation to such account; and

(d) if the aggregate SOFR Discounted Value in relation to all MXN Impacted 

SwapClear Contracts registered in such account is less than the aggregate 

FedFunds Discounted Value in relation to all such MXN Impacted SwapClear 

Contracts then the Cash Valuation Change Amount (MXN) shall be an amount 

in MXN equal to the absolute value of the difference and shall be an amount in 

favor of the SwapClear Clearing Member in whose name such Cash Only Client 

Position Account is held.
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8. REGISTRATION OF CASH COMPENSATION CONTRACTS

8.1 On the basis of the calculations set forth in Section 7 above, the Clearing House shall 

determine, as applicable, the Cash Valuation Change Amount (USD), the Cash 

Valuation Change Amount (MXN), the Cash Only Client Position Account Auction 

Adjustments and the Auction Winner Amount in respect of each Proprietary Account, 

each Individual Segregated Account and each "position account" within an Omnibus 

Segregated Account and each SwapClear Clearing Member and the Clearing House (as 

applicable) irrevocably agrees that it shall be bound to pay such amounts to the other 

pursuant to the terms of the related Cash Compensation Contracts.

8.2 The Clearing House shall, pursuant to Regulation 60B, register a separate Cash 

Compensation Contract in each Proprietary Account, each Individual Segregated 

Account and each "position account" within an Omnibus Segregated Account in 

relation to each of the following amounts (to the extent such amounts are applicable to 

such account or "position account"):

(a) Cash Valuation Change Amounts (USD);

(b) Cash Valuation Change Amounts (MXN);

(c) Cash Only Client Position Account Auction Adjustments; and

(d) Auction Winner Amounts.

8.3 Each Cash Compensation Contract shall be registered for the sole purpose of effecting 

the payment of the Cash Valuation Change Amount (USD), Cash Valuation Change 

Amount (MXN), Cash Only Client Position Account Auction Adjustments or Auction 

Winner Amount (as applicable) to which it relates. It shall operationally be recorded 

as having a "Notional Amount" (as defined in the SwapClear Contract Terms) of USD1 

(or, in the case of the Cash Compensation Swap relating to the Cash Valuation Change 

Amount (MXN), MXN1), a "Termination Date" (as defined in the SwapClear Contract 

Terms) falling two "business days" after the Auction Date, and an obligation on the 

Clearing House or the SwapClear Clearing Member (as applicable) to pay to the other 

an amount equal to the Cash Valuation Change Amount (USD), Cash Valuation Change 

Amount (MXN), Cash Only Client Position Account Auction Adjustments or Auction 

Winner Amount (as applicable) in relation to the relevant account or "position account", 

with such amounts determined in accordance with Section 7 of this Annex. However, 

neither the Clearing House nor a SwapClear Clearing Member shall be required to pay 

any amounts under a Cash Compensation Contract other than the Cash Valuation 

Change Amount (USD), Cash Valuation Change Amount (MXN), Cash Only Client 

Position Account Auction Adjustment or Auction Winner Amount (as applicable) to 

which such Cash Compensation Contract relates.

8.4 Each SwapClear Clearing Member agrees to be bound by each Cash Compensation 

Contract registered pursuant to this Section 8, which shall, when registered, constitute 

a SwapClear Contract between the Clearing House and the relevant SwapClear Clearing 

Member that has arisen by reason of the application of the Regulations to the Impacted 

SwapClear Contracts.
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9. REGISTRATION OF DISCOUNTING RISK SWAPS

9.1 Immediately following the conclusion of the Discounting Risk Auctions (or 

determination by the Clearing House that such auctions shall not occur) on the Auction 

Date the Clearing House shall notify all SwapClear Clearing Members of the 

Discounting Risk Swaps that will be registered in the accounts in accordance with this 

Annex. If the Clearing House exercises its powers pursuant to Section 4(b) of the Cash 

Settlement Schedule, then, as soon as practicable following such exercise, it shall notify 

all SwapClear Clearing Members of the Discounting Risk Swaps that will be registered 

in their Proprietary Accounts, Individual Segregated Accounts and "position accounts" 

within each Omnibus Segregated Account and it shall register such Discounting Risk 

Swaps in such accounts without regard to any Cash Only Election Notice. 

9.2 Except as provided in Section 9.3 below, on the first "business day" immediately 

following the Auction Date the Clearing House shall:

(a) in relation to each Auction Winner, register the related Discounting Risk Swaps 

(or portion thereof) in the Proprietary Account of the Auction Winner and each 

Auction Winner and the Clearing House shall become party to such Discounting 

Risk Swaps;

(b) in relation to each Proprietary Account other than De Minimis Participant 

Accounts, register the Discounting Risk Swaps determined pursuant to Section 

5.2(a) in each SwapClear Clearing Member’s Proprietary Account; and

(c) in relation to each Individual Segregated Account and "position account" within 

each Omnibus Segregated Account other than Cash Only Client Position 

Accounts and De Minimis Participant Accounts, register the Discounting Risk 

Swaps determined pursuant to Section 5.2(b), and (c) in relation to such 

SwapClear Clearing Client in the relevant account. 

9.3 Each SwapClear Clearing Member agrees to be bound by each Discounting Risk Swap 

registered pursuant to this Section 9, which shall, when registered, constitute 

SwapClear Contracts between the Clearing House and the relevant SwapClear Clearing 

Member that have arisen by reason of the application of the Regulations to the Impacted 

SwapClear Contracts.

10. DETERMINATIONS BINDING

Subject to Section 13, all determinations and calculations made by the Clearing House 

pursuant to this Annex and the Cash Settlement Schedule shall be binding and may in 

no circumstances (other than in the case of manifest error) be called into question by 

any person.

11. RECORDS

The Clearing House shall update its books and records to reflect the Discounting Risk 

Swaps, Cash Compensation Contracts, Cash Valuation Change Amounts (USD), Cash 

Valuation Change Amounts (MXN), Auction Winner Amounts and Cash Only Client 

Position Account Auction Adjustments resulting from the operation of this Annex and 

the Cash Settlement Schedule. The obligation to pay, or the right to receive, any 
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amounts determined under this Annex may be reflected in the books and records of the 

Clearing House in such manner as the Clearing House determines is necessary to meet 

its operational requirements.

12. MISCELLANEOUS

(a) The obligations of the Clearing House to each SwapClear Clearing Member shall be to 

perform its obligations as principal to such SwapClear Clearing Member in accordance 

with the Rulebook, but subject to the restrictions on the Clearing House’s obligations 

and liabilities contained in the Rulebook and Section 13.

(b) The terms of this Annex are without prejudice to the Clearing House’s rights under the 

Procedures to change the rate used for the purposes of (i) calculating PAI, (ii) 

calculating the Price Alignment Amount, and (iii) constructing the Clearing House’s 

zero coupon yield curves under 1.7.2 of Section 2C of the Procedures from time to time 

and such terms shall not be relevant or binding on the Clearing House in respect of any 

such changes.

(c) The performance by the Clearing House of its obligations hereunder shall always be 

subject to the provisions of the Rulebook. The benefit of the performance by the 

Clearing House of its obligations under this Annex is conferred upon SwapClear 

Clearing Members only, as principal, and a person who is not a party to the Rulebook 

has no right under Contracts (Rights of Third Parties) Act 1999 (as amended from time 

to time) to enforce any term of this Annex.

13. LIMITATION OF LIABILITY

13.1 Without prejudice to the generality of Regulation 52, each SwapClear Clearing Member 

agrees:

(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any SwapClear Clearing Member or any other 

person (including, without limitation, any SwapClear Clearing Client) whether 

in contract, tort (including, without limitation, negligence), trust, as a fiduciary 

or under any other cause of action, and whether in respect of any damages, loss 

or gain, cost or expense (whether direct, indirect, general, special, 

consequential, punitive or otherwise); and 

(b) to waive any claim against the Clearing House or any member of the LCH 

Group; 

arising or that may arise in connection with:

(i) any determination, calculation, notification, registration, publication, exercise 

of discretion, or decision, taken or not taken by the Clearing House or any other 

member of the LCH Group in connection with this Annex; or

(ii) the determination or publication of any price, curve, data, quote or other 

information arising from, or in connection with, this Annex;

except in the case of fraud or wilful misconduct on the part of the Clearing House or 

any other member of the LCH Group.
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13.2 Without prejudice to the generality of Regulation 52 and clause 14.1 above, each 

SwapClear Clearing Member further agrees:

(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any SwapClear Clearing Member or any other 

person (including, without limitation, any SwapClear Clearing Client) in tort 

(including, without limitation, negligence), trust, as a fiduciary or under any 

other non-contractual cause of action, or under any implied contractual term, 

and whether in respect of any damages, loss or gain, cost or expense (whether 

direct, indirect, general, special, consequential, punitive or otherwise); and 

(b) to waive any non-contractual claim or claim under any implied contractual term 

against the Clearing House or any member of the LCH Group; 

arising or that may arise in connection with the Clearing House's performance of its 

contractual duties or obligations under this Annex, except in the case of fraud or wilful 

misconduct on the part of the Clearing House or any other member of the LCH Group. 

13.3 Each SwapClear Clearing Member agrees that neither the Clearing House nor any other 

member of the LCH Group (i) owes any duty of care to any person in connection with 

the performance of the Clearing House’s duties or obligations or exercise of its rights 

under this Annex, save for the express contractual duties set forth in this Annex; (ii) is 

under any obligation to research, investigate, supplement, or verify the veracity of, any 

price, data, quote or other information received from a SwapClear Clearing Member in 

connection with this Annex; (iii) is acting as a fiduciary for, or as an advisor to, any 

SwapClear Clearing Member or SwapClear Clearing Client in connection with this 

Annex or any SwapClear Contract registered as a result of the matters specified in this 

Annex; (iv) shall be under any requirement to consult with, or individually notify (other 

than as expressly set out in this Annex), a SwapClear Clearing Member or SwapClear 

Clearing Client in connection with making its determinations, exercising its discretions 

or performing its duties or obligations or exercising its rights, each under this Annex; 

or (v) has made any representation, express or implied, in relation to this Annex, and 

each SwapClear Clearing Member acknowledges that it has not relied on any 

representations made by the Clearing House or any other member of the LCH Group in 

relation to this Annex.

13.4 For the avoidance of doubt, notwithstanding anything herein or in the Cash Settlement 

Supplement or Cash Settlement Schedule, neither the Clearing House nor any other 

member of the LCH Group shall be liable for any obligations of, or to any person who 

is not, a SwapClear Clearing Member.
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CASH SETTLEMENT SCHEDULE

This Cash Settlement Schedule sets forth certain provisions relating to the Discounting Risk 

Auctions and the Mid-Price Auctions and the cash settlement process in relation to both the 

SOFR Rate Change Annex for the SCM service and the SOFR Rate Change Annex for the 

FCM Service and may be supplemented from time to time by one or more Cash Settlement 

Supplements.

1. AUCTIONED CONTRACTS

The Clearing House shall determine a single Net Auction Contract Pair (as defined below) 

separately for each Maturity Bucket as follows:

(a) first, the Clearing House shall determine the portfolio of Discounting Risk Swaps for 

each Maturity Bucket that would, but for the Cash Only Election Notices, have been 

registered in each of the Cash Only Client Position Accounts in accordance with the 

SOFR Rate Change Annex for the SCM service and the SOFR Rate Change Annex for 

the FCM service; and

(b) second, the Clearing House shall aggregate and net all of the risks and cash flows for 

the above Discounting Risk Swaps for each Maturity Bucket to determine a single pair 

of Discounting Risk Swaps for each Maturity Bucket, and each such pair of Discounting 

Risk Swaps shall be the Net Auction Contract Pair for that Maturity Bucket.

Each Net Auction Contract Pair shall comprise (i) a Discounting Risk Swap pursuant to which, 

the Clearing House or the SwapClear Clearing Member (Party X) will receive Fed Funds and 

pay to the other party (Party Y) fixed amounts, which shall be determined by reference to the 

fixed rate (determined by the Clearing House in accordance with its usual processes), that 

would be payable on the fixed leg of a SwapClear Contract at the time close of business on the 

Swap Portfolio Calculation Date determined by the Clearing House, where the floating rate is 

the Fed Funds Rate and the maturity date corresponds to the relevant Maturity Bucket, and (ii) 

a Discounting Risk Swap pursuant to which Party X pay SOFR and receive from Party Y a 

fixed amount, which shall be a fixed rate, determined by subtracting the spread equal to the 

Mid-Price determined pursuant to this Cash Settlement Schedule from the fixed rate referred 

to in (a) above, provided that if the process referred to in this Cash Settlement Schedule fails 

to provide the Mid-Price for the relevant Maturity Bucket, the Clearing House shall determine 

the spread for that Maturity Bucket using its customary methodology and applying it to 

observable market data points and applying linear interpolation where the Clearing House 

considers appropriate.

For the avoidance of doubt, the above determinations are made solely for the purposes of 

determining the Net Discounting Risk Swaps that shall be subject to the Discounting Risk 

Auctions and, prior to the registration of the Discounting Risk Swaps resulting from the from 

the Discounting Risk Auctions, no SwapClear Contracts shall be registered in any SwapClear 

Clearing Member’s accounts. 

For these purposes:

Cash Settlement Participants means those SwapClear Clearing Members and FCM Clearing 

Members (if any) who have notified the Clearing House via the SwapClear Portal by the cutoff time specified by the Clearing House in the Rate Change Notice related to SOFR that they 
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shall participate in the Discounting Risk Auctions and Mid-Price Auctions. For the avoidance 

of doubt, only one SwapClear Clearing Member per group of affiliated SwapClear Clearing 

Members shall be entitled to submit pricing and such SwapClear Clearing Member shall be 

bound by the terms of such pricing and the terms of this Cash Settlement Schedule, the Cash 

Settlement Supplement and the applicable Rate Change Annex for SOFR.

Discounting Risk Auction means each auction that is not a Mid-Price Auction and that is held 

by the Clearing House for the purposes of liquidating certain Discounting Risk Swaps 

described in Section 1 of this Schedule and determining certain spreads, curves, amounts and 

related information.

Expected Cash Settlement Participant means each SwapClear Clearing Member and FCM 

Clearing Member (if any) that belongs to a group which, during January, February and March 

2020, had more than USD1 trillion in gross notional amount of new SwapClear Contracts 

and/or FCM SwapClear Contracts that are Impacted SwapClear Contracts or Impacted FCM 

SwapClear Contracts registered in the Proprietary Accounts of all SwapClear Clearing 

Members or FCM Clearing Members in that group.

Mid-Price Auction means each auction that is not a Discounting Risk Auction and that is held 

by the Clearing House for the purpose of determining the Mid-Price in relation to a Maturity 

Bucket pursuant to Section 3 of this Schedule.

2. PRICE SUBMISSIONS

(a) The manner in which each Cash Settlement Participant must submit pricing in relation 

to each Discounting Risk Auction and each Mid-Price Auction shall be further set out 

by the Clearing House in a Cash Settlement Supplement.

(b) Each time a Cash Settlement Participant submits pricing in relation to each Discounting 

Risk Auction and each Mid-Price Auction (as applicable) it shall be deemed to represent 

and warrant that it has all necessary internal approvals and risk permissions in place to 

submit such pricing, and pay any amounts and be bound to any Crossed Mid-Price 

Setting Transactions (as defined below) in connection with such Mid-Price Auction and 

any SwapClear Contracts and/or SwapClear FCM Contracts registered in its Proprietary 

Account in connection with such Discounting Risk Auction. 

(c) Each price submitted by a Cash Settlement Participant in connection with a Discounting 

Risk Auction constitutes an offer to the Clearing House to enter into the Net Auction 

Contract Pair related to that Discounting Risk Auction and shall be treated for all 

purposes as an irrevocable firm, executable price. Each price submitted by a Cash 

Settlement Participant in connection with a Mid-Price Auction constitutes an offer to 

the other Cash Settlement Participants to enter into a Mid-Price Setting Transaction (as 

defined below) related to that Mid-Price Auction and shall be treated for all purposes 

as an irrevocable firm, executable price.

(d) Subject to paragraph (e) below, the Clearing House may only reject a bid or offer

submitted in a Discounting Risk Auction or Mid-Price Auction if it considers, in its sole 

and absolute discretion, that such bid or offer has been submitted as a result of a 

manifest error. If the Clearing House makes such a determination it shall first contact 

the Cash Settlement Participant who submitted such pricing and provide such Cash 

Settlement Participant with the opportunity to withdraw and/or correct such manifest 
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error before the relevant Discounting Risk Auction or Mid-Price Auction (as 

applicable) is concluded. If such pricing is not corrected or withdrawn the Clearing 

House shall disregard such pricing for all purposes.

(e) For the purposes of the Discounting Risk Auctions, the Clearing House shall not take 

into account any bid or offer that is submitted for a Maturity Bucket if the number of 

basis points between such bid or offer, on the one hand, and the Mid-Price, on the other 

hand, is greater than the Bid/Offer Limit for that Maturity Bucket. The Bid/Offer 

Limit shall be expressed as a number of basis points and shall be published by the 

Clearing House prior to the Auction Date. The Bid/Offer Limit shall be within a range 

published by the Clearing House prior to the Cash Only Election Cut-Off Date.

3. DETERMINING THE MID-PRICE AND CONSTRUCTING THE SOFR 

PRICING CURVE

(a) For the purpose of determining the Mid-Price in relation to a Maturity Bucket, on the 

Auction Date and prior to the commencement of the Discounting Risk Auctions, the 

Clearing House shall require, and each Cash Settlement Participant shall, in respect of 

each Maturity Bucket provide to the Clearing House, two-way pricing (bids and offers) 

to enter into a Fed Funds Rate – SOFR basis swap with a maturity equal to the maturity 

for that Maturity Bucket and a notional amount to be determined by the Clearing House 

in its sole and absolute discretion and notified to the Cash Settlement Participants on, 

or prior to, the Auction Date (the "Mid-Price Setting Transaction"). For the avoidance 

of doubt, no Discounting Risk Swaps or Net Auction Contract Pairs in relation to a 

Maturity Bucket shall be auctioned, liquidated or sold pursuant to this process and no 

SwapClear Contract or FCM SwapClear Contract shall be registered as a direct result 

of any prices submitted by a Cash Settlement Participant pursuant to this Section 3.

(b) Each SwapClear Clearing Member that is an Expected Cash Settlement Participant 

agrees that it shall use all reasonable efforts to submit pricing in accordance with this 

Cash Settlement Schedule for the Mid-Price Setting Transaction in each Maturity 

Bucket.

(c) Solely for the purposes of determining the Mid-Price in relation to a Maturity Bucket 

the Clearing House shall take the following steps separately in relation to all bids and 

offers submitted for the Mid-Price Setting Transaction for that Maturity Bucket:

(i) first, it shall order the bid prices in descending order (i.e. starting with the 

highest bid) and order the offer prices in ascending order (i.e. starting with the 

lowest offer);

(ii) second, it shall remove any crossing bids and offers (i.e. if any ranked, ordered, 

individual bid price exceeds any ranked, ordered, individual offer price (a 

“Crossed Bid” and a “Crossed Offer,” respectively) both such bid and offer 

prices shall be removed); 

(iii) third, it shall determine the top quartile of the bid prices and the top quartile of 

the offer prices (rounding up to determine a quarter) and remove the remaining 

bid and offer prices; 
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(iv) fourth, it shall calculate the average of the remaining bid prices and the average 

of the remaining offer prices; and

(v) fifth, it shall sum the averages determined under step (iv) and divide the result 

by two, and the result shall be the "Mid-Price" for that Maturity Bucket.

If the process referred to immediately above fails to provide the Mid-Price for the 

relevant Maturity Bucket, the Clearing House shall determine the Mid-Price for that 

Maturity Bucket using its customary methodology and applying it to observable market 

data points and applying linear interpolation where the Clearing House considers 

appropriate, and this shall be the "Mid-Price" for that Maturity Bucket. For the 

avoidance of doubt, the above steps shall not apply to determine the identity of the 

Auction Winner in relation to a Maturity Bucket and shall only be applicable to 

determine the Mid-Price in relation to that Maturity Bucket

(d) Once the above steps have been completed, the Clearing House shall construct a SOFR 

curve by (i) in relation to tenors for which there is a corresponding Maturity Bucket, 

adding each Mid-Price calculated with respect to that Maturity Bucket in accordance 

with the foregoing methodology to the corresponding tenor on the Clearing House’s 

zero coupon yield curve for the Fed Funds Rate as of the Auction Date, and (ii) in 

relation to tenors for which there is not a corresponding Maturity Bucket (or for which 

the process referred to in this Section 3 fails to provide the Mid-Price), using observable 

market data points and applying linear interpolation where the Clearing House 

considers appropriate. 

(e) On the Auction Date the Clearing House shall notify each Cash Settlement Participant 

that has submitted a Crossed Bid or Crossed Offer. A Cash Settlement Participant that 

has submitted a Crossed Bid shall be obliged to enter into a Mid-Price Setting 

Transaction with another Cash Settlement Participant that has submitted a Crossed 

Offer and a Cash Settlement Participant that has submitted a Crossed Offer shall be 

obliged to enter into a Mid-Price Setting Transaction with another Cash Settlement 

Participant that has submitted a Crossed Bid (each, a "Crossed Mid-Price Setting 

Transaction"), in each case no later than time close of business in New York on the 

Auction Date determined by the Clearing House. The Clearing House shall determine 

the spread in relation to each Crossed Mid-Price Setting Transaction by taking the 

average of all of the Crossed Bids and Crossed Offers. The process for determining the 

parties to each Crossed Mid-Price Setting Transaction and the spread in relation to each 

Crossed Mid-Price Setting Transaction shall be further defined in the Cash Settlement 

Supplement. Upon the Clearing House’s request, each Cash Settlement Participant that 

is required to enter into a Crossed Mid-Price Setting Transaction pursuant to this 

paragraph (e) shall provide evidence that it has entered into such Crossed Mid-Price 

Setting Transaction (and such evidence may include the Cash Settlement Participant 

identifying a transaction cleared with the Clearing House that corresponds to such 

Crossed Mid-Price Setting Transaction).

4. FURTHER POWERS AND INFORMATION

(a) In the event that no prices are received in relation to a Discounting Risk Auction for a

Maturity Bucket by the end of the relevant bidding window identified in the Cash 

Settlement Supplement, or the Clearing House otherwise determines, in its sole and 

absolute discretion, that it would be appropriate to do so, the Clearing House may:
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(i) hold one or more further auctions on the Auction Date or subsequent days; 

(ii) split the portfolio of Net Auction Contract Pairs into different groups or notional 

amounts; and/or

(iii) take any other steps that it considers appropriate in order to obtain bids or offers 

in relation to the Net Auction Contract Pairs in such Maturity Bucket,

(b) and it shall make any consequential adjustments to the terms of the Rate Change 

Notice(s) relating to SOFR as it considers appropriate, and the terms of this Annex 

(including the "Auction Date") shall be construed accordingly. 

(c) If, having taken the steps above in connection with a Discounting Risk Auction, where 

applicable, no prices are received in relation to one or more of the Maturity Buckets 

then the Clearing House will determine that no further auctions shall take place with 

respect to the relevant Maturity Bucket(s) and all Cash Only Clients shall have 

Discounting Risk Swaps for such relevant Maturity Bucket(s) registered in the relevant 

Individual Segregated Account, "position account" within an Omnibus Segregated 

Account or FCM Client Sub-Accounts (as applicable) notwithstanding any Cash Only 

Election Notices previously delivered in respect of such SwapClear Clearing Clients or 

FCM Clients.

(d) If, in relation to a Maturity Bucket, the Clearing House is unable to auction and liquidate 

the full notional amount of the Discounting Risk Swaps that are the subject of the 

auction for that Maturity Bucket (including, without limitation, because the aggregate 

notional amount for which bids are received in relation to that Maturity Bucket is less 

than the entire notional amount of such Discounting Risk Swaps) (the Non-Auctioned 

Swaps), the Clearing House shall, notwithstanding any Cash Only Election Notices 

previously delivered, allocate the Non-Auctioned Swaps to each Cash Only Client 

Position Account, with each Cash Only Client Position Account being allocated a share 

of the Non-Auctioned Swaps pro rata to that Cash Only Client Position Account's share 

of the total notional amount of Discounting Risk Swaps for that Maturity Bucket that 

would, but for the delivery of the Cash Only Election Notices, have been registered in 

each of the Cash Only Client Position Accounts.

5. LIMITATION OF LIABILITY

5.1 Without prejudice to the generality of Regulation 52, each SwapClear Clearing Member 

agrees:

(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any SwapClear Clearing Member or any other 

person (including, without limitation, any SwapClear Clearing Client) whether 

in contract, tort (including, without limitation, negligence), trust, as a fiduciary 

or under any other cause of action, and whether in respect of any damages, loss 

or gain, cost or expense (whether direct, indirect, general, special, 

consequential, punitive or otherwise); and 

(b) to waive any claim against the Clearing House or any member of the LCH 

Group;
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arising or that may arise in connection with:

(i) any determination, calculation, exercise of discretion, or decision, taken or not 

taken by the Clearing House or any other member of the LCH Group in 

connection with the Cash Settlement Schedule; or

(ii) the determination or publication of any price, curve, data, quote or other 

information arising from, or in connection with, the Cash Settlement Schedule;

except in the case of fraud or wilful misconduct on the part of the Clearing House or 

any other member of the LCH Group.

5.2 Without prejudice to the generality of Regulation 52 and clause 5.1 above, each 

SwapClear Clearing Member further agrees:

(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any SwapClear Clearing Member or any other 

person (including, without limitation, any SwapClear Clearing Client) in tort 

(including, without limitation, negligence), trust, as a fiduciary or under any 

other non-contractual cause of action, or under any implied contractual term, 

and whether in respect of any damages, loss or gain, cost or expense (whether 

direct, indirect, general, special, consequential, punitive or otherwise); and 

(b) to waive any non-contractual claim or claim under any implied contractual term 

against the Clearing House or any member of the LCH Group; 

arising or that may arise in connection with the Clearing House's performance of its

contractual duties or obligations under the Cash Settlement Schedule, except in the case 

of fraud or wilful misconduct on the part of the Clearing House or any other member 

of the LCH Group. 

5.3 Each SwapClear Clearing Member agrees that neither the Clearing House nor any other 

member of the LCH Group (i) owes any duty of care to any person in connection with 

the performance of the Clearing House’s duties or obligations or exercise of its rights 

under the Cash Settlement Schedule, save for the express contractual duties set forth in 

the Cash Settlement Schedule; (ii) is under any obligation to research, investigate, 

supplement, or verify the veracity of, any price, data, quote or other information 

received from a SwapClear Clearing Member in connection with the Cash Settlement 

Schedule; (iii) is acting as a fiduciary for, or as an advisor to, any SwapClear Clearing 

Member or SwapClear Clearing Client in connection with the Cash Settlement 

Schedule or any SwapClear Contract registered as a result of the matters specified in 

the Cash Settlement Schedule; (iv) shall be under any requirement to consult with, or 

individually notify, a SwapClear Clearing Member or SwapClear Clearing Client in 

connection with making its determinations, exercising its discretions or performing its 

duties or obligations or exercising its rights, each under the Cash Settlement Schedule; 

or (v) has made any representation, express or implied, in relation to the Cash 

Settlement Schedule, and each SwapClear Clearing Member acknowledges that it has 
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not relied on any representations made by the Clearing House or any other member of 

the LCH Group in relation to the Cash Settlement Schedule.

5.4 For the avoidance of doubt, notwithstanding anything herein, in the applicable Rate 

Change Annex for SOFR or Cash Settlement Supplement, neither the Clearing House 

nor any other member of the LCH Group shall be liable for any obligations of, or to 

any person who is not, a SwapClear Clearing Member.
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SWAPCLEAR SCM SERVICE - RATE CHANGE ANNEX – EURO SHORT TERM 

RATE (€STR)

1. SCOPE AND INTERPRETATION

(a) This Annex constitutes a “Rate Change Annex” as defined in the Regulations and 

supplements and forms part of the Rulebook.

(b) This Annex relates to the change in the rate from the Euro OverNight Index Average 

(EONIA) to the Euro Short Term Rate (€STR) for the purposes of (i) calculating PAI, 

(ii) calculating the Price Alignment Amount, and (iii) constituting the relevant 

underlying benchmark for the instruments used to construct the Clearing House’s zero 

coupon yield curves under 1.7.2 of Section 2C of the Procedures to calculate the net 

present value, each in relation to Impacted SwapClear Contracts. 

(c) The terms of this Annex shall apply to all Impacted SwapClear Contracts of the type 

set-out in the Rate Change Notice relating to €STR as set out below. For the avoidance 

of doubt, (i) no other SwapClear Contract shall be subject to, or affected by, the terms 

of this Annex and each SwapClear Contract shall remain in full force and effect, and 

(ii) the SwapClear Contract Terms shall not be amended by the terms of this Annex. 

(d) Capitalized terms used but not otherwise defined in this Annex have the meaning given 

to them in the Regulations. The term "business day" has the meaning given to it in the 

Regulations.

(e) The terms of this Annex relating to operational or procedural matters may be 

supplemented, modified, amended, replaced or withdrawn from time to time by the 

Clearing House in its sole discretion through a member circular or such other method 

as the Clearing House shall determine is appropriate.

2. DEFINITIONS

For the purposes of this Annex:

Cash Compensation Amount means, in relation to the Impacted SwapClear Contracts in a 

Proprietary Account, an Individual Segregated Account, or a "position account" within an 

Omnibus Segregated Account, the amount determined in accordance with Section 4 below.

Cash Compensation Contract means each contract determined by the Clearing House and 

registered in the relevant Proprietary Account, Individual Segregated Account or "position 

account" within an Omnibus Segregated Account pursuant to Section 4 below. 

EONIA Discounted Value means, in relation to an Impacted SwapClear Contract, the net 

present value, as of the time end of the "business day" in New York on the €STR Calculation 

Date determined by the Clearing House, of all future cash flows under that Impacted SwapClear 

Contract calculated using EONIA as the discounting rate for the purpose of constructing the 

zero coupon yield curves under 1.7.2 of Section 2C of the Procedures (with the future cash 

flows calculated in the same manner as for the determination of the €STR Discounted Value). 

If the net present value represents an asset or positive value for the Clearing House, such 
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EONIA Discounted Value shall be a positive amount and if the net present value represents a 

liability or negative value for the Clearing House, such EONIA Discounted Value shall be a 

negative amount.

€STR Calculation Date means in relation to a Rate Change Notice relating to €STR the date 

specified as such by the Clearing House and specified in the Rate Change Notice relating to 

€STR, being the date on which the Clearing House shall calculate the amounts and values 

specified in Section 4 below.

€STR Discounted Value means, in relation to an Impacted SwapClear Contract, the net 

present value, as of the time end of the "business day" in New York on the €STR Calculation 

Date determined by the Clearing House, of all future cash flows under that Impacted SwapClear 

Contract calculated using €STR as the discounting rate for the purpose of constructing the zero 

coupon yield curves under 1.7.2 of Section 2C of the Procedures (with the future cash flows 

calculated in the same manner as for the determination of the EONIA Discounted Value). If 

the net present value represents an asset or positive value for the Clearing House, such €STR 

Discounted Value shall be a positive amount and if the net present value represents a liability 

or negative value for the Clearing House, such €STR Discounted Value shall be a negative 

amount. 

3. OBLIGATIONS TO MAKE CERTAIN CALCULATIONS AND ENTER INTO 

CERTAIN CONTRACTS

Pursuant to Regulation 60B of the Regulations, this Annex sets out the method for (i) 

calculating the Cash Compensation Amounts (which are “Rate Change Payments” for 

purposes of Regulation 60B), and (ii) determining the terms of the Cash Compensation 

Contracts which shall be registered in order to effect the payment of the Cash 

Compensation Amounts. . 

4. DETERMINATION OF THE CASH COMPENSATION AMOUNT AND THE 

CASH COMPENSATION CONTRACTS FOLLOWING THE CHANGE TO 

€STR

(a) Immediately following the €STR Calculation Date the Clearing House shall calculate:

(i) the aggregate EONIA Discounted Value and the aggregate €STR Discounted 

Value in relation to all Impacted SwapClear Contracts registered in each 

Proprietary Account as of the time end of the "business day" in New York on 

the €STR Calculation Date determined by the Clearing House; 

(ii) the aggregate EONIA Discounted Value and the aggregate €STR Discounted 

Value in relation to all Impacted SwapClear Contracts registered in each 

Individual Segregated Account as of the time end of the "business day" in New 

York on the €STR Calculation Date determined by the Clearing House; and

(iii) the aggregate EONIA Discounted Value and the aggregate €STR Discounted 

Value in relation to all Impacted SwapClear Contracts registered in each 

"position account" within each Omnibus Segregated Account as of the time end 

of the "business day" in New York on the €STR Calculation Date determined 

by the Clearing House.
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(b) The Clearing House shall determine a single Cash Compensation Amount separately in 

respect of all of the Impacted SwapClear Contracts in each Proprietary Account, each 

Individual Segregated Account, and each "position account" within each Omnibus 

Segregated Account as follows. If:

(i) the aggregate €STR Discounted Value in relation to all such Impacted 

SwapClear Contracts exceeds the aggregate EONIA Discounted Value in 

relation to all such Impacted SwapClear Contracts then the Cash Compensation 

Amount in relation to such Impacted SwapClear Contracts shall be equal to the 

absolute value of the difference, and shall be an amount in favor of the Clearing 

House in relation to such Proprietary Account, Individual Segregated Account, 

or "position account" within such Omnibus Segregated Account (as applicable); 

and

(ii) the aggregate €STR Discounted Value in relation to all such Impacted 

SwapClear Contracts is less than the aggregate EONIA Discounted Value in 

relation to all such Impacted SwapClear Contracts then the Cash Compensation 

Amount in relation to such Impacted SwapClear Contracts shall be equal to the 

absolute value of the difference, and shall be an amount in favor of the 

SwapClear Clearing Member in relation to such Proprietary Account, Individual 

Segregated Account, or "position account" within such Omnibus Segregated 

Account (as applicable).

(c) The Clearing House shall, pursuant to Regulation 60B, register a separate Cash 

Compensation Contract in each Proprietary Account, each Individual Segregated 

Account and each "position account" within an Omnibus Segregated Account in 

relation to the Cash Compensation Amount (to the extent such amounts are applicable 

to such account or "position account"). Each SwapClear Clearing Member and the 

Clearing House (as applicable) irrevocably agrees that it shall be bound to pay the Cash 

Compensation Amount to the other pursuant to the terms of the related Cash 

Compensation Contract. Each Cash Compensation Contract shall be registered for the 

sole purpose of effecting the payment of the Cash Compensation Amount to which it 

relates. It shall operationally be recorded as having a "Notional Amount" (as defined in 

the SwapClear Contract Terms) of EUR1, a "Termination Date" (as defined in the 

SwapClear Contract Terms) falling two “business days” after the €STR Calculation 

Date, and an obligation on the Clearing House or the SwapClear Clearing Member (as 

applicable) to pay to the other an amount equal to the Cash Compensation Amount 

related to the relevant Proprietary Account, Individual Segregated Account, or "position 

account" within the relevant Omnibus Segregated Account, in each case as determined 

pursuant to Section 4(b) above, with a positive Cash Compensation Amount 

representing an amount payable by the Clearing House to the SwapClear Clearing 

Member and a negative Cash Compensation Amount representing an amount payable 

to the Clearing House by the SwapClear Clearing Member. However, Neither the 

Clearing House nor a SwapClear Clearing Member shall be required to pay any 

amounts under a Cash Compensation Contract other than the Cash Compensation 

Amount to which such Cash Compensation Contract relates.

(d) Each SwapClear Clearing Member agrees to be bound by each Cash Compensation 

Contract registered pursuant to this Section 4, which shall, when registered, constitute 

a SwapClear Contract between the Clearing House and the relevant SwapClear Clearing 
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Member that has arisen by reason of the application of the Regulations to the Impacted 

SwapClear Contracts.

(e) Each SwapClear Clearing Member agrees (and in the case of (e)(iv) below, each 

SwapClear Clearing Member and the Clearing House agrees):

(i) to use reasonable endeavors to provide each of its SwapClear Clearing Clients 

with (i) information on the change in the rate from EONIA to €STR pursuant to 

the terms of Regulation 60B and this Annex, (ii) information on the amounts 

payable pursuant to the terms of the Cash Compensation Contracts which may 

be allocated to that SwapClear Clearing Client’s Individual Segregated 

Account, or "position account" within such Omnibus Segregated Account 

pursuant to the terms of this Annex, and (iii) other information (indicative or 

otherwise) in relation to each SwapClear Clearing Client’s "position account. 

Such information shall include the terms of this Annex and any information 

which it has received from, or is made available by, the Clearing House in 

connection with this Annex;

(ii) that it, and each of SwapClear Clearing Client, shall be bound by the terms of 

any Cash Compensation Contracts registered pursuant to this Annex and all 

payment obligations thereunder (as determined by the Clearing House pursuant 

to this Annex);

(iii) to perform all obligations and exercise all rights under this Annex in accordance 

with Applicable Law; and

(iv) that each Cash Compensation Contract is being registered in the relevant

account in connection with the matters specified in this Annex and the 

obligations thereunder are for the sole purpose of addressing the value impact 

of the change from EONIA to €STR.

5. DETERMINATIONS BINDING

Subject to Section 8, all determinations and calculations made by the Clearing House 

pursuant to this Annex shall be binding and may in no circumstances (other than in the 

case of manifest error) be called into question by any person.

6. RECORDS

The Clearing House shall update its books and records to reflect the Cash Compensation 

Contracts and the amounts payable thereunder and the obligation to pay, or the right to 

receive, any such amounts may be reflected in the books and records of the Clearing 

House in such manner as the Clearing House determines is necessary to meet its 

operational requirements.

7. MISCELLANEOUS

(a) The obligations of the Clearing House to each SwapClear Clearing Member shall be to 

perform its obligations as principal to such SwapClear Clearing Member in accordance 

with the Rulebook, but subject to the restrictions on the Clearing House’s obligations 

and liabilities contained in the Rulebook and Section 8.
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(b) The terms of this Annex are without prejudice to the Clearing House’s rights under the 

Procedures to change the rate used for the purposes of (i) calculating PAI, (ii) 

calculating the Price Alignment Amount, and (iii) constructing the Clearing House’s 

zero coupon yield curves under 1.7.2 of Section 2C of the Procedures from time to time 

and such terms shall not be relevant or binding on the Clearing House in respect of any 

such changes.

(c) The performance by the Clearing House of its obligations hereunder shall always be 

subject to the provisions of the Rulebook. The benefit of the performance by the 

Clearing House of its obligations under this Annex is conferred upon SwapClear 

Members only, as principal, and a person who is not a party to the Rulebook has no 

right under Contracts (Rights of Third Parties) Act 1999 (as amended from time to time) 

to enforce any term of this Annex.

8. LIMITATION OF LIABILITY

8.1 Without prejudice to the generality of Regulation 52, each SwapClear Clearing Member 

agrees:

(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any SwapClear Clearing Member or any other

person (including, without limitation, any SwapClear Clearing Client) whether 

in contract, tort (including, without limitation, negligence), trust, as a fiduciary 

or under any other cause of action, and whether in respect of any damages, loss 

or gain, cost or expense (whether direct, indirect, general, special, 

consequential, punitive or otherwise); and 

(b) to waive any claim against the Clearing House or any member of the LCH 

Group; 

arising or that may arise in connection with:

(i) any determination, calculation, notification, registration, publication, exercise 

of discretion, or decision, taken or not taken by the Clearing House or any other 

member of the LCH Group in connection with this Annex; or

(ii) the determination or publication of any price, curve, data, quote or other 

information arising from, or in connection with, this Annex;

except in the case of fraud or wilful misconduct on the part of the Clearing House or 

any other member of the LCH Group. 

8.2 Without prejudice to the generality of Regulation 52 and clause 8.1 above, each 

SwapClear Clearing Member further agrees:

(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any SwapClear Clearing Member or any other 

person (including, without limitation, any SwapClear Clearing Client) in tort 

(including, without limitation, negligence), trust, as a fiduciary or under any 

other non-contractual cause of action, or under any implied contractual term, 

and whether in respect of any damages, loss or gain, cost or expense (whether 

direct, indirect, general, special, consequential, punitive or otherwise); and 
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(b) to waive any non-contractual claim or claim under any implied contractual term 

against the Clearing House or any member of the LCH Group; 

arising or that may arise in connection with the Clearing House's performance of its 

contractual duties or obligations under this Annex, except in the case of fraud or wilful 

misconduct on the part of the Clearing House or any other member of the LCH Group. 

8.3 Each SwapClear Clearing Member agrees that neither the Clearing House nor any other 

member of the LCH Group (i) owes any duty of care to any person in connection with 

the performance of the Clearing House’s duties or obligations or exercise of its rights 

under this Annex, save for the express contractual duties set forth in this Annex; (ii) is 

under any obligation to research, investigate, supplement, or verify the veracity of, any 

price, data, quote or other information received from a SwapClear Clearing Member in 

connection with this Annex; (iii) is acting as a fiduciary for, or as an advisor to, any 

SwapClear Clearing Member or SwapClear Clearing Client in connection with this 

Annex or any SwapClear Contract registered as a result of the matters specified in this 

Annex; (iv) shall be under any requirement to consult with, or individually notify (other 

than as expressly set out in this Annex), a SwapClear Clearing Member or SwapClear 

Clearing Client in connection with making its determinations, exercising its discretions 

or performing its duties or obligations or exercising its rights, each under this Annex; 

or (v) has made any representation, express or implied, in relation to this Annex, and 

each SwapClear Clearing Member acknowledges that it has not relied on any 

representations made by the Clearing House or any other member of the LCH Group in 

relation to this Annex.

8.4 For the avoidance of doubt, notwithstanding anything to the contrary herein, neither the 

Clearing House nor any other member of the LCH Group shall be liable for any 

obligations of, or to any person who is not, a SwapClear Clearing Member.
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SCHEDULE 3

SWAPCLEAR SCM SERVICE – FLOATING RATE CONVERSION ANNEX –

EURO OVERNIGHT INDEX AVERAGE (EONIA)

1. SCOPE AND INTERPRETATION

(a) This Annex constitutes a “Floating Rate Conversion Annex” as defined in and 

pursuant to the Regulations and supplements and forms part of the Rulebook.

(b) The terms of this Annex shall apply to all open SwapClear Contracts that (i) 

specify an In-Scope Floating Rate Option as the floating rate or use an In-Scope 

Floating Rate Option to calculate the floating amount thereunder, and (ii) are 

registered with the Clearing House at the time end of the “business day” in New 

York on the Conversion Cut-Off Date determined by the Clearing House (each 

such SwapClear Contract, an EONIA Contract). For the avoidance of doubt, 

(A) no other SwapClear Contract shall be subject to, or affected by, the terms 

of this Annex and all SwapClear Contracts shall remain in full force and effect 

as amended pursuant to the Floating Rate Conversion Annexes, and (B) other 

than as expressly set out in this Annex, the SwapClear Contract Terms shall not 

be amended, supplemented or modified by the terms of this Annex.

(c) Capitalised terms used but not otherwise defined herein have the meaning given 

to them in the Regulations. The term "business day" has the meaning given to 

it in the Regulations.

(d) The terms of this Annex relating to operational or procedural matters may be 

supplemented, modified, amended, replaced or withdrawn from time to time by 

the Clearing House in its sole discretion through a member circular or such other 

method as the Clearing House shall determine is appropriate.

2. DEFINITIONS

2.1 For the purposes of this Annex:

Amended EONIA Contract means each EONIA Contract after giving effect to the 

amendments made pursuant to Section 3 of this Annex.

Cash Compensation Amount means, in relation to the EONIA Contracts in a Proprietary 

Account, an Individual Segregated Account, or a "position account" within an Omnibus 

Segregated Account, the amount determined in accordance with Section 5 below.

Cash Compensation Contract means each contract determined by the Clearing House and 

registered in the relevant Proprietary Account, Individual Segregated Account or "position 

account" within an Omnibus Segregated Account pursuant to Section 5 below.

Conversion Cut-Off Date means the business day immediately prior to the Conversion Date. 

Conversion Date means October 16, 2021, or such other date as may be specified by the 

Clearing House from time to time through a member circular or such other method as the 

Clearing House shall determine is appropriate.

EONIA Contract has the meaning given to the term in Section 1(b) hereto.
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EONIA Value means, in relation to an EONIA Contract, the net present value, determined by 

the Clearing House by reference to the Clearing House’s zero coupon yield curves as of the 

time specified in Section 1.7.2 of these Procedures on the Conversion Date, of all future cash 

flows under that EONIA Contract on the basis that such EONIA Contract is an Unamended 

EONIA Contract. If the net present value represents an asset or positive value for the Clearing 

House, such EONIA Value shall be a positive amount and if the net present value represents a 

liability or negative value for the Clearing House, such EONIA Value shall be a negative 

amount.

€STR Value means, in relation to an EONIA Contract, the net present value, determined by 

the Clearing House by reference to the Clearing House’s zero coupon yield curves as of the 

time specified in Section 1.7.2 of these Procedures on the Conversion Date, of all future cash 

flows under that EONIA Contract on the basis that such EONIA Contract is an Amended 

EONIA Contract. If the net present value represents an asset or positive value for the Clearing 

House, such €STR Value shall be a positive amount and if the net present value represents a 

liability or negative value for the Clearing House, such €STR Value shall be a negative amount.

EUR-EONIA-OIS-COMPOUND has the meaning given to it in the ISDA 2000 Definitions 

or ISDA 2006 Definitions (as applicable)

EUR-EONIA-OIS Compound has the meaning given to it in the ISDA 2021 Definitions.

EUR-EuroSTR-COMPOUND has the meaning given to it in the ISDA 2000 Definitions or

ISDA 2006 Definitions (as applicable).

EUR-EuroSTR-OIS Compound has the meaning given to it in the ISDA 2021 Definitions.

In-Scope Floating Rate Option means EUR-EONIA-OIS COMPOUND or EUR-EONIAOIS Compound.

ISDA Definitions means the ISDA 2000 Definitions, the ISDA 2006 Definitions and the ISDA 

2021 Definitions, each as published by the International Swaps and Derivatives Association, 

Inc.

Unamended EONIA Contract means each EONIA Contract prior to giving effect to the 

amendments made pursuant to Section 3 below.

3. AMENDMENT TO EONIA CONTRACTS

3.1

(a) Pursuant to Regulation 60C of the Regulations, with effect from, and including, 

the Conversion Date, each EONIA Contract shall be amended so that each 

reference to EONIA shall instead be deemed to be a reference to the Euro ShortTerm Rate (€STR) (without any spread) and each reference to an In-Scope 

Floating Rate Option shall instead be a reference to EUR-EuroSTRCOMPOUND or EUR-EuroSTR-OIS Compound (as applicable), depending on 

the ISDA Definitions incorporated into the relevant EONIA Contract.

(b) No other term of any EONIA Contract shall be amended under this Annex.
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4. OBLIGATIONS TO MAKE CERTAIN CALCULATIONS AND ENTER 

INTOCERTAIN CONTRACTS

(a) Pursuant to Regulation 60C of the Regulations, this Annex sets out the method 

for (i) calculating the Cash Compensation Amounts (which are “Conversion 

Payments” for purposes of Regulation 60C), and (ii) determining the terms of 

the Cash Compensation Contracts which shall be registered in order to effect 

the payment of the Cash Compensation Amounts.

5. DETERMINATION OF THE CASH COMPENSATION AMOUNT AND THE 

CASH COMPENSATION CONTRACTS FOLLOWING THE CHANGE TO 

€STR

(a) On the Conversion Date the Clearing House shall calculate:

(i) the aggregate EONIA Value and the aggregate €STR Value in relation 

to all EONIA Contracts registered in each Proprietary Account as of the 

time end of the business day in New York on the Conversion Cut-Off 

Date determined by the Clearing House; and

(ii) the aggregate EONIA Value and the aggregate €STR Value in relation 

to EONIA Contracts registered in each Individual Segregated Account 

as of the time end of the business day in New York on the Conversion 

Cut-Off Date determined by the Clearing House.

(b) The Clearing House shall determine a single Cash Compensation Amount 

separately in respect of all of the EONIA Contracts in each Proprietary Account, 

each Individual Segregated Account, and each "position account" within each 

Omnibus Segregated Account as follows. If:

(i) the aggregate €STR Value in relation to all such EONIA Contracts 

exceeds the aggregate EONIA Value in relation to all such EONIA 

Contracts then the Cash Compensation Amount in relation to such 

EONIA Contracts shall be equal to the absolute value of the excess, and 

shall be an amount in favor of the SwapClear Clearing Member in 

relation to such Proprietary Account, Individual Segregated Account, or 

"position account" within such Omnibus Segregated Account (as 

applicable); and

(ii) he aggregate €STR Value in relation to all such EONIA Contracts is less 

than the aggregate EONIA Value in relation to all such EONIA 

Contracts then the Cash Compensation Amount in relation to such 

EONIA Contracts shall be equal to the absolute value of the excess, and 

shall be an amount in favor of the Clearing House in relation to such 

Proprietary Account, Individual Segregated Account, or "position 

account" within such Omnibus Segregated Account (as applicable).

(c) The Clearing House shall, pursuant to Regulation 60C, register a separate Cash 

Compensation Contract in each Proprietary Account, each Individual 

Segregated Account and each "position account" within an Omnibus Segregated 

Account in relation to the Cash Compensation Amount (to the extent such 
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amounts are applicable to such account or "position account"). Each SwapClear 

Clearing Member and the Clearing House (as applicable) irrevocably agrees that 

it shall be bound to pay the Cash Compensation Amount to the other pursuant 

to the terms of the related Cash Compensation Contract. Each Cash 

Compensation Contract shall be registered for the sole purpose of effecting the 

payment of the Cash Compensation Amount to which it relates. It shall 

operationally be recorded as having a "Notional Amount" (as defined in the 

SwapClear Contract Terms) of EUR1, a "Termination Date" (as defined in the 

SwapClear Contract Terms) falling two business days after the Conversion CutOff Date, and an obligation on the Clearing House or the SwapClear Clearing 

Member (as applicable) to pay to the other on that "Termination Date" an 

amount equal to the Cash Compensation Amount related to the relevant 

Proprietary Account, Individual Segregated Account, or "position account" 

within the relevant Omnibus Segregated Account, in each case as determined 

pursuant to Section 5(b) above. However, neither the Clearing House nor a 

SwapClear Clearing Member shall be required to pay any amounts under a Cash 

Compensation Contract other than the Cash Compensation Amount to which 

such Cash Compensation Contract relates.

(d) Each SwapClear Clearing Member agrees to be bound by each Cash 

Compensation Contract registered pursuant to this Section 5, which shall, when 

registered, constitute a SwapClear Contract between the Clearing House and the 

relevant SwapClear Clearing Member that has arisen by reason of the 

application of the Regulations to the EONIA Contracts.

(e) Each SwapClear Clearing Member agrees (and in the case of (e)(iv) below, each 

SwapClear Clearing Member and the Clearing House agrees):

(i) to use reasonable endeavors to provide each of its SwapClear Clearing 

Clients with (i) information on the change to the EONIA Contracts 

pursuant to the terms of Regulation 60C and this Annex, (ii) information 

on the amounts payable pursuant to the terms of the Cash Compensation 

Contracts which may be allocated to that SwapClear Clearing Client’s 

Individual Segregated Account, or "position account" within an 

Omnibus Segregated Account pursuant to the terms of this Annex, and 

(iii) other information (indicative or otherwise) in relation to each 

SwapClear Clearing Client’s "position account". Such information shall 

be set out in 'Risk Notices' or other materials from the Clearing House 

in connection with this Annex (or any applicable Floating Rate 

Conversion Notice(s)) expressly marked for distribution to SwapClear 

Clearing Clients;

(ii) that it, and each SwapClear Clearing Client, shall be bound by the terms 

of any Cash Compensation Contracts registered pursuant to this Annex 

and all payment obligations thereunder (as determined by the Clearing 

House pursuant to this Annex);

(iii) to perform all obligations and exercise all rights under or pursuant to 

this Annex in accordance with Applicable Law; and
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(iv) that each Cash Compensation Contract is being registered in the relevant 

account in connection with the matters specified in this Annex and the 

obligations thereunder are for the sole purpose of addressing the value 

impact of the changes to the EONIA Contracts pursuant to this Annex.

6. ELIGIBILITY FROM THE CONVERSION DATE

Notwithstanding anything to the contrary in the Product Specific Contract Terms and 

Eligibility Criteria Manual, from and including the Conversion Date the Clearing House 

shall not accept for clearing or registration any SwapClear Transaction that specifies an 

In-Scope Floating Rate Option.

7. DETERMINATIONS BINDING

Subject to Section 10, all determinations and calculations made by the Clearing House 

pursuant to this Annex shall be binding and may in no circumstances (other than in the 

case of manifest error) be called into question by any person.

8. RECORDS

The Clearing House shall update its books and records to reflect the Cash Compensation 

Contracts and the amounts payable thereunder and the obligation to pay, or the right to 

receive, any such amounts may be reflected in the books and records of the Clearing 

House in such manner as the Clearing House determines is necessary to meet its 

operational requirements.

9. MISCELLANEOUS

(a) The obligations of the Clearing House to each SwapClear Clearing 

Member shall be to perform its obligations as principal to such 

SwapClear Clearing Member in accordance with the Rulebook, but 

subject to the restrictions on the Clearing House’s obligations and 

liabilities contained in the Rulebook and Section 10.

(b) The terms of this Annex are without prejudice to the Clearing House’s 

rights under the Regulations and the Procedures to change the terms of 

any open SwapClear Contract from time to time and such terms shall 

not be relevant or binding on the Clearing House in respect of any such 

changes.

(c) The performance by the Clearing House of its obligations hereunder 

shall always be subject to the provisions of the Rulebook. The benefit 

of the performance by the Clearing House of its obligations under this 

Annex is conferred upon SwapClear Clearing Members only, as 

principal, and a person who is not a party to the Rulebook has no right 

under Contracts (Rights of Third Parties) Act 1999 (as amended from 

time to time) to enforce any term of this Annex.

10. LIMITATION OF LIABILITY

10.1 Without prejudice to the generality of Regulation 52, each SwapClear Clearing Member 

agrees:
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(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any SwapClear Clearing Member or any other 

person (including, without limitation, any SwapClear Clearing Client) whether 

in contract, tort (including, without limitation, negligence), trust, as a fiduciary 

or under any other cause of action, and whether in respect of any damages, loss 

or gain, cost or expense (whether direct, indirect, general, special, 

consequential, punitive or otherwise); and

(b) to waive any claim against the Clearing House or any member of the LCH 

Group; arising or that may arise in connection with:

(i) any determination, calculation, notification, registration, publication, 

exercise of discretion, or decision, taken or not taken by the Clearing 

House or any other member of the LCH Group in connection with this 

Annex; or

(ii) the determination or publication of any price, curve, data, quote or other 

information arising from, or in connection with, this Annex; except in 

the case of fraud or wilful misconduct on the part of the Clearing House 

or any other member of the LCH Group.

10.2 Without prejudice to the generality of Regulation 52 and Section 10.1 above, each 

SwapClear Clearing Member further agrees:

(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any SwapClear Clearing Member or any other 

person (including, without limitation, any SwapClear Clearing Client) in tort 

(including, without limitation, negligence), trust, as a fiduciary or under any 

other non-contractual cause of action, or under any implied contractual term, 

and whether in respect of any damages, loss or gain, cost or expense (whether 

direct, indirect, general, special, consequential, punitive or otherwise); and

(b) to waive any non-contractual claim or claim under any implied contractual term 

against the Clearing House or any member of the LCH Group; arising or that 

may arise in connection with the Clearing House's performance of its 

contractual duties or obligations under this Annex, except in the case of fraud 

or wilful misconduct on the part of the Clearing House or any other member of 

the LCH Group.

10.3 10.3 Each SwapClear Clearing Member agrees that neither the Clearing House nor any 

other member of the LCH Group (i) owes any duty of care to any person in connection 

with the performance of the Clearing House’s duties or obligations or exercise of its 

rights under this Annex, save for the express contractual duties set forth in this Annex; 

(ii) is under any obligation to research, investigate, supplement, or verify the veracity 

of, any price, data, quote or other information received from a SwapClear Clearing 

Member in connection with this Annex; (iii) is acting as a fiduciary for, or as an advisor 

to, any SwapClear Clearing Member or SwapClear Clearing Client in connection with 

this Annex or any SwapClear Contract registered as a result of the matters specified in 

this Annex; (iv) shall be under any requirement to consult with, or individually notify 

(other than as expressly set out in this Annex), a SwapClear Clearing Member or 

SwapClear Clearing Client in connection with making its determinations, exercising its 
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discretions or performing its duties or obligations or exercising its rights, each under 

this Annex; or (v) has made any representation, express or implied, in relation to this 

Annex, and each SwapClear Clearing Member acknowledges that it has not relied on 

any representations made by the Clearing House or any other member of the LCH 

Group in relation to this Annex. 

For the avoidance of doubt, notwithstanding anything to the contrary herein, neither the Clearing House 

nor any other member of the LCH Group shall be liable for any obligations of, or to any person who is 

not, a SwapClear Clearing Member.
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SCHEDULE 4

SWAPCLEAR SCM SERVICE –

FLOATING RATE CONVERSION ANNEX – LIBOR

1. SCOPE AND INTERPRETATION

(a) This Annex constitutes a “Floating Rate Conversion Annex” as defined in and pursuant 

to the Regulations and supplements and forms part of the Rulebook.

(b) The terms of this Annex shall apply to all open SwapClear Contracts that (i) specify an 

In-Scope Floating Rate Option as the floating rate or use an In-Scope Floating Rate 

Option to calculate the floating amount thereunder, and (ii) are registered with the 

Clearing House as of the time end of the “business day” in New York on the Conversion 

Cut-Off Date determined by the Clearing House (each such SwapClear Contract, a 

LIBOR Contract). For the avoidance of doubt, (A) no other SwapClear Contract shall 

be subject to, or affected by, the terms of this Annex and all SwapClear Contracts shall 

remain in full force and effect, and (B) other than as expressly set out in this Annex, 

the SwapClear Contract Terms shall not be amended, supplemented or modified by the 

terms of this Annex. 

(c) Capitalised terms used but not otherwise defined herein have the meaning given to them 

in the Regulations. The term "business day" has the meaning given to it in the 

Regulations.

(d) The terms of this Annex relating to operational or procedural matters may be 

supplemented, modified, amended, replaced or withdrawn from time to time by the 

Clearing House in its sole discretion through a member circular or such other method 

as the Clearing House shall determine is appropriate.

2. DEFINITIONS

For the purposes of this Annex:

Affected Forward Rate Agreement means each open Forward Rate Agreement that has a 

“Reset Date” (as defined in the ISDA Definitions) which (i) in the case of a Forward Rate 

Agreement for which the floating rate is GBP-LIBOR-BBA or GBP-LIBOR, falls on, or after, 

the "Index Cessation Effective Date" (as defined in the ISDA Definitions) related to those InScope Floating Rate Options, or (ii) in the case of a Forward Rate Agreement for which the 

floating rate is an In-Scope Floating Rate Option other than GBP-LIBOR-BBA or GBPLIBOR, falls on or after the Relevant Number of Business Days from the "Index Cessation 

Effective Date" (as defined in the ISDA Definitions) related to the In-Scope Floating Rate 

Option referenced in the relevant Forward Rate Agreement.

Amended LIBOR Contract means each LIBOR Contract after giving effect to the 

amendments made pursuant to Section 3 below and, in respect of the Affected Forward Rate 

Agreements, the amendments made pursuant to Section 4 below.

Basis Swap Operational Split Date means October 2, 2021, or such other date as may be 

specified by the Clearing House from time to time through a member circular or such other 

method as the Clearing House shall determine is appropriate.
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Bloomberg Spread means, in relation to an In-Scope Floating Rate Option, the spread relating 

to that In-Scope Floating Rate Option for a period of the Designated Maturity (as defined in 

the ISDA Definitions) of that LIBOR Contract provided by Bloomberg Index Services Limited 

(or a successor provider as approved and/or appointed by ISDA from time to time).

Cash Compensation Amount means, in relation to all LIBOR Contracts that specify an InScope Floating Rate Option as the floating rate or use an In-Scope Floating Rate Option to 

calculate the floating amount thereunder in a Proprietary Account, an Individual Segregated 

Account, or a "position account" within an Omnibus Segregated Account, the amount 

determined in accordance with Section 8 below, or, in relation to Legacy LIBOR Transactions, 

the amount determined in accordance with Section 11 below.

Cash Compensation Contract means each contract determined by the Clearing House and 

registered in the relevant Proprietary Account, Individual Segregated Account or "position 

account" within an Omnibus Segregated Account pursuant to Section 8 or Section 11 (as 

applicable) below. 

Conversion Cut-Off Date means, with respect to a LIBOR Contract, the business day 

immediately prior to the Conversion Date applicable to such LIBOR Contract as determined in 

accordance with the definition of “Conversion Date” below.

Conversion Date means:

(a) in relation to each LIBOR Contract (including each Affected Forward Rate Agreement) 

that specifies CHF-LIBOR-BBA, CHF-LIBOR, EUR-LIBOR-BBA, EUR-LIBOR, 

JPY-LIBOR-BBA or JPY-LIBOR as the floating rate or uses CHF-LIBOR-BBA, CHFLIBOR, EUR-LIBOR-BBA, EUR-LIBOR, JPY-LIBOR-BBA, or JPY-LIBOR to 

calculate the floating amount thereunder, December 4, 2021, or such other date as may 

be specified by the Clearing House from time to time through a member circular or 

such other method as the Clearing House shall determine is appropriate; and

(b) in relation to each LIBOR Contract (including each Affected Forward Rate Agreement) 

that specifies GBP-LIBOR-BBA or GBP-LIBOR as the floating rate or uses GBPLIBOR-BBA or GBP-LIBOR to calculate the floating amount thereunder, December 

18, 2021, or such other date as may be specified by the Clearing House from time to 

time through a member circular or such other method as the Clearing House shall 

determine is appropriate.

CHF-SARON-OIS-COMPOUND has the meaning given to it in the ISDA 2006 Definitions.

CHF-SARON-OIS Compound has the meaning given to it in the ISDA 2021 Definitions.

EUR-EuroSTR-COMPOUND has the meaning given to it in the ISDA 2006 Definitions.

EUR-EuroSTR-OIS Compound has the meaning given to it in the ISDA 2021 Definitions.

Fallback RFR Value means, in relation to a LIBOR Contract, the net present value, 

determined by the Clearing House as of the Conversion Date, of all future cash flows under 

that LIBOR Contract on the basis that such LIBOR Contract is not amended pursuant to this 

Annex, provided however that, for purposes of determining the Fallback RFR Value of an 

Affected Forward Rate Agreement, the provisions of Supplement 70 to the ISDA 2006 

Definitions (and the equivalent provisions under the ISDA 2021 Definitions) shall not be taken 
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into account. If the net present value represents an asset or positive value for the Clearing 

House, such Fallback RFR Value shall be a positive amount and if the net present value 

represents a liability or negative value for the Clearing House, such Fallback RFR Value shall 

be a negative amount. 

Forward Rate Agreement means each SwapClear Contract that is recorded as a “forward rate 

transaction” or “forward rate agreement” in the books and records of the Clearing House and 

references an In-Scope Floating Rate Option.

GBP-SONIA-COMPOUND has the meaning given to it in the ISDA 2006 Definitions.

GBP-SONIA-OIS Compound has the meaning given to it in the ISDA 2021 Definitions.

In-Scope Floating Rate Option means:

(a) CHF-LIBOR-BBA (as defined in the ISDA 2000 Definitions and the ISDA 2006 

Definitions);

(b) CHF-LIBOR (as defined in the ISDA 2021 Definitions);

(c) EUR-LIBOR-BBA (as defined in the ISDA 2000 Definitions and the ISDA 2006 

Definitions);

(d) EUR-LIBOR (as defined in the ISDA 2021 Definitions);

(e) GBP-LIBOR-BBA (as defined in the ISDA 2000 Definitions and the ISDA 2006 

Definitions);

(f) GBP-LIBOR (as defined in the ISDA 2021 Definitions);

(g) JPY-LIBOR-BBA (as defined in the ISDA 2000 Definitions and the ISDA 2006 

Definitions); and

(h) JPY-LIBOR (as defined in the ISDA 2021 Definitions).

ISDA Definitions means the ISDA 2000 Definitions, the ISDA 2006 Definitions and the ISDA 

2021 Definitions, each as published by the International Swaps and Derivatives Association, 

Inc. For the avoidance of doubt unless otherwise provided herein, references to the ISDA 2006 

Definitions shall mean the ISDA 2006 Definitions including Supplement 70 thereto.

JPY-TONA-OIS-COMPOUND has the meaning given to it in the ISDA 2006 Definitions.

JPY-TONA-OIS Compound has the meaning given to it in the ISDA 2021 Definitions.

Legacy LIBOR Cut-Off Date means September 21, 2021.

Legacy LIBOR End Date means December 31, 2024, or such other date as may be specified 

by the Clearing House from time to time through a member circular or such other method as 

the Clearing House shall determine is appropriate.

Legacy LIBOR Transaction means a SwapClear Transaction (other than a “forward rate 

agreement” or “forward rate transaction”) that meets the following conditions:
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(a) it is eligible under the Product Specific Contract Terms and Eligibility Criteria Manual 

in effect from time to time;

(b) it specifies an In-Scope Floating Rate Option other than EUR-LIBOR-BBA (as defined 

in the ISDA 2000 Definitions and the ISDA 2006 Definitions) or EUR-LIBOR (as 

defined in the ISDA 2021 Definitions) as the floating rate or uses an In-Scope Floating 

Rate Option other than EUR-LIBOR-BBA (as defined in the ISDA 2000 Definitions 

and the ISDA 2006 Definitions) or EUR-LIBOR (as defined in the ISDA 2021 

Definitions) to calculate the floating amount thereunder;

(c) it is presented to the Clearing House after the Conversion Date applicable to the InScope Floating Rate Option specified in the terms of that SwapClear Transaction; and 

(d) if it is presented to the Clearing House after December 31, 2021 either (i) in the case of 

SwapClear Transactions other than those referred to in (ii) below, the SwapClear 

Transaction was entered into prior to the Legacy LIBOR Cut-Off Date, or (ii) in the 

case of a SwapClear Transaction resulting from the exercise of a physically settled 

swaption, that swaption was entered into prior to the Legacy LIBOR Cut-Off Date.

LIBOR Basis Swap means each SwapClear Contract that is recorded as a “basis swap” in the 

books and records of the Clearing House and references an In-Scope Floating Rate Option.

Operational Straddle Period LIBOR Booking means an Operational Outright LIBOR 

Booking that reflects an In-Scope Floating Rate Option as the floating rate or uses an In-Scope 

Floating Rate Option to calculate the floating amount and which has a “Reset Date” (as defined 

in the ISDA Definitions) which:

(a) in the case of GBP-LIBOR-BBA or GBP-LIBOR, falls on, or prior to, the “Index 

Cessation Effective Date” (as defined in the ISDA Definitions) in relation to that InScope Floating Rate Option and relates to a Period End Date (as defined in the ISDA 

Definitions) that falls after the Conversion Date in relation to that In-Scope Floating 

Rate Option; or 

(b) in the case of all other In-Scope Floating Rate Options, falls on, or prior to, the Relevant 

Number of Business Days from the “Index Cessation Effective Date” (as defined in the 

ISDA Definitions) in relation to that In-Scope Floating Rate Option and relates to a 

Period End Date (as defined in the ISDA Definitions) that falls after the Conversion 

Date in relation to that In-Scope Floating Rate Option.

Relevant Number of Business Days means:

(a) in relation to CHF-LIBOR-BBA or CHF-LIBOR, two London Banking Days (as 

defined in the ISDA Definitions);

(b) in relation to EUR-LIBOR-BBA or EUR-LIBOR, two TARGET Settlement Days (as 

defined in the ISDA Definitions); and

(c) in relation to JPY-LIBOR-BBA or JPY-LIBOR, two London Banking Days (as defined 

in the ISDA Definitions).

RFR Value means, in relation to a LIBOR Contract, the net present value, determined by the 

Clearing House as of the Conversion Date, of all future cash flows under that LIBOR Contract 
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on the basis that such LIBOR Contract is an Amended LIBOR Contract. If the net present value 

represents an asset or positive value for the Clearing House, such RFR Value shall be a positive 

amount and if the net present value represents a liability or negative value for the Clearing 

House, such RFR Value shall be a negative amount. 

Straddle Period LIBOR Contract means a LIBOR Contract that specifies an In-Scope 

Floating Rate Option as the floating rate or uses an In-Scope Floating Rate Option to calculate 

the floating amount thereunder and which has a “Reset Date” (as defined in the ISDA 

Definitions) which:

(i) in the case of GBP-LIBOR-BBA or GBP-LIBOR, falls on, or prior to, the “Index Cessation 

Effective Date” (as defined in the ISDA Definitions) in relation to that In-Scope Floating Rate 

Option and relates to a Period End Date (as defined in the ISDA Definitions) that falls after the 

Conversion Date in relation to that In-Scope Floating Rate Option; or 

(ii) in the case of all other In-Scope Floating Rate Options, falls on, or prior to, the Relevant 

Number of Business Days from the “Index Cessation Effective Date” (as defined in the ISDA 

Definitions) in relation to that In-Scope Floating Rate Option and relates to a Period End Date 

(as defined in the ISDA Definitions) that falls after the Conversion Date in relation to that InScope Floating Rate Option.

3. AMENDMENTS TO LIBOR CONTRACTS

(a) Pursuant to Regulation 60C of the Regulations, with effect from, and including, the 

Conversion Date each LIBOR Contract other than any Affected Forward Rate 

Agreement shall be amended in accordance with this Section 3. 

Floating Rate Option:

(b) If:

(i) the LIBOR Contract references CHF-LIBOR-BBA or CHF-LIBOR (each a

CHF LIBOR Contract), then, from and including the first Reset Date falling 

after the Relevant Number of Business Days from the Index Cessation Effective 

Date in relation to such In-Scope Floating Rate Options, and notwithstanding 

anything to the contrary in the SwapClear Contract Terms, including for the 

avoidance of doubt, any fallbacks in the ISDA Definitions in so far as they relate 

to such In-Scope Floating Rate Options, any references to CHF-LIBOR-BBA 

or CHF-LIBOR in the SwapClear Contract Terms shall be deemed to be 

replaced for all purposes with CHF-SARON-OIS-COMPOUND or CHFSARON-OIS Compound depending on the ISDA Definitions incorporated into 

the relevant LIBOR Contract; 

(ii) the LIBOR Contract references GBP-LIBOR-BBA or GBP-LIBOR (each a 

GBP LIBOR Contract), then, from and including the first Reset Date falling 

after the Index Cessation Effective Date in relation to such In-Scope Floating 

Rate Options, and notwithstanding anything to the contrary in the SwapClear 

Contract Terms in so far as they relate to such In-Scope Floating Rate Options, 

including for the avoidance of doubt, any fallbacks in the ISDA Definitions, any 

references to GBP-LIBOR-BBA or GBP-LIBOR in the SwapClear Contract 

Terms shall be replaced for all purposes with GBP-SONIA-COMPOUND or 
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GBP-SONIA-OIS Compound depending on the ISDA Definitions incorporated 

into the relevant LIBOR Contract); 

(iii) the LIBOR Contract references EUR-LIBOR-BBA or EUR-LIBOR (each a 

EUR LIBOR Contract) then, from and including the first Reset Date falling 

after the Relevant Number of Business Days from the Index Cessation Effective 

Date in relation to such In-Scope Floating Rate Options, and notwithstanding 

anything to the contrary in the SwapClear Contract Terms, including for the 

avoidance of doubt, any fallbacks in the ISDA Definitions in so far as they relate 

to such In-Scope Floating Rate Options, any references to EUR-LIBOR-BBA 

or EUR-LIBOR shall be replaced for all purposes with EUR-EuroSTRCOMPOUND or EUR-EuroSTR-OIS Compound depending on the ISDA 

Definitions incorporated into the relevant LIBOR Contract; and

(iv) the LIBOR Contract references JPY-LIBOR-BBA or JPY-LIBOR (each a JPY 

LIBOR Contract), then, from and including the first Reset Date falling after 

the Relevant Number of Business Days from the Index Cessation Effective Date 

in relation to such In-Scope Floating Rate Options, and notwithstanding 

anything to the contrary in the SwapClear Contract Terms, including for the 

avoidance of doubt, any fallbacks in the ISDA Definitions in so far as they relate 

to such In-Scope Floating Rate Options, any references to JPY-LIBOR-BBA or 

JPY-LIBOR shall be replaced for all purposes with JPY-TONA-OISCOMPOUND or JPY-TONA-OIS Compound depending on the ISDA 

Definitions incorporated into the relevant LIBOR Contract.

Bloomberg Spread:

(c) From and including the first Reset Date which (i) in the case of GBP-LIBOR-BBA or 

GBP-LIBOR, falls on, or after, the "Index Cessation Effective Date" (as defined in the 

ISDA Definitions) related to those In-Scope Floating Rate Options, or (ii) in the case 

of all other In-Scope Floating Rate Options, falls on or after the Relevant Number of 

Business Days from the "Index Cessation Effective Date" (as defined in the ISDA 

Definitions) related to the In-Scope Floating Rate Option referenced in the relevant 

LIBOR Contract, the “Floating Rate” under each LIBOR Contract that specifies that 

In-Scope Floating Rate Option as the floating rate or uses that In-Scope Floating Rate 

Option to calculate the floating amount thereunder will, in addition to any “Spread” (as 

defined in the ISDA Definitions) already existing under the terms of the LIBOR 

Contract, include the Bloomberg Spread applicable to that In-Scope Floating Rate 

Option, provided however that, for such purpose the Bloomberg Spread in relation to 

JPY-LIBOR-BBA or JPY-LIBOR (as applicable) shall be multiplied by 365 divided by 

360.

Payment Date Delay:

(d)

(i) in respect of any CHF LIBOR Contract and JPY LIBOR Contract, in each case, 

“Delayed Payment” (as defined in the ISDA Definitions) shall be “Applicable” 

in relation to that LIBOR Contract and the number of days specified for such 

purposes shall be two (2) Zurich Business Days in relation to each CHF LIBOR 

Contract and two (2) Tokyo Business Days in relation to each JPY LIBOR 
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Contract. The Clearing House and the SwapClear Clearing Members 

acknowledge and agree that pursuant to the ISDA Definitions such election 

means that each Payment Date (as defined in the ISDA Definitions) shall fall 

two (2) Zurich or Tokyo Business Days (as applicable) after the relevant Period 

End Date or the Termination Date (each as defined in the ISDA Definitions), as 

applicable;

(ii) in respect of any EUR LIBOR Contract, “Delayed Payment” (as defined in the 

ISDA Definitions) shall be “Applicable” in relation to that LIBOR Contract and 

the number of days specified for such purposes shall be one (1) TARGET 

Settlement Day (as defined in the ISDA Definitions). The Clearing House and 

the SwapClear Clearing Members acknowledge and agree that pursuant to the 

ISDA Definitions such election means that each Payment Date (as defined in 

the ISDA Definitions) shall fall one (1) Business Day after the relevant Period 

End Date or the Termination Date (each as defined in the ISDA Definitions), as 

applicable; and

(iii) in respect of any GBP LIBOR Contract, “Delayed Payment” (as defined in the 

ISDA Definitions) shall be “Not Applicable” in relation to that LIBOR 

Contract. The Clearing House and the SwapClear Clearing Members 

acknowledge and agree that pursuant to the ISDA Definitions such election 

means that each Payment Date (as defined in the ISDA Definitions) shall fall 

on the relevant Period End Date or the Termination Date (each as defined in the 

ISDA Definitions), as applicable.

No Observation Period Shift:

(e) For the avoidance of doubt, the Clearing House and the SwapClear Clearing Members 

acknowledge and agree that as a result of the amendment made in paragraph (b) above, 

each "Floating Rate" under each LIBOR Contract shall be calculated over the relevant 

"Calculation Period” without any shift, adjustment or "observation shift” and all of the 

provisions relating thereto in the ISDA Definitions and the IBOR Fallback Rate 

Adjustments Rule Book published by Bloomberg Index Services Limited shall not 

apply to the calculation of the "Floating Rate" under each LIBOR Contract.

Consequential Amendments:

(f) The Clearing House shall make any consequential amendments to the terms of each 

LIBOR Contract as it deems necessary in connection with, and to give effect to, the 

amendments in this Section 3.

(g) Unless expressly referenced herein, all other terms of each LIBOR Contract shall 

remain in full force and effect and shall continue to apply, including, but not limited to, 

the “Fixed Rate”, “Day Count Fraction” “Business Days” and any “Spread” (each as 

defined in the ISDA Definitions). 

4. AMENDMENTS TO FORWARD RATE AGREEMENTS

(a) Pursuant to Regulation 60C of the Regulations, with effect from, and including, the 

relevant Conversion Date each Affected Forward Rate Agreement shall be amended so 

that from, and including, the relevant Conversion Date:
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Payment Date:

(i) the “Payment Date” under such Affected Forward Rate Agreement shall be 

amended so that the “Payment Date” is the “Termination Date” (each as defined 

in the ISDA Definitions);

Discounting:

(ii) “Discounting” (as defined in the ISDA Definitions) shall be “Not Applicable” 

and the “Discount Rate” (as defined in the ISDA Definitions) shall be deleted 

in its entirety; 

Floating Rate Option:

(iii) if:

(A) the Affected Forward Rate Agreement (as amended by (i) and (ii) above) 

is a CHF LIBOR Contract, then, from and including the first Reset Date 

falling after the Relevant Number of Business Days from the Index 

Cessation Effective Date in relation to such In-Scope Floating Rate 

Options, and notwithstanding anything to the contrary in the SwapClear 

Contract Terms, including for the avoidance of doubt, any fallbacks in 

the ISDA Definitions in so far as they relate to such In-Scope Floating 

Rate Options, any references to CHF-LIBOR-BBA or CHF-LIBOR in 

the SwapClear Contract Terms shall be deemed to be replaced for all 

purposes with CHF-SARON-OIS-COMPOUND or CHF-SARON-OIS 

Compound depending on the ISDA Definitions incorporated into the 

relevant LIBOR Contract; 

(B) the Affected Forward Rate Agreement (as amended by (i) and (ii) above) 

is a GBP LIBOR Contract, then, from and including the first Reset Date 

falling after the Index Cessation Effective Date in relation to such InScope Floating Rate Options, and notwithstanding anything to the 

contrary in the SwapClear Contract Terms in so far as they relate to such 

In-Scope Floating Rate Options, including for the avoidance of doubt, 

any fallbacks in the ISDA Definitions, any references to GBP-LIBORBBA or GBP-LIBOR in the SwapClear Contract Terms shall be 

replaced for all purposes with GBP-SONIA-COMPOUND or GBPSONIA-OIS Compound depending on the ISDA Definitions 

incorporated into the relevant LIBOR Contract); 

(C) the Affected Forward Rate Agreement (as amended by (i) and (ii) above) 

is a EUR LIBOR Contract then, from and including the first Reset Date 

falling after the Relevant Number of Business Days from the Index 

Cessation Effective Date in relation to such In-Scope Floating Rate 

Options, and notwithstanding anything to the contrary in the SwapClear 

Contract Terms, including for the avoidance of doubt, any fallbacks in 

the ISDA Definitions in so far as they relate to such In-Scope Floating 

Rate Options, any references to EUR-LIBOR-BBA or EUR-LIBOR 

shall be replaced for all purposes with EUR-EuroSTR-COMPOUND or 
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EUR-EuroSTR-OIS Compound depending on the ISDA Definitions 

incorporated into the relevant LIBOR Contract; and

(D) the Affected Forward Rate Agreement (as amended by (i) and (ii) above) 

is a JPY LIBOR Contract then, from and including the first Reset Date 

falling after the Relevant Number of Business Days from the Index 

Cessation Effective Date in relation to such In-Scope Floating Rate 

Options, and notwithstanding anything to the contrary in the SwapClear 

Contract Terms, including for the avoidance of doubt, any fallbacks in 

the ISDA Definitions in so far as they relate to such In-Scope Floating 

Rate Options, any references to JPY-LIBOR-BBA or JPY-LIBOR shall 

be replaced for all purposes with JPY-TONA-OIS-COMPOUND or 

JPY-TONA-OIS Compound depending on the ISDA Definitions 

incorporated into the relevant LIBOR Contract;

Bloomberg Spread:

(iv) from and including the first Reset Date which (i) in the case of GBP-LIBORBBA or GBP-LIBOR, falls on, or after, the "Index Cessation Effective Date" 

(as defined in the ISDA Definitions) related to those In-Scope Floating Rate 

Options, or (ii) in the case of all other In-Scope Floating Rate Options, falls on 

or after the Relevant Number of Business Days from the "Index Cessation 

Effective Date" (as defined in the ISDA Definitions) related to the In-Scope 

Floating Rate Option referenced in the relevant LIBOR Contract, the “Floating 

Rate” under each LIBOR Contract that specifies that In-Scope Floating Rate 

Option as the floating rate or uses that In-Scope Floating Rate Option to 

calculate the floating amount thereunder will include the Bloomberg Spread 

applicable to that In-Scope Floating Rate Option, provided however that, for 

such purpose the Bloomberg Spread in relation to JPY-LIBOR-BBA or JPYLIBOR (as applicable) shall be multiplied by 365 divided by 360;

Payment Date Delay:

(v) in respect of any CHF LIBOR Contract and JPY LIBOR Contract, in each case, 

“Delayed Payment” (as defined in the ISDA Definitions) shall be “Applicable” 

in relation to that LIBOR Contract and the number of days specified for such 

purposes shall be two (2) Business Days. The Clearing House and the 

SwapClear Clearing Members acknowledge and agree that pursuant to the 

ISDA Definitions such election means that each Payment Date (as defined in 

the ISDA Definitions) shall fall two (2) Business Days after the relevant Period 

End Date or the Termination Date (each as defined in the ISDA Definitions), as 

applicable;

(vi) in respect of any EUR LIBOR Contract, “Delayed Payment” (as defined in the 

ISDA Definitions) shall be “Applicable” in relation to that LIBOR Contract and 

the number of days specified for such purposes shall be one (1) Business Day. 

The Clearing House and the SwapClear Clearing Members acknowledge and 

agree that pursuant to the ISDA Definitions such election means that each 

Payment Date (as defined in the ISDA Definitions) shall fall one (1) Business 

Day after the relevant Period End Date or the Termination Date (each as defined 

in the ISDA Definitions), as applicable; and
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(vii) in respect of any GBP LIBOR Contract, “Delayed Payment” (as defined in the 

ISDA Definitions) shall be “Not Applicable” in relation to that LIBOR 

Contract. The Clearing House and the SwapClear Clearing Members 

acknowledge and agree that pursuant to the ISDA Definitions such election 

means that each Payment Date (as defined in the ISDA Definitions) shall fall 

on the relevant Period End Date or the Termination Date (each as defined in the 

ISDA Definitions), as applicable.

No Observation Period Shift:

(b) For the avoidance of doubt, the Clearing House and the SwapClear Clearing Members 

acknowledge and agree that as a result of the amendment made in paragraph (a)(iii) 

above, each "Floating Rate" under each LIBOR Contract shall be calculated over the 

relevant "Calculation Period" without any shift, adjustment or "observation shift” and 

all of the provisions relating thereto in the ISDA Definitions and the IBOR Fallback 

Rate Adjustments Rule Book published by Bloomberg Index Services Limited shall not 

apply to the calculation of the "Floating Rate" under each LIBOR Contract.

Consequential Amendments:

(c) The Clearing House shall make any consequential amendments to the terms of each 

LIBOR Contract as it deems necessary in connection with, and to give effect to, the 

amendments in this Section 4.

(d) Unless expressly referenced herein, all other terms of each LIBOR Contract shall 

remain in full force and effect and shall continue to apply, including, but not limited to, 

the “Fixed Rate”, “Day Count Fraction” and “Business Days” (each as defined in the 

ISDA Definitions).

5. OPERATIONAL BOOKINGS

(a) In order to facilitate and/or reflect the legal amendments made to each SwapClear 

Contract pursuant to this Annex in the SwapClear service, the Clearing House shall 

record certain bookings in the SwapClear service (each an Operational Booking) in 

the manner described in this Section 5. Any bookings referred to in this Section 5 are 

solely to facilitate and/or reflect the legal amendments made to each SwapClear 

Contract pursuant to this Annex and the Clearing House and each SwapClear Clearing 

Member agree and acknowledge that they shall not result in the registration of any new 

SwapClear Contracts and shall have no legal effect and are for operational purposes 

only. 

Basis Swap Operational Splitting

(b) On the Basis Swap Operational Split Date, the Clearing House will terminate each 

booking in relation to each LIBOR Basis Swap and will record two Operational 

Bookings in respect of each LIBOR Basis Swap (each an Operational Outright 

LIBOR Booking), which will have terms which are each identical to the LIBOR Basis 

Swap to which they relate, except that:

(i) the first Operational Outright LIBOR Booking shall have a “Floating Rate” (as 

defined in the ISDA Definitions) equal to the first “Floating Rate” referenced 
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in that LIBOR Basis Swap, a “Fixed Rate” (as defined in the ISDA Definitions) 

determined by the Clearing House (the Split Fixed Rate), 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 first "Floating Rate" under the corresponding LIBOR Basis Swap; 

and

(ii) the second Operational Outright LIBOR Booking shall have a “Floating Rate” 

(as defined in the ISDA Definitions) equal to the second “Floating Rate” 

referenced in that LIBOR Basis Swap, a “Fixed Rate” (as defined in the ISDA 

Definitions) equal to the Split Fixed Rate, 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 corresponding LIBOR Basis Swap.

(c) The Clearing House shall determine the Split Fixed Rate in its sole and absolute 

discretion and shall make any consequential amendments to each Operational Outright 

LIBOR Booking that it deems necessary in connection with, and to give effect to, the 

foregoing.

(d) On the Conversion Date in relation to an In-Scope Floating Rate Option the Clearing 

House will terminate each Operational Outright LIBOR Booking that has a “Floating 

Amount” calculated using that In-Scope Floating Rate Option and shall record an 

Operational Booking in accordance with (e) below.

Main Operational Booking

(e) On the Conversion Date in relation to an In-Scope Floating Rate Option the Clearing 

House shall, in relation to each LIBOR Contract and each Operational Outright LIBOR 

Booking referencing that In-Scope Floating Rate Option, record an Operational 

Booking (each an Operational RFR Booking) that is on the same terms as the LIBOR 

Contract or Operational Outright LIBOR Booking (as applicable) to which it relates 

except that, from the “Effective Date” of the Operational RFR Booking (which shall be 

prior to the Conversion Date) any “Floating Amounts” reflected in the Operational RFR 

Booking shall be calculated after giving effect to the amendments made pursuant to 

Section 3 or Section 4 (as applicable) of this Annex. On the Conversion Date in relation 

to an In-Scope Floating Rate Option the Clearing House shall, in relation to each 

LIBOR Contract referencing that In-Scope Floating Rate Option, terminate the 

operational booking relating to that LIBOR Contract that was recorded in the 

SwapClear service immediately prior to the Conversion Date.

Operational Overlay Bookings

(f) In addition to the Operational RFR Bookings referred to in (e) above, with respect to 

each Straddle Period LIBOR Contract and Operational Straddle Period LIBOR 

Booking in relation to which the SwapClear Clearing Member would receive a 

“Floating Amount” calculated using an In-Scope Floating Rate Option under the 

Straddle Period LIBOR Contract or Operational Straddle Period LIBOR Booking (such 

amount, the LIBOR Amount), on the Conversion Date in relation to the relevant InScope Floating Rate Option the Clearing House shall record the following Operational 

Bookings (each an Operational Overlay Booking) in the SwapClear service:
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(i) in relation to a Straddle Period LIBOR Contract or any Operational Straddle 

Period LIBOR Booking that is not of the type specified in (ii) below:

(A) an Operational Overlay Booking reflecting (X) a fixed amount that 

would be payable by the SwapClear Clearing Member, such amount 

determined by the Clearing House in its sole and absolute discretion (the 

Overlay Fixed Amount) and (Y) an amount that would be payable to 

the SwapClear Clearing Member equal to the LIBOR Amount it would 

be entitled to receive under the Straddle Period LIBOR Contract if it was 

not amended pursuant to Section 3 above (or, if applicable, as reflected 

in the Operational Straddle Period LIBOR Booking); and

(B) an Operational Overlay Booking reflecting (X) the Overlay Fixed 

Amount that would be payable to the SwapClear Clearing Member and 

(Y) a “Floating Amount” that would be payable by the SwapClear 

Clearing Member equal to the “Floating Amount” the SwapClear 

Clearing Member would be entitled to receive as reflected under the 

related Operational RFR Booking,

(ii) in relation to a Straddle Period LIBOR Contract that is recorded in a Proprietary 

Account (or any Operational Straddle Period LIBOR Booking that would be 

recorded in a Proprietary Account) and is either: 

(A) a JPY LIBOR Contract or a GBP LIBOR Contract in each case with a 

fixed notional amount and no “Spread” (as defined under the ISDA 

Definitions) on the floating leg, an Operational Overlay Booking 

reflecting (X) a “Floating Amount” that would be payable by the 

SwapClear Clearing Member equal to the “Floating Amount” it would

be entitled to receive as reflected under the Operational RFR Booking 

and (Y) an amount that would be payable to the SwapClear Clearing 

Member equal to the LIBOR Amount it would be entitled to receive 

under the Straddle Period LIBOR Contract if it was not amended 

pursuant to Section 3 above (or, if applicable, as reflected in the 

Operational Straddle Period LIBOR Booking); or

(B) a GBP LIBOR Contract with a fixed notional amount and a non-zero 

“Spread” (as defined under the ISDA Definitions) on the floating leg, an 

Operational Overlay Booking reflecting (X) a “Floating Amount” that 

would be payable by the SwapClear Clearing Member equal to the 

“Floating Amount” it would be entitled to receive as reflected under the 

Operational RFR Booking if the “Spread” applicable to that Operational 

RFR Booking were equal to zero and (Y) an amount that would be 

payable to the SwapClear Clearing Member equal to the LIBOR 

Amount it would be entitled to receive under the Straddle Period LIBOR 

Contract if it was not amended pursuant to Section 3 above (or, if 

applicable, as reflected in the Operational Straddle Period LIBOR 

Booking).

(g) In addition to the Operational RFR Bookings referred to in (e) above, with respect to 

each Straddle Period LIBOR Contract and Operational Straddle Period LIBOR 

Booking in relation to which the SwapClear Clearing Member would pay the LIBOR 
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Amount, on the Conversion Date in relation to the relevant In-Scope Floating Rate 

Option the Clearing House shall record the following Operational Overlay Bookings in 

the SwapClear service:

(i) in relation to a Straddle Period LIBOR Contract or any Operational Straddle 

Period LIBOR Booking that is not of the type specified in (ii) below:

(A) an Operational Overlay Booking reflecting (X) the Overlay Fixed 

Amount that would be payable to the SwapClear Clearing Member and 

(Y) an amount that would be payable by the SwapClear Clearing 

Member equal to the LIBOR Amount it would be obliged to pay under 

the Straddle Period LIBOR Contract if it was not amended pursuant to 

Section 3 above (or, if applicable, as reflected in the Operational 

Straddle Period LIBOR Booking); and

(B) an Operational Overlay Booking reflecting (X) the Overlay Fixed 

Amount that would be payable by the SwapClear Clearing Member and 

(Y) a “Floating Amount” that would be payable to the SwapClear 

Clearing Member equal to the “Floating Amount” that would be payable 

by the SwapClear Clearing as reflected under the related Operational 

RFR Booking,

(ii) in relation to a Straddle Period LIBOR Contract that is recorded in a Proprietary 

Account (or any Operational Straddle Period LIBOR Booking that would be 

recorded in a Proprietary Account) and is either: 

(A) a JPY LIBOR Contract or a GBP LIBOR Contract in each case with a 

fixed notional amount and no “Spread” (as defined under the ISDA 

Definitions) on the floating leg, an Operational Overlay Booking 

reflecting (X) an amount payable by the SwapClear Clearing Member 

equal to the LIBOR Amount the SwapClear Clearing Member would be 

obliged to pay under the Straddle Period LIBOR Contract if it was not 

amended pursuant to Section 3 above (or, if applicable, as reflected in 

the Operational Straddle Period LIBOR Booking) and (Y) a “Floating 

Amount” payable to the SwapClear Clearing Member equal to the 

“Floating Amount” the SwapClear Clearing Member would be obliged 

to pay as reflected under the related Operational RFR Booking; or

(B) a GBP LIBOR Contract with a fixed notional amount and a non-zero 

“Spread” (as defined under the ISDA Definitions) on the floating leg, an 

Operational Overlay Booking reflecting (X) an amount payable by the 

SwapClear Clearing Member equal to the LIBOR Amount the 

SwapClear Clearing Member would be obliged to pay under the Straddle 

Period LIBOR Contract if it was not amended pursuant to Section 3 

above (or, if applicable, as reflected in the Operational Straddle Period 

LIBOR Booking) and (Y) a “Floating Amount” payable to the 

SwapClear Clearing Member equal to the “Floating Amount” the 

SwapClear Clearing Member would be obliged to pay as reflected under 

the related Operational RFR Booking if the “Spread” applicable to that 

Operational RFR Booking were equal to zero.
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(h) The Operational Overlay Bookings in relation to a Straddle Period LIBOR Contract 

and Operational Straddle Period LIBOR Booking will terminate as of the time when 

they are no longer required for the Clearing House’s operational purposes, which is 

expected to be on the first Period End Date (as defined in the ISDA Definitions) after 

the Index Cessation Effective Date.

6. SUBSEQUENT ACTIONS WITH RESPECT TO OPERATIONAL BOOKINGS

If the Clearing House receives an instruction from a SwapClear Clearing Member to 

take a permitted action with respect to some but not all of the rights and obligations 

under any Amended LIBOR Contract (including, but not limited to, compression) and 

such rights and obligations have been operationally reflected in one or more of the 

Operational Bookings booked in accordance with Section 5 and not terminated, then 

the Clearing House shall deem this to be an instruction to take the following steps 

contingent on the effectiveness or occurrence of the permitted action:

(i) pursuant to its powers under Regulation 60C, register one or more new 

SwapClear Contract(s) in the name of that SwapClear Clearing Member with 

the same terms as such Operational Booking(s); and

(ii) amend the Amended LIBOR Contract to reflect the rights and obligations 

remaining after giving effect to the instruction referred to above. 

7. OBLIGATIONS TO MAKE CERTAIN CALCULATIONS AND ENTER INTO 

CERTAIN CONTRACTS

Pursuant to Regulation 60C of the Regulations, this Annex sets out the method for (i) 

calculating the Cash Compensation Amounts (which are “Conversion Payments” for 

purposes of Regulation 60C), and (ii) determining the terms of the Cash Compensation 

Contracts which shall be registered in order to effect the payment of the Cash 

Compensation Amounts. 

8. DETERMINATION OF THE CASH COMPENSATION AMOUNT AND THE 

CASH COMPENSATION CONTRACTS FOLLOWING THE CONVERSION

(a) On the Conversion Date in relation to an In-Scope Floating Rate Option the Clearing 

House shall calculate the following amounts:

(i) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to 

all LIBOR Contracts that have a floating rate or floating amount calculated 

using that In-Scope Floating Rate Option registered in each Proprietary Account 

as of the time end of the business day in New York on the Conversion Cut-Off 

Date determined by the Clearing House; 

(ii) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to 

all LIBOR Contracts that have a floating rate or floating amount calculated 

using that In-Scope Floating Rate Option registered in each Individual 

Segregated Account as of the time end of the business day in New York on the 

Conversion Cut-Off Date determined by the Clearing House; and

(iii) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to 

all LIBOR Contracts that have a floating rate or floating amount calculated 
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using that In-Scope Floating Rate Option registered in each "position account" 

within each Omnibus Segregated Account as of the time end of the business 

day in New York on the Conversion Cut-Off Date determined by the Clearing 

House.

(b) The Clearing House shall determine a single Cash Compensation Amount separately in 

respect of all of the LIBOR Contracts referencing an In-Scope Floating Rate Option in 

each Proprietary Account, each Individual Segregated Account, and each "position 

account" within each Omnibus Segregated Account as follows. If:

(i) the aggregate RFR Value in relation to all such LIBOR Contracts exceeds the 

aggregate Fallback RFR Value in relation to all such LIBOR Contracts then the 

Cash Compensation Amount in relation to such LIBOR Contracts shall be equal 

to the absolute value of the excess, and shall be an amount in favor of the 

SwapClear Clearing Member in relation to such Proprietary Account, Individual 

Segregated Account, or "position account" within such Omnibus Segregated 

Account (as applicable); and 

(ii) the aggregate RFR Value in relation to all such LIBOR Contracts is less than 

the aggregate Fallback RFR Value in relation to all such LIBOR Contracts then 

the Cash Compensation Amount in relation to such LIBOR Contracts shall be 

equal to the absolute value of the excess, and shall be an amount in favor of the 

Clearing House in relation to such Proprietary Account, Individual Segregated 

Account, or "position account" within such Omnibus Segregated Account (as 

applicable).

(c) The Clearing House shall, pursuant to Regulation 60C, register a separate Cash 

Compensation Contract in each Proprietary Account, each Individual Segregated 

Account and each "position account" within an Omnibus Segregated Account in 

relation to each Cash Compensation Amount (to the extent such amounts are applicable 

to such account or "position account"). Each SwapClear Clearing Member and the 

Clearing House (as applicable) irrevocably agrees that it shall be bound to pay each 

Cash Compensation Amount to the other pursuant to the terms of the related Cash 

Compensation Contract. Each Cash Compensation Contract shall be registered for the 

sole purpose of effecting the payment of the Cash Compensation Amount to which it 

relates. It shall operationally be recorded as having a "Notional Amount" (as defined in 

the SwapClear Contract Terms) of 1 unit of the relevant currency of the LIBOR 

Contracts to which it relates, a "Termination Date" (as defined in the SwapClear 

Contract Terms) falling two “business days” after the Conversion Cut-Off Date, and an 

obligation on the Clearing House or the SwapClear Clearing Member (as applicable) to 

pay to the other on that "Termination Date" an amount equal to the Cash Compensation 

Amount related to the LIBOR Contracts referencing an In-Scope Floating Rate Option 

in the relevant Proprietary Account, Individual Segregated Account, or "position 

account" within the relevant Omnibus Segregated Account, in each case as determined 

pursuant to Section 8(b) above. However, neither the Clearing House nor a SwapClear 

Clearing Member shall be required to pay any amounts under a Cash Compensation 

Contract other than the Cash Compensation Amount to which such Cash Compensation 

Contract relates.

(d) Each SwapClear Clearing Member agrees to be bound by each Cash Compensation 

Contract registered pursuant to this Section 8, which shall, when registered, constitute 
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a SwapClear Contract between the Clearing House and the relevant SwapClear Clearing 

Member that has arisen by reason of the application of the Regulations to the LIBOR 

Contracts.

(e) Each SwapClear Clearing Member agrees (and in the case of (e)(iv) below, each 

SwapClear Clearing Member and the Clearing House agrees):

(i) to use reasonable endeavors to provide each of its SwapClear Clearing Clients 

with (i) information on the change to the LIBOR Contracts pursuant to the terms 

of Regulation 60C and this Annex, (ii) information on the amounts payable 

pursuant to the terms of the Cash Compensation Contracts which may be 

allocated to that SwapClear Clearing Client’s Individual Segregated Account, 

or "position account" within an Omnibus Segregated Account pursuant to the 

terms of this Annex, and (iii) other information (indicative or otherwise) in 

relation to each SwapClear Clearing Client’s "position account". Such 

information shall be set out in 'Risk Notices' or other materials from the Clearing 

House in connection with this Annex (or any applicable Floating Rate 

Conversion Notice(s)) expressly marked for distribution to SwapClear Clearing 

Clients;

(ii) that it, and each of SwapClear Clearing Client, shall be bound by the terms of 

any Cash Compensation Contracts registered pursuant to this Annex and all 

payment obligations thereunder (as determined by the Clearing House pursuant 

to this Annex);

(iii) to perform all obligations and exercise all rights under or pursuant to this Annex 

in accordance with Applicable Law; 

(iv) that each Cash Compensation Contract is being registered in the relevant 

account in connection with the matters specified in this Annex and the 

obligations thereunder are for the sole purpose of addressing the value impact 

of certain of the changes to the LIBOR Contracts pursuant to this Annex; and

(v) that it will take reasonable steps to ensure that any SwapClear Transaction 

referencing an In-Scope Floating Rate Option and submitted after December 31, 

2021 meets the conditions in the definition of Legacy LIBOR Transaction.

9. DETERMINATIONS BINDING

Subject to Section 13, all determinations and calculations made by the Clearing House 

pursuant to this Annex shall be binding and may in no circumstances (other than in the 

case of manifest error) be called into question by any person.

10. RECORDS

The Clearing House shall update its books and records to reflect the Cash Compensation 

Contracts and the amounts payable thereunder and the obligation to pay, or the right to 

receive, any such amounts may be reflected in the books and records of the Clearing 

House in such manner as the Clearing House determines is necessary to meet its 

operational requirements. Where the Clearing House determines appropriate, the 

Clearing House will update its books and records or governance and booking 
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procedures to provide that all Operational Bookings booked pursuant to this Annex do 

not affect the rights and obligations of SwapClear Clearing Members regardless of 

anything to the contrary in any reports issued by the Clearing House.

11. LEGACY LIBOR TRANSACTIONS

(a) Notwithstanding anything to the contrary in the Product Specific Contract Terms and 

Eligibility Criteria Manual, from and including the Conversion Date in relation to an 

In-Scope Floating Rate Option, the Clearing House shall not accept for clearing or 

registration any SwapClear Transaction that references that In-Scope Floating Rate 

Option and is not a Legacy LIBOR Transaction.

(b) A SwapClear Clearing Member may present Legacy LIBOR Transactions for 

registration at the Clearing House from, and including, the Conversion Date up to, and 

including, the Legacy LIBOR End Date. No Legacy LIBOR Transactions will be 

eligible for clearing after the Legacy LIBOR End Date and no SwapClear Clearing 

Member shall present a Legacy LIBOR Transaction for registration after the Legacy 

LIBOR End Date. 

(c) If a SwapClear Clearing Member presents a Legacy LIBOR Transaction to the Clearing 

House after December 31, 2021, that SwapClear Clearing Member shall be deemed to 

represent and warrant to the Clearing House on the day it presents that Legacy LIBOR 

Transaction to the Clearing House that:

(i) either (a) the Legacy LIBOR Transaction was entered into prior to the Legacy 

LIBOR Cut-Off Date, or (b) in the case of a Legacy LIBOR Transaction which 

results from the exercise of a physically settled swaption, that swaption was 

entered into prior to the Legacy LIBOR Cut-Off Date; and

(ii) the SwapClear Transaction incorporates either the Fallbacks Supplement 

pursuant to the ISDA 2020 IBOR Fallbacks Protocol, Supplement 70 to the 

ISDA 2006 Definitions or the equivalent provisions under the ISDA 2021 

Definitions, in each case prior to it being presented to the Clearing House. 

The SwapClear Clearing Member shall immediately notify the Clearing House if it 

becomes aware that any of the foregoing representations are incorrect, untrue or 

misleading.

(d) A Legacy LIBOR Transaction will only be registered by the Clearing House on a 

business day if it is presented to the Clearing House prior to 4 p.m. London time on 

such business day (or such other cut-off time as may be separately communicated by 

the Clearing House to the SwapClear Clearing Members). If a Legacy LIBOR 

Transaction is presented after this time, the Clearing House may decline to register the 

Legacy LIBOR Transaction. 

(e) When a Legacy LIBOR Transaction is presented to the Clearing House by a SwapClear 

Clearing Member the presentation of such Legacy LIBOR Transaction shall constitute 

an irrevocable instruction from that SwapClear Clearing Member to the Clearing House 

to (i) register the Legacy LIBOR Transaction (subject to any other rights of the Clearing 

House, or obligations of the SwapClear Clearing Members in relation to the 

presentation or submission of SwapClear Transactions and registration of SwapClear 
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Contracts generally pursuant to the Rulebook or the Product Specific Contract Terms 

and Eligibility Criteria Manual) and (ii) immediately at the point of, and as part of, 

registration amend the Legacy LIBOR Transaction in accordance with Section 3(b)-(e) 

(inclusive) as if such provisions applied to Legacy LIBOR Transactions, provided 

however that, notwithstanding anything to the contrary in Section 3, in relation to 

Legacy LIBOR Transactions only, the amendments in Section 3(b)-(e) shall be made 

at the point of, and as part of, registration of the Legacy LIBOR Transaction at the 

Clearing House and any reference in Section 3 to such amendments being made on any 

other date (including on any future Reset Date or number of days before a future Reset 

Date) shall be disregarded and shall not apply to Legacy LIBOR Transactions and 

Section 3 shall be read accordingly in relation to Legacy LIBOR Transactions. 

(f) The SwapClear Clearing Member agrees that the Legacy LIBOR Transaction will be 

amended pursuant to (e) above at the point of, and as part of, registration at the Clearing 

House and, for the avoidance of doubt, there shall be no Operational Overlay Bookings 

in relation to Legacy LIBOR Transactions. The Clearing House shall have the right to 

make any consequential amendments to the terms of each Legacy LIBOR Transaction 

as it deems necessary in connection with, and to give effect to, the amendments in this 

Section 11. Unless expressly referenced herein, all other terms of each Legacy LIBOR 

Transaction shall remain in full force and effect and shall continue to apply, including, 

but not limited to, the “Fixed Rate”, “Day Count Fraction” “Business Days” and any 

“Spread” (each as defined in the ISDA Definitions). 

(g) At close of business in New York Oon each business day on which one or more Legacy 

LIBOR Transactions are presented to the Clearing House and accepted by the Clearing 

House, the Clearing House shall, at the time on such business day determined by the 

Clearing House, calculate the following amounts in relation to those Legacy LIBOR 

Transactions that were registered by the Clearing House on that business day:

(i) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to 

all Legacy LIBOR Transactions that were registered by the Clearing House on 

that business day, that have a floating rate or floating amount calculated using 

that In-Scope Floating Rate Option and are registered in each Proprietary 

Account as of the time on such end of the business day determined by the 

Clearing House in New York; 

(ii) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to 

all Legacy LIBOR Transactions that were registered by the Clearing House on 

that business day, that have a floating rate or floating amount calculated using 

that In-Scope Floating Rate Option, and are registered in each Individual 

Segregated Account as of the time on such end of the business day determined 

by the Clearing House in New York; and

(iii) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to 

all Legacy LIBOR Transactions that were registered by the Clearing House on 

that business day, that have a floating rate or floating amount calculated using 

that In-Scope Floating Rate Option, and are registered in each "position 

account" within each Omnibus Segregated Account as of the time on suchend 

of the business day determined by the Clearing House in New York.
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(h) The Clearing House shall determine a single Cash Compensation Amount separately in 

respect of all of the Legacy LIBOR Transactions registered with the Clearing House on 

that business day referencing an In-Scope Floating Rate Option separately with respect 

to each Proprietary Account, each Individual Segregated Account, and each "position 

account" within each Omnibus Segregated Account as follows. If:

(i) the aggregate RFR Value in relation to all such Legacy LIBOR Transactions 

that were registered with the Clearing House on that business day exceeds the 

aggregate Fallback RFR Value in relation to all such Legacy LIBOR 

Transactions then the Cash Compensation Amount in relation to such Legacy 

LIBOR Transactions shall be equal to the absolute value of the excess, and shall 

be an amount in favor of the SwapClear Clearing Member in relation to such 

Proprietary Account, Individual Segregated Account, or "position account" 

within such Omnibus Segregated Account (as applicable); and 

(ii) the aggregate RFR Value in relation to all such Legacy LIBOR Transactions 

that were registered with the Clearing House on that business day is less than 

the aggregate Fallback RFR Value in relation to all such Legacy LIBOR 

Transactions then the Cash Compensation Amount in relation to such Legacy 

LIBOR Transactions shall be equal to the absolute value of the excess, and shall 

be an amount in favor of the Clearing House in relation to such Proprietary 

Account, Individual Segregated Account, or "position account" within such 

Omnibus Segregated Account (as applicable).

(i) The Clearing House shall, pursuant to Regulation 60C, register a separate Cash 

Compensation Contract in each Proprietary Account, each Individual Segregated 

Account and each "position account" within an Omnibus Segregated Account in 

relation to each Cash Compensation Amount calculated under (g) above (to the extent 

such amounts are applicable to such account or "position account"). Each SwapClear 

Clearing Member and the Clearing House (as applicable) irrevocably agrees that it shall 

be bound to pay each Cash Compensation Amount to the other pursuant to the terms of 

the related Cash Compensation Contract. Each Cash Compensation Contract shall be 

registered for the sole purpose of effecting the payment of the Cash Compensation 

Amount to which it relates. It shall operationally be recorded as having a "Notional 

Amount" (as defined in the SwapClear Contract Terms) of 1 unit of the relevant 

currency of the LIBOR Contracts to which it relates, a "Termination Date" (as defined 

in the SwapClear Contract Terms) falling two “business days” after the date it is

registered, and an obligation on the Clearing House or the SwapClear Clearing Member 

(as applicable) to pay to the other on that "Termination Date" an amount equal to the 

Cash Compensation Amount related to the Legacy LIBOR Transactions referencing an 

In-Scope Floating Rate Option in the relevant Proprietary Account, Individual 

Segregated Account, or "position account" within the relevant Omnibus Segregated 

Account, in each case as determined pursuant to (g) above. However, neither the 

Clearing House nor a SwapClear Clearing Member shall be required to pay any 

amounts under a Cash Compensation Contract other than the Cash Compensation 

Amount to which such Cash Compensation Contract relates.

(j) Each SwapClear Clearing Member agrees to be bound by each Cash Compensation 

Contract registered pursuant to this Section 11 which shall, when registered, constitute 

a SwapClear Contract between the Clearing House and the relevant SwapClear Clearing 
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Member that has arisen by reason of the application of the Regulations to the Legacy 

LIBOR Transactions.

(k) This Section 11 is without prejudice to any other rights of the Clearing House, or 

obligations of the SwapClear Clearing Members, in relation to the presentation of 

SwapClear Transactions and registration of SwapClear Contracts generally pursuant to 

the Rulebook or the Product Specific Contract Terms and Eligibility Criteria Manual.

12. MISCELLANEOUS

(a) The obligations of the Clearing House to each SwapClear Clearing Member shall be to 

perform its obligations as principal to such SwapClear Clearing Member in accordance 

with the Rulebook, but subject to the restrictions on the Clearing House’s obligations 

and liabilities contained in the Rulebook and Section 13.

(b) The terms of this Annex are without prejudice to the Clearing House’s rights under the 

Regulations and the Procedures to change the terms of any open SwapClear Contract 

from time to time and such terms shall not be relevant or binding on the Clearing House 

in respect of any such changes.

(c) The performance by the Clearing House of its obligations hereunder shall always be 

subject to the provisions of the Rulebook. The benefit of the performance by the 

Clearing House of its obligations under this Annex is conferred upon SwapClear 

Clearing Members only, as principal, and a person who is not a party to the Rulebook 

has no right under Contracts (Rights of Third Parties) Act 1999 (as amended from time 

to time) to enforce any term of this Annex.

(d) Section 5 is provided for SwapClear Clearing Members operational convenience only 

and the Clearing House is under no obligation to update this Annex in relation to any 

changes in its operational or booking processes generally or in relation to the matters 

specified herein.

13. LIMITATION OF LIABILITY

13.1 Without prejudice to the generality of Regulation 52, each SwapClear Clearing Member 

agrees:

(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any SwapClear Clearing Member or any other 

person (including, without limitation, any SwapClear Clearing Client) whether 

in contract, tort (including, without limitation, negligence), trust, as a fiduciary 

or under any other cause of action, and whether in respect of any damages, loss 

or gain, cost or expense (whether direct, indirect, general, special, 

consequential, punitive or otherwise); and 

(b) to waive any claim against the Clearing House or any member of the LCH 

Group; 

arising or that may arise in connection with:
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(i) any determination, calculation, notification, registration, publication, exercise 

of discretion, or decision, taken or not taken by the Clearing House or any other 

member of the LCH Group in connection with this Annex; 

(ii) the determination or publication of any price, curve, data, quote or other 

information arising from, or in connection with, this Annex;

(iii) any of the operational bookings made pursuant to Section 5 of this Annex; or

(iv) the registration of any Legacy LIBOR Transaction or whether a SwapClear 

Transaction is eligible to be registered as a Legacy LIBOR Transaction,

except in the case of fraud or wilful misconduct on the part of the Clearing House or 

any other member of the LCH Group. 

13.2 Without prejudice to the generality of Regulation 52 and clause 13.1 above, each 

SwapClear Clearing Member further agrees:

(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any SwapClear Clearing Member or any other 

person (including, without limitation, any SwapClear Clearing Client) in tort 

(including, without limitation, negligence), trust, as a fiduciary or under any 

other non-contractual cause of action, or under any implied contractual term, 

and whether in respect of any damages, loss or gain, cost or expense (whether 

direct, indirect, general, special, consequential, punitive or otherwise); and 

(b) to waive any non-contractual claim or claim under any implied contractual term 

against the Clearing House or any member of the LCH Group; 

arising or that may arise in connection with the Clearing House's performance of its 

contractual duties or obligations under this Annex, except in the case of fraud or wilful 

misconduct on the part of the Clearing House or any other member of the LCH Group. 

13.3 Each SwapClear Clearing Member agrees that neither the Clearing House nor any other 

member of the LCH Group (i) owes any duty of care to any person in connection with 

the performance of the Clearing House’s duties or obligations or exercise of its rights 

under this Annex, save for the express contractual duties set forth in this Annex; (ii) is 

under any obligation to research, investigate, supplement, or verify the veracity of, any 

price, data, quote or other information received from a SwapClear Clearing Member in 

connection with this Annex; (iii) is acting as a fiduciary for, or as an advisor to, any 

SwapClear Clearing Member or SwapClear Clearing Client in connection with this 

Annex or any SwapClear Contract registered as a result of the matters specified in this 

Annex; (iv) shall be under any requirement to consult with, or individually notify (other 

than as expressly set out in this Annex), a SwapClear Clearing Member or SwapClear 

Clearing Client in connection with making its determinations, exercising its discretions

or performing its duties or obligations or exercising its rights, each under this Annex; 

or (v) has made any representation, express or implied, in relation to this Annex, and 

each SwapClear Clearing Member acknowledges that it has not relied on any 

representations made by the Clearing House or any other member of the LCH Group in 

relation to this Annex.
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13.4 For the avoidance of doubt, notwithstanding anything to the contrary herein, neither the 

Clearing House nor any other member of the LCH Group shall be liable for any 

obligations of, or to any person who is not, a SwapClear Clearing Member.
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CORPORATE

Appendix IV

Section 2I (ForexClear Clearing Service) of the LCH Procedures 

Changed Pages
LCH LIMITED

PROCEDURES SECTION 2I

FOREXCLEAR CLEARING SERVICE
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(a) From time to time, as an exceptional event, it may be necessary for the 

Clearing House to: (i) reject a trade submitted for registration; (ii) 

register a ForexClear Transaction; or (iii) accept or reject a 

cancellation request for a ForexClear Contract or a ForexClear 

Transaction, in each case, manually prior to a Margin and Settlement 

Run (e.g. in the case of a Default, when a ForexClear Transaction 

needs to be registered immediately to expedite the hedging and auction 

process or to reject a ForexClear Transaction received from an

FXCCM which is a Defaulter).

(b) The Clearing House acknowledges the action:

(i) in respect of trades being manually rejected or manually 

registered, by notifying the relevant entities specified in Section 

1.3.3(a)(iii) of such rejection or registration (as applicable); and

(ii) in respect of a ForexClear Contract or a ForexClear Transaction 

being manually cancelled, by sending a message to the 

ForexClear Approved Trade Source System that it is 

“CANCELLED”.

1.3.7 Trade Cancellation

(a) The Clearing House accepts cancellation messages from FXPs against 

both non-novated trades (ForexClear Transactions) and novated trades 

(ForexClear Contracts).

(b) Cancellation messages may be submitted via the ForexClear Approved 

Trade Source System (i), with respect to any ForexClear NonDeliverable Contract, until such ForexClear Contract is "fixed" (– i.e. 

when its Settlement Rate has been determined on the relevant 

Valuation Date), (ii) with respect to any ForexClear Option Contract, 

until the time end of day on the Business Day preceding the relevant 

Expiration Date, which time is as determined by the Clearing House,

and (iii) with respect to any ForexClear Spot Contract, ForexClear 

Swap Contract or ForexClear Deliverable Forward Contract, until the 

time on the secondend of day two Business Days immediately 

preceding the Settlement Date, which time is as determined by the 

Clearing House,.

(c) A successful cancellation message results in a "CANCELLED" status 

message if the ForexClear Transaction or the ForexClear Contract (as 

the case may be) is cancelled during the Opening Hours. The status 

messages are sent from the Clearing House to the FXCCM via the 

ForexClear Approved Trade Source System.

(d) There is no ForexClear Contract or ForexClear Transaction 

amendment functionality.

(e) Process Flow Description
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With respect to each ForexClear Contract, the variation margin requirement or 

NPV Payment (as applicable) is calculated every business day from (and 

including) the Registration Time to (and including) the EOD on the business 

day immediately preceding the Settlement Date.

For the avoidance of doubt, “variation margin” and “NPV Payment” as used 

herein shall include variation margin and NPV Payments in respect of both the 

and premium owed under a ForexClear Deliverable Contract and all other 

obligations under the terms of that ForexClear Deliverable Contract.

Any NPV Payment made by an FXCCM to the Clearing House under a 

ForexClear STM Contract, or by the Clearing House to an FXCCM under a 

ForexClear STM Contract, shall be for the purpose of settlement of the 

applicable party’s obligation to pay the required NPV Payment pursuant to the 

terms of that ForexClear STM Contract and not for the purpose of 

collateralising any obligations of either party under that ForexClear STM 

Contract.

1.5.3 Reporting Breakdown: ForexClear margin reports show the portfolio of open 

ForexClear Non-Deliverable Contracts of each FXCCM and of each FXD by 

Currency Pairs and in the Settlement Currency (i.e., USD). ForexClear margin 

reports also show the portfolio of open ForexClear Deliverable of each 

FXCCM and of each FXD by ForexClear Currency Pair.

1.5.4 Price Alignment Interest ("PAI"): The effect of daily transfers of cash

Collateral in respect of variation margin on ForexClear CTM Contracts results 

in the need for PAI. Without this adjustment, the pricing of ForexClear CTM 

Contracts would differ from identical uncleared trades, as cash earned from 

favourable daily price moves would be priced into the product.

(a) PAI Calculation Methodology: PAI is calculated at EOD on each 

business day from (and including) the first business day after the Trade 

Date to (and including) the business day immediately preceding the 

Settlement Date, and the currency in which the PAI payment is 

denominated for a given ForexClear CTM Contract shall be the 

ForexClear Margin or Settlement Currency of that ForexClear CTM

Contract.

In this Section 1.5.4 (Price Alignment Interest), "T" means any given 

business day; "T-1" means the business day immediately preceding T; 

"T+1" means the business day immediately following T; and "MTM" 

means the total value (expressed in the relevant currency) of an 

FXCCM's portfolio open of open ForexClear CTM Contracts, after 

valuation in accordance with Section 1.5.2 (Variation Margin and NPV 

Payments), at the time close of business on any business day, which 

time is as determined by the Clearing House. The Clearing House 

calculates PAI in USD once a day at EOD.

(i) Principles:

(A) MTM is calculated at EOD on T-1.
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(B) Change in MTM (net variation margin obligations in 

respect of an FXCCM's portfolio of open ForexClear 

CTM Contracts) is paid/ received on the morning of T.

(C) PAI Rate for T to be applied is known at EOD T.

(D) PAI is calculated on the night of T, for MTM of T-1 for 

ForexClear CTM Contracts up to the business day

before their Settlement Date.

(E) PAI is paid / received on morning of T+1 via PPS.

(ii) Components:

(A) PAI Rate (annualised interest applied to an FXCCM's 

MTM).

(B) MTM.

(C) Accrual Factor (factor used to convert the PAI Rate 

from an annual rate to a daily rate, on a basis of a year 

of 360 days).

(iii) So:

(A) PAI T = PAIT Rate x MTMT-1 x Accrual Factor.

The Clearing House uses the PAI Rate from the relevant EOD 

overnight index swap curves, which is sourced from the Clearing 

House.

(b) Variation Margin/PAI Adjustment: With respect to each FXCCM, the 

Clearing House makes the following adjustment to the EOD variation 

margin:

(i) if, with respect to its portfolio of open ForexClear CTM

Contracts, such FXCCM has (to but excluding the relevant 

EOD) paid an amount of Collateral in respect of variation 

margin greater than the amount of Collateral in respect of 

variation margin it has received, such FXCCM will receive PAI; 

and

(ii) if, with respect to its portfolio of open ForexClear CTM 

Contracts, such FXCCM has (to but excluding the relevant 

EOD) received an amount of Collateral in respect of variation 

margin greater than the amount of Collateral in respect of 

variation margin it has provided, such FXCCM will pay PAI.

1.5.5 Price Alignment Amount (“PAA”): The payment of NPV Payments by the 

applicable party on a daily basis would, without adjustment, distort the pricing 

for certain ForexClear STM Contracts cleared through the Clearing House. In 

order to minimise the impact of such NPV Payments, the Clearing House will, 
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for an FXCCM, either (i) charge a Price Alignment Amount if that FXCCM 

has, on a cumulative net basis, received NPV Payments from the Clearing 

House, or (ii) pay a Price Alignment Amount if that FXCCM has, on a 

cumulative net basis, paid NPV Payments to the Clearing House. In a negative 

interest rate environment where the applicable Price Alignment Amount is

negative, the Clearing House will, for an FXCCM either (i) pay a Price 

Alignment Amount if that FXCCM has, on a cumulative net basis, received 

NPV Payments from the Clearing House, or (ii) charge a Price Alignment 

Amount if that FXCCM has, on a cumulative net basis, paid NPV Payments to 

the Clearing House.

(a) PAA Calculation Methodology: PAA is calculated at EOD on each 

business day from (and including) the first business day after the Trade 

Date to (and including) the business day immediately preceding the 

Settlement Date, and the currency in which the PAA payment is 

denominated for a given ForexClear STM Contract shall be the 

ForexClear Margin or Settlement Currency of that ForexClear STM 

Contract.

In this Section 1.5.5 (Price Alignment Amount), "T" means any given 

business day; "T-1" means the business day immediately preceding T; 

"T+1" means the business day immediately following T; and "MTM" 

means the total value (expressed in the relevant currency) of an 

FXCCM's portfolio open of open ForexClear STM Contracts, after 

valuation in accordance with Section 1.5.2 (Variation Margin and NPV 

Payments), at the time close of business on any business day, which 

time is as determined by the Clearing House. The Clearing House 

calculates PAA once a day at EOD.

(i) Principles:

(A) MTM is calculated at EOD on T-1.

(B) Change in MTM (net NPV Payment obligations in 

respect of an FXCCM's portfolio of open ForexClear 

STM Contracts) is paid/ received on the morning of T.

(C) PAA Rate for T to be applied is known at EOD T.

(D) PAA is calculated on the night of T, for MTM of T-1 

for ForexClear Contracts up to the business day before 

their Settlement Date.

(E) PAA is paid / received on morning of T+1 via PPS.

(ii) Components:

(A) PAA Rate (annualised interest applied to an FXCCM's 

MTM).

(B) MTM.
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(C) Accrual Factor (factor used to convert the PAA Rate 

from an annual rate to a daily rate, on a basis of a year 

of 360 days).

(iii) So:

(A) PAA T = PAAT Rate x MTMT-1 x Accrual Factor.

The Clearing House uses the PAA Rate from the relevant EOD 

overnight index swap curves, which is sourced from the Clearing 

House.

1.5.6 Initial Margin: The Clearing House will require FXCCMs to transfer 

Collateral to the Clearing House in respect of initial margin. Each FXCCM’s

initial margin obligation will comprise the aggregate of the initial margin

obligations separately calculated in relation to (i) the ForexClear NonDeliverable Service and (ii) the ForexClear Deliverable Service.

(a) Calculation of Initial Margin: Separate initial margin calculations are 

performed for an FXCCM's Proprietary Account, each Client Account

(other than an Indirect Gross Account) and each Indirect Gross SubAccount within an Indirect Gross Account. No offset between the

Proprietary Accounts and the Client Accounts is allowed (except 

pursuant to Rule 8(d) of the Default Rules or any Insufficient 

Resources Determination Rule) and no offset between any Client 

Accounts is allowed (except pursuant to Rule 15(a)(ii) of the Default 

Rules, a Cross-ISA Client Excess Deduction or any Insufficient 

Resources Determination Rule).

The initial margin obligation is calculated on a real-time (or near realtime) basis throughout each day. With respect to each FXCCM, it is 

calculated for the portfolio of open ForexClear Contracts and 

ForexClear Transactions using ForexClear's Portfolio Analysis and 

Risk ("FxPAR") margining model. FxPAR is based on a modified 

historical simulation expected shortfall methodology. All open 

ForexClear Contracts and ForexClear Transactions in each Currency 

Pair are re-valued under a series of FX rate and yield curve scenarios 

to estimate the potential portfolio profit and loss and therefore the 

initial margin requirement.

The adequacy of the initial margin calculation is reviewed daily. 

ForexClear Clearing Members will usually be notified by the Clearing 

House of alterations to margin model parameters no later than the day 

before calls are made based on the new parameters. Further details of 

this method are available upon request from the ForexClear Risk team.

FxPAR uses the market data submitted by FXCCMs pursuant to 

paragraph 1.5.1(a) (Product Valuation).
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test with such notice as the Clearing House deems appropriate in its sole 

discretion.

The Clearing House reserves the right to revoke an entity's status as an LCH 

Approved Outsourcing Agent, in its sole discretion and without notice. In the 

event of such a revocation, the relevant FXCCM shall be required to assume 

those responsibilities that were previously outsourced. Such revocation may 

occur where the Clearing House considers that there is an insufficient number 

of third party entities that are providing outsourced default management 

services (usually a minimum of five providers at any one time).

Other than in exceptional circumstances and in the Clearing House's sole 

discretion, an LCH Approved Outsourcing Agent may not act on behalf of 

more than three clearing members.

The appointment of an LCH Approved Outsourcing Agent does not absolve an 

FXCCM of its obligations under the ForexClear DMP (including its obligation 

to participate in an Auction) and an LCH Approved Outsourcing Agent's 

participation in the ForexClear DMP on behalf of an FXCCM, in the event of 

a default, shall not extend beyond the provision of operational and other 

ancillary support to that FXCCM.

1.10.7 ForexClear DMG: The necessary involvement of FXCCMs and the 

ForexClear DMG in the ForexClear DMP entails the assessment and 

dissemination of information that could give rise to conflicts of interest. To 

ensure that such potential conflicts are demonstrably contained, Schedule 1

(Confidentiality, non-disclosure and participation in the ForexClear Default 

Management Group) establishes binding obligations of confidentiality, 

anonymity and the extent of dissemination of information on FXCCMs (and 

their executives or directors who participate from time to time in the 

ForexClear DMG) and on the Clearing House.

Each FXCCM who makes available a representative to serve on the 

ForexClear DMG agrees, and shall procure that, to the extent applicable, its 

representatives agree to be bound by and to ensure that it and any of its 

executives or directors serving on the ForexClear DMG complies with 

Schedule 1 (Confidentiality, non-disclosure and participation in the 

ForexClear Default Management Group) covering confidentiality, nondisclosure and other terms.

1.10.8 Default Management Accounts

(a) For the purposes of this Section 1.10.8, the following definitions will 

apply: 

“Affected Non-Porting Client Account” means, in respect of an 

Initial DMA or a Final DMA (as applicable) and the ForexClear 

Contracts that (at any time) comprise such Initial DMA or Final DMA 

(as applicable), each Non-Porting Client Account from which any such 

ForexClear Contract originated.
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“Auction” has the meaning assigned to it in the ForexClear DMP 

Annex. 

“Auction Date” means, in respect of an Auction Portfolio, the business 

day on which such Auction Portfolio is sold. 

“Auction Result” means, in respect of an Auction Portfolio, the 

amount equal to: 

(i) the gains or losses of the Clearing House arising from the sale 

of such Auction Portfolio, where a gain is a positive amount 

and a loss is a negative amount; 

(ii) plus the Auction Portfolio NPV Gain for such Auction 

Portfolio (if any); 

(iii) minus the Auction Portfolio NPV Loss for such Auction 

Portfolio (if any). 

“Auction Portfolio” means a ForexClear Auction Portfolio. 

“Auction Portfolio Calculation Period” means, in respect of an 

Auction Portfolio and its Auction Date, the period commencing 

immediately after the Daily Calculation Period for the business day 

preceding such Auction Date and ending at the point at which such 

Auction Portfolio is sold. 

“Auction Portfolio NPV Change” means, in respect of an Auction 

Portfolio and its Auction Portfolio Calculation Period, the amount (if 

any) by which the aggregate net present value of the ForexClear 

Contracts within such Auction Portfolio has changed during such 

Auction Portfolio Calculation Period, and 

(i) where such change is in favour of the Defaulter, is the 

“Auction Portfolio NPV Gain”; and 

(ii) where such change is in favour of the Clearing House, is the 

“Auction Portfolio NPV Loss”. 

“Daily Amount” means, in respect of a DMA and a Daily Calculation 

Period, the Daily Gain or Daily Loss for such DMA and Daily 

Calculation Period. 

“Daily Calculation Period” means, in respect of a business day, the 

period, in respect of which the Clearing House determines the end of 

day margin and settlement payments for ForexClear Contracts for such 

business day. 

“Daily Gain” means, in respect of a DMA and a Daily Calculation 

Period, the amount (if any) by which the Daily NPV Gain exceeds the 

Daily Hedge Costs (in each case) for such DMA and Daily Calculation 

Period. 
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“Daily Hedge Costs” means, in respect of a DMA and a Daily 

Calculation Period, all costs incurred by the Clearing House in 

connection with hedging the exposure of one or more ForexClear 

Contracts within such DMA in accordance with the Risk Neutralisation 

process under Rule 2.2 of the ForexClear DMP Annex. 

“Daily Loss” means, in respect of a DMA and a Daily Calculation 

Period, either: (i) where the DMA experiences a Daily NPV Loss in 

respect of such Daily Calculation Period, the aggregate of such Daily 

NPV Loss and the Daily Hedge Costs for such DMA and Daily 

Calculation Period; or (ii) where the DMA experiences a Daily NPV 

Gain in respect of such Daily Calculation Period, the amount by which 

the Daily Hedge Costs for such DMA and Daily Calculation Period 

exceed such Daily NPV Gain. 

“Daily NPV Change” means, in respect of a DMA and a Daily 

Calculation Period, the amount (if any) by which the aggregate net 

present value of the Remaining Contracts within such DMA has 

changed during such Daily Calculation Period, and: 

(i) where such change is in favour of the Defaulter, is the “Daily 

NPV Gain”; and 

(ii) where such change is in favour of the Clearing House, is the 

“Daily NPV Loss”. 

“DMA” means an Initial DMA or a Merged DMA, as applicable. 

“DMA Creation Date” means, in respect of an Initial DMA, the 

business day on which such Initial DMA is established by the Clearing 

House. 

“DMA Merger Date” means, in respect of a Merged DMA, the 

business day on which two or more DMAs are combined to form such 

Merged DMA. 

“Final DMA” means, in respect of an Auction Portfolio that is 

auctioned and sold, the most recently established DMA from which 

such Auction Portfolio was formed. 

“ForexClear Auction Portfolio” means an “Auction Portfolio” as 

defined in the ForexClear DMP Annex. 

“Initial DMA” means a default management account established by 

the Clearing House, acting in its sole discretion, to which one or more 

Sets of Non-Porting Contracts are transferred (by book-entry) on the 

DMA Creation Date for such default management account.

“Latest DMA” means, in respect of a Daily Calculation Period, a 

DMA that exists at the end of such Daily Calculation Period, but which 

has not itself been combined with another DMA to form a separate 

Merged DMA. 
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“Merged DMA” means a default management account established by 

the Clearing House, acting in its sole discretion, which results from the 

combination of two or more DMAs. 

“Non-Porting Client Account” means, in respect of a Defaulter, the 

Individual Segregated Account, Indirect Gross Account, or Omnibus 

Segregated Account or FCM Client Sub-Account (as applicable) of 

such Defaulter, to which the ForexClear Contracts that the Clearing 

House has determined will not be ported in accordance with the Client 

Clearing Annex or the FCM Rulebook are, or were, registered at the 

point of the Default of the Defaulter. 

“Pre-Default TMR” means, in respect of an Affected Non-Porting 

Client Account of a Defaulter, the TMR for such Affected Non-Porting 

Client Account as at the end of day margin and settlement call fortime

on the business day before the day of Default of such Defaulter, which 

time is as determined by the Clearing House.

“Pre-Default TMR Ratio” means

(i) in respect of an Initial DMA and an Affected Non-Porting 

Client Account referable to it, the ratio that the Pre-Default 

TMR of such Affected Non-Porting Client Account bears to the 

aggregate Pre-Default TMR of all Affected Non-Porting Client 

Accounts referable to such Initial DMA; or 

(ii) in respect of a Final DMA and an Affected Non-Porting Client 

Account referable to it, the ratio that the Pre-Default TMR of 

such Affected Non-Porting Client Account bears to the 

aggregate Pre-Default TMR of all Affected Non-Porting Client 

Accounts referable to such Final DMA. 

“Pre-Merger TMR” means, in respect of a DMA that was combined 

with one or more other DMA(s) to form a Merged DMA, the TMR for 

such DMA as at the time on end of day margin and settlement call for 

the business day before the DMA Merger Date of such Merged DMA,

which time is as determined by the Clearing House. 

“Pre-Merger TMR Ratio” means, in respect of a DMA that was 

combined with one or more other DMA(s) to form a Merged DMA, the 

ratio that such DMA’s Pre-Merger TMR bears to the aggregate PreMerger TMR of all DMAs that were combined to form such Merged 

DMA.

“Prior Merged DMA” means, in respect of a Merged DMA, an 

existing Merged DMA that has been combined with one or more other 

DMA(s) to form such Merged DMA. 

“Remaining Contracts” means, in respect of a DMA and a Daily 

Calculation Period, all of the ForexClear Contracts within such DMA 

during such Daily Calculation Period, excluding those ForexClear 
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Contracts that the Clearing House has auctioned and sold at any point 

within such Daily Calculation Period. 

“Set of Non-Porting Contracts” means, in respect of a Non-Porting 

Client Account, the ForexClear Contracts that are transferred by the 

Clearing House from such Non-Porting Client Account to an Initial 

DMA. 

“TMR” means (i) in respect of an Affected Non-Porting Client 

Account, the total margin requirement as determined by the Clearing 

House for such Affected Non-Porting Client Account, or (ii) in respect 

of a DMA, the total margin requirement as determined by the Clearing 

House for such DMA, in each case, excluding variation margin.

(b) Initial DMAs 

(i) After a Default, the Clearing House may, in its sole discretion: 

(A) determine that the ForexClear Contracts registered to a 

Non-Porting Client Account will not port in accordance 

with the Client Clearing Annex or the FCM Rulebook 

(as applicable); and 

(B) transfer the resulting Set of Non-Porting Contracts in 

respect of such Non-Porting Client Account to an Initial 

DMA on the business day on which the Clearing House 

makes such determination.

(ii) The Clearing House may in its sole discretion create more than 

one Initial DMA for the purposes of subparagraph (i)(B) above 

on the same business day. 

(iii) No Contracts other than ForexClear Contracts will be 

transferred into an Initial DMA. 

(iv) Any outstanding and owing, but unsettled, variation margin or 

settlement amounts in respect of ForexClear Contracts as at the 

end of the Daily Calculation Period for the business day prior 

to the transfer of such ForexClear Contracts in accordance with 

subparagraph (i) above shall be discharged by the Clearing 

House debiting or crediting (as applicable) the Non-Porting 

Client Account from which such ForexClear Contracts were 

transferred. 

(c) Merged DMAs

(i) On any business day following the creation of two or more 

Initial DMAs pursuant to paragraph (b) above, the Clearing 

House may create a Merged DMA by combining: 

(A) multiple Initial DMAs; 
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(B) one or more Initial DMAs and one or more Prior 

Merged DMAs; or 

(C) multiple Prior Merged DMAs. 

(ii) The Clearing House may in its sole discretion create more than 

one Merged DMA on the same business day. 

(d) Auctions 

(i) The Clearing House shall conduct Auctions in respect of 

Auction Portfolios referable to DMAs in accordance with the 

provisions of the ForexClear DMP Annex. 

(ii) More than one Auction Portfolio may be referable to a single 

DMA, in which case: 

(A) the Clearing House will conduct one or more Auctions 

of each Auction Portfolio referable to such DMA; and 

(B) on and from the date of the first Auction in respect of 

the DMA, the Clearing House may no longer combine 

such DMA into a Merged DMA. 

(iii) Following the sale of an Auction Portfolio, the ForexClear 

Contacts within such Auction Portfolio shall no longer form 

part of the DMA from which the Auction Portfolio was created. 

(e) Attribution of Daily Amounts 

(i) The Clearing House shall, following each Daily Calculation 

Period, determine the Daily Amount for each Latest DMA in 

respect of such Daily Calculation Period. 

(ii) The Clearing House shall attribute the Daily Amount of a 

Latest DMA that is: 

(A) an Initial DMA, to each Affected Non-Porting Client 

Account referable to such Initial DMA, pro rata 

according to the Pre-Default TMR Ratio of each such 

Affected Non-Porting Client Account; and 

(B) a Merged DMA, to each DMA that was combined to 

form such Merged DMA, pro rata according to the PreMerger TMR Ratio of each such DMA (where the 

amount attributed to each such DMA is an “Interim 

Amount”). 

(iii) If the Clearing House attributes an Interim Amount to a DMA 

under subparagraph (ii)(B) above, then it will further attribute 

such Interim Amount as follows: 
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(A) Where the DMA to which the Interim Amount was 

attributed is an Initial DMA, the Clearing House will 

further attribute such amount to each Affected NonPorting Client Account referable to such Initial DMA, 

pro rata according to the Pre-Default TMR Ratio of 

each such Affected Non-Porting Client Account; and 

(B) Where the DMA to which the Interim Amount was 

attributed is a Merged DMA, the Clearing House will 

further attribute such amount to each DMA that was 

combined to form such Merged DMA, pro rata 

according to the Pre-Merger TMR Ratio of each such 

DMA. 

(iv) If the Clearing House attributes an amount to a DMA under 

subparagraph (iii)(B) above, then it will further attribute such 

amount according to the method specified in subparagraph (iii) 

(treating such amount as an Interim Amount for the purposes of 

subparagraph (iii)) until all amounts are attributed to NonPorting Client Accounts. 

(f) Attribution of Auction Results 

The Clearing House shall attribute the Auction Result, in respect of the 

sale of an Auction Portfolio, to each Affected Non-Porting Client 

Account referable to the Final DMA from which such Auction 

Portfolio was formed, pro rata according to the Pre-Default TMR Ratio 

of each such Affected Non-Porting Client Account. 

(g) Collateral 

The Clearing House shall hold the relevant Collateral in respect of 

each Non-Porting Client Account in its applicable Client Account until 

the process described in this Section 1.10.8 has been completed

1.10.9 Calculation Period

Notwithstanding the definition of "Auction Losses Calculation Period" in Rule 

1.4 of Schedule 3 of the Default Rules, on and from the date determined by the 

Clearing House, the following definition will apply for the purposes of the 

ForexClear DMP Annex:

"Auction Losses Calculation Period" means, in respect of an Auction 

Portfolio and the business day on which the Clearing House auctions 

and sells such portfolio, the period: 

(a) commencing immediately after the Daily Calculation Period for 

the previous business day; and

(b) ending at the point at which the Clearing House sells such 

portfolio; 
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1.16.2 In the event that an exercise and expiry agent is not able to facilitate or

communicate the exercise of (or intent to exercise) a ForexClear Option 

Contract for any reason whatsoever, and the Clearing House becomes aware of 

such failure to facilitate or communicate, the Clearing House will notify the 

relevant ForexClear Clearing Members of such failure and may provide details 

of one or more alternative exercise methods.

1.16.3 Exercise and expiry agents may be designated by the Clearing House from

time to time and such agents shall be published on the Clearing House’s

website.

1.16.4 Neither the Clearing House nor any other member of the LCH Group shall 

have any liability whatsoever to any ForexClear Clearing Member or any 

other person, including any Clearing Client, in contract, tort (including

negligence), trust, as a fiduciary or under any other cause of action in respect 

of any liabilities, damages, losses, costs or expenses of whatsoever nature 

suffered or incurred by a ForexClear Clearing Member or any other person, 

including any Clearing Client, as a result of (a) any failure by the Clearing 

House to provide notice pursuant to Section 1.16.2 or (b) any failure of an 

exercise and expiry agent to communicate the exercise of (or intent to exercise) 

a ForexClear Option Contract to the Clearing House. 

1.17 Automatic Exercise of ForexClear Contracts

1.17.1 Subject to Section 1.17.5, if, at the Expiration Time on the Expiration Date, 

the In-the-Money Amount of a ForexClear NDO Contract or ForexClear 

Option Contract at equals or exceeds the product of:

(a) the number of basis points as published by the Clearing House from 

time to time as being applicable to the ForexClear Currency Pair 

referenced in that ForexClear NDO Contract or ForexClear Option 

Contract, as the case may be; and

(b) the Call Currency Amount or the Put Currency Amount, as 

appropriate,

in each case as calculated at or immediately prior to the Expiration Time on 

the Expiration Date of the given ForexClear Contract, such ForexClear NDO 

Contract or ForexClear Option Contract shall be deemed exercised as of such 

time, provided that, in the case of a ForexClear Option Contract, such 

ForexClear Option Contract had not been exercised by the relevant ForexClear 

Clearing Member or the Clearing House.

1.17.2 For the purposes of Section 1.17.1, the Clearing House may change the

number of basis point applicable to any ForexClear Currency Pair by giving

three Business Days’ prior notice to affected FXCCMs (or such shorter notice 

period as determined by the Clearing House following consultation with the 

affected FXCCMs).

1.17.3 Subject to Section 1.17.5, the Clearing House receives an instruction from a 

ForexClear Clearing Member, including via any third party intent agent or 
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middleware provider, before the applicable Expiration Time on the Expiration 

Date such instruction will in all circumstances be acted upon notwithstanding 

any administrative, systems or processing delays that may affect the Clearing

House immediately taking the action required upon receipt of such instruction.

If the Clearing House receives an instruction from a ForexClear Option

Clearing Member at or after the applicable Expiration Time on the Expiration

Date then Section 1.17.1 shall in all circumstances apply and the Clearing

House shall have no regard to such instruction.

1.17.4 The "In-the-Money Amount" in relation to a ForexClear NDO Contract or 

ForexClear Option Contract shall, in respect of the Exercise Date, be equal to:

(a) in the case of a Call, the excess of the FX Spot Reference Price over 

the Strike Price, multiplied by the Call Currency Amount, where both 

the Strike Price and the Settlement Rate are quoted in terms of the 

amount of Put Currency to be paid per one unit of Call Currency; and

(b) in the case of a Put, the excess of the Strike Price over the FX Spot

Reference Price, multiplied by the Put Currency Amount, where both 

the Strike Price and the Settlement Rate are quoted in terms of the 

amount of Call Currency to be paid per one unit of Put Currency.

1.17.5 In order to facilitate the expiry of offsetting ForexClear Option Contracts, the 

Clearing House will automatically expire ForexClear Option Contracts that are 

“equal and offsetting”. ForexClear Clearing Members may opt out of such 

automatic expiry of their ForexClear Option Contracts by providing notice to 

the Clearing House (the form and manner of such notice shall be prescribed by 

the Clearing House from time to time), and such opt out shall become 

effective at such time as notified by the Clearing House to the given 

ForexClear Clearing Member.

1.17.6 Two ForexClear Option Contracts shall be deemed “equal and offsetting” to

each other where:

(a) the Buyer of one ForexClear Option Contract and the Seller of the 

other ForexClear Option Contract is the same ForexClear Option 

Clearing Member; and

(b) the ForexClear Option Contracts have the equivalent or equal (1) Call

Currency and Put Currency, (2) Call Currency Amount and Put

Currency Amount, (3) Strike Price, (4) Expiration Date and (5)

Settlement Date.

1.17.7 Except where a ForexClear Clearing Member has opted out of the automatic 

expiry of their ForexClear Option Contracts in accordance with Section 

1.17.5, at the time, as determined by the Clearing House, on the start of a 

given Expiration Date for a pair of equal and offsetting ForexClear Option 

Contracts of a ForexClear Option Clearing Member, the Clearing House shall 

automatically expire and therefore terminate such all equal and offsetting pairs

of ForexClear Option Contracts of each ForexClear Option Clearing Member.
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1.17.8 In the event the Clearing House receives an instruction from a ForexClear 

Option Clearing Member, including via any third party exercise and expiry 

agent or middleware provider, with respect to any ForexClear Option Contract 

that is subject to automatic expiry on a givenits Expiration Date, the Clearing

House shall disregard such instruction and in all circumstances such 

ForexClear Option Contract shall be expired on its the given Expiration Date.

1.17.9 Capitalised terms used in this Section 1.17 and not otherwise defined shall

have the meanings specified for such terms in (i) the ForexClear Option

Contract Terms applicable to that ForexClear Option Contract, and, if note

defined therein, (ii) the 1998 FX and Currency Options Definitions (including

Annex A thereto) as published by the International Swaps and Derivatives

Association, Inc., the Emerging Markets Trade Association and The Foreign

Exchange Committee.

1.18 CLS Payment Procedures

1.18.1 In connection with ForexClear Deliverable Contracts, where applicable, 

FXCCMs are required to meet the following requirements with respect to 

CLS:

Time Action or Requirement

00:00 CET Clearing House to provide FXCCMs 

expected CLS funding requirements.

01:30 – 02:00 CET Clearing House to provide FXCCMs 

final CLS funding requirements. 

FXCCMs required to make such 

payments by 09:00 CET (the “Daily 

CLS Cut-Off Time).

06:00 – 09:00 CET FXCCMs required to make payments 

to cover all short positions in all 

currencies.

08:00 CET CLS to issue payments to FXCCMs

per settlement instructions for each

relevant FXCCM.

09:00 – 10:00 CET Clearing House to initiate and

complete liquidity provisions.

1.18.1 In connection with ForexClear Deliverable Contracts, where applicable, the 

following Relevant FX Liabilities are payable to CLS by FXCCMs in 

accordance with instructions from the Clearing House:

(a) Initial Exchange Amounts, Final Exchange Amounts and amounts 

owed under the Economic Terms of ForexClear Spot Contracts and 

ForexClear Deliverable Forward Contracts; and

(b) Premiums under ForexClear Option Contracts,
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Appendix V

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FCM PROCEDURES OF THE CLEARING HOUSE

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(A) an FCM Client for whom the FCM Clearing Member conducts 

FCM SwapClear Clearing Services in respect of Inflation FCM 

SwapClear Contracts referencing the relevant Index and/or 

their third party service providers, provided that the FCM 

Clearing Member shall procure that such FCM Client and/or its 

service providers (as applicable) shall only use the Inflation 

Derived Data for the purposes of the FCM Client’s internal risk 

management and settlement activities in respect of Inflation 

FCM SwapClear Contracts which the FCM Clearing Member 

clears or intends to clear on the FCM Client’s behalf in respect 

of the relevant Index and may not further disclose the Inflation 

Derived Data to any other person or use the Inflation Derived 

Data for any other purpose;

(B) third parties providing the FCM Clearing Member with risk 

management or settlement services, provided that the FCM 

Clearing Member shall procure that such third parties shall only 

use the Inflation Derived Data for the purposes of the FCM 

Clearing Member’s internal risk management and settlement 

activities in relation to FCM Inflation SwapClear Contracts that 

reference the relevant Index and that the third party may not 

further disclose the Inflation Derived Data to any other person 

or use the Inflation Derived Data for any other purpose; and

(C) competent regulatory authorities when required to do so by 

Applicable Law or regulation;

2.1.2 Operating Times and Calendars

(a) Opening Days

The FCM SwapClear service will be open every day, except weekends, 

Christmas Day, New Year’s Day and Good Friday1.

(b) Opening Hours

Unless notified otherwise, the FCM SwapClear service will be 

operational on each Business Day that is:

(A) a Monday from 092:00 (Sydney London time) to 2:005

(London time) on Tuesday (except if such Tuesday is not a 

Business Day, in which case the SwapClear service will close 

at 19:00 (New York time) on Monday); 

(B) a Friday from 046:00 (London time) to 19:00 (New York time); 

and

1

 While the FCM SwapClear service is generally closed on Good Friday, the Clearing House may, by prior 

written notice to FCM Clearing Members within such service, open the FCM SwapClear service on such 

day, in which case it will be a Business Day.
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(C) not a Monday or a Friday from 046:00am (London time) to 

02:005 (London time) on the following day (except if such 

following day is not a Business Day, in which case the 

SwapClear service will close on the preceding Business Day at 

19:00 (New York time)).23

The Clearing House will notify FCM Clearing Members if the FCM 

SwapClear service is scheduled for closure for operational or other 

reasons (including compression runs).

(c) FCM SwapClear Clearing System Calendars

The FCM SwapClear clearing system uses the SwapsMonitor Financial 

Calendar for its processing. This will require all FCM Clearing 

Members to be licensees of the SwapsMonitor Financial Calendar. 

The calendars, as applicable to the FCM SwapClear clearing system, 

will be available online for inspection and for file download from FCM 

Clearing Member Reporting (see Section 2.1.1(c)).

With respect to FCM SwapClear Contracts that are denominated in 

Israeli Shekel, the Clearing House will not recognize Sunday as a 

Business Day for the purposes of the FCM SwapClear Contract Terms.

2.1.3 Registration

(a) Submission for Registration

Prior to and as a precondition to the registration of an eligible FCM 

SwapClear Transaction, the relevant FCM Clearing Member must 

provide notice to and receive approval from the Clearing House (or 

have previously provided such notice and received such approval), in 

such form as determined by the Clearing House in its sole discretion, 

with respect to each type of FCM SwapClear Transaction to be 

presented for registration (be it with respect to tenor, currency or other 

eligibility criteria). Notwithstanding anything herein to the contrary, if 

(i) notification pursuant to this paragraph is not received by the 

Clearing House, (ii) the relevant FCM Clearing Member does not 

receive approval from the Clearing House pursuant to this paragraph, 

or (iii) approval granted pursuant to this paragraph has been rescinded 

by the Clearing House, the Clearing House may, in its sole discretion, 

reject the registration of any relevant FCM SwapClear Transaction.

2

 However, the Clearing House will continue to accept FCM Acceptances until one minute after closure of 

the FCM SwapClear service.

3

 The FCM SwapClear service may, in the Clearing House’s absolute discretion, be operational beginning (a) 

090:00 (Sydney London time) on a Business Day following a day that is not a Business Day that is a 

Monday, or (b) 024:00 (London time) on a Business Day that is not a Monday.
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Standing Order Amount:

To facilitate the registration of SwapClear Transactions, an FCM

Clearing Member may elect to maintain a minimum level of Available

FCM Buffer with the Clearing House at the start ofon each a Business 

Day (such amount, the “Standing Order Amount”). The Clearing 

House may approve such election in its sole discretion. Upon the

effectiveness of such election, if, at the time on end of a Business Day,

which time is as determined by the Clearing House, the amount of a 

given FCM Clearing Member’s Available FCM Buffer is less than the 

Standing Order Amount, the Clearing House will call the FCM 

Clearing Member for an amount of cash Collateral equal to the

difference. Any amount so called and received by the Clearing House

pursuant to this section shall constitute FCM Buffer of the given FCM

Clearing Member.

The form and manner of an election by an FCM Clearing Member

pursuant to this section shall be determined by the Clearing House in

its sole discretion (a “Standing Order Request”). In the event an

FCM Clearing Member wishes to rescind or modify its Standing Order

Request, it must contact the Clearing House’s Client Services

Department (ratesclientservices@lch.com). The Clearing House may 

reduce the Standing Order Amount or terminate a Standing Order

Request in its sole discretion

Through submitting a Standing Order Request, an FCM Clearing

Member warrants that the individual making the request on behalf of

the FCM Clearing Member is appropriately authorized to do so.

(d) SwapClear FCM Approved Trade Source Systems and FCM 

Trading Venues

(i) FCM Approved Trade Source Systems

Application for FCM Approved Trade Source System status shall be 

made in accordance with the policies published from time to time on 

the Clearing House's website. A list of FCM Approved Trade Source 

Systems currently approved by the Clearing House is available on the

Clearing House's website. Where the Clearing House approves 

additional FCM Approved Trade Source Systems, it will notify FCM 

Clearing Members via member circular.

FCM SwapClear Transactions presented through an FCM Approved 

Trade Source System must be in an acceptable message format, as 

prescribed by the Clearing House.

Notwithstanding the designation by the Clearing House of any system 

as an FCM Approved Trade Source System, 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 FCM Approved Trade Source System or the timeliness or 
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Amounts associated with such Backload Call (the “Backload Call 

Deadline”), the Clearing House will issue such FCM Clearing Member 

with a subsequent margin call to furnish Margin and any other 

Required Registration Amounts in respect of any SwapClear Tolerance 

utilisation as of the time of the Backload Call Deadline (if any).

Where an individual FCM Clearing Member determines that the 

Backloaded Trade(s) that it is presented for registration will lead to an 

aggregate change in the net present value of its portfolio of FCM 

SwapClear Contracts in excess of a threshold amount (the "Individual 

Backload Value Threshold") as published by the Clearing House 

from time to time, it shall notify the Clearing House before the end 

ofon the Business Day preceding the Backload Registration Cycle. In 

the event thatIf the Clearing House does not receive such notification 

and the change in net present value of the FCM Clearing Member’s 

portfolio of FCM SwapClear Contracts is in excess of the Individual 

Backload Value Threshold the Clearing House may, in its sole 

discretion, exclude that FCM Clearing Member from the Backload 

Registration Cycle or postpone or cancel the entire Backload 

Registration Cycle. 

Where an FCM Clearing Member notifies the Clearing House of a 

change in net present value in excess of the Individual Backload Value 

Threshold, the Clearing House shall inform the FCM Clearing Member 

whether it will be required to pre-fund the Backload Call and, if so, 

how it should be delivered such that it will be made available for a 

Backload Registration Cycle.

In the event that the aggregate Backload Call required from all FCM 

Clearing Members participating in a Backload Registration Cycle is in 

excess of a pre-determined threshold amount (the "Aggregate 

Backload Threshold") as published by the Clearing House from time 

to time, the Clearing House may postpone or cancel the relevant 

Backload Registration Cycle. 

Where the Clearing House postpones or cancels a Backload 

Registration Cycle it shall notify those FCM Clearing Members that 

were intending to participate in the Backload Registration Cycle.

Backloaded Trades received by the Clearing House in advance of a 

Backload Registration Cycle will be ‘parked’ until the next Backload 

Registration Cycle (whether that Backload Registration Cycle is on the 

same Business Day or the following Business Day).

In order for the registration of the Backloaded Trades included in a 

Backload Registration Cycle to complete, Collateral and any other 

Required Registration Amounts from each FCM Clearing Member 

(and each SwapClear Clearing Member, if applicable) which is party to 

a Backloaded Trade within that Backload Registration Cycle must be 

furnished as required to the Clearing House in advance.
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JPY

LIBOR & OIS 12:00

KRW 8:20, 13:15 and 19:05

MXN 20:00

NOK 16:15

NKD 12:00

PLN 16:15

SEK 16:15

SGD 12:00

THB 8:20, 13:15 and 19:05

TWD 8:20, 13:15 and 19:05

USD

LIBOR, SOFR & OIS 20:00

ZAR 16:15

EURO

OIS 18:15

GBP

OIS 17:15

Zero coupon yield curves used for daily marking to market will be 

published on the Clearing House's mMember rReporting website at 

intervals during the day as determined by the Clearing Houseafter the 

end of each Business Day.

(d) Variation Settlement

On the date of registration, the Net Present Value of an FCM 

SwapClear Contract will be calculated in accordance with Section 

2.1.7(a).

On all subsequent days, the change in the Net Present Value from one 

Business Day to the next will be calculated by the Clearing House.
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The Clearing House will require FCM Clearing Members to furnish it with 

Initial Margin. This amount will be determined by the prevailing market 

conditions and the expected time to close out the portfolio. The Portfolio 

Approach to Interest Rate Scenarios (PAIRS) will be used to calculate Initial 

Margin requirements for FCM SwapClear Contracts.

Separate Initial Margin calculations are performed for an FCM Clearing 

Member's house “H” and client “C” accounts and, within a “C” account, 

separately in respect of each FCM Client Sub-Account therein. No offset 

between the “C” and “H” accounts is permitted.

The Clearing House reserves the right to require additional amounts of Margin 

from a specific FCM Clearing Member or from all FCM Clearing Members in 

accordance with FCM Regulation 14 (Margin and Collateral).

(a) Liquidity Multiplier

Risk Management applies a liquidity multiplier based on Worst Case 

Loss (WCL) exceeding certain thresholds on the FCM Clearing 

Member's whole portfolio and individual currencies. The threshold 

amounts and multipliers are reviewed on an on-going basis. FCM 

Client accounts are treated as independent accounts for purposes of 

liquidity and will be called only in the event that the individual account 

exceeds the relevant threshold.

(b) Intra-day Margin Calls

In accordance with the Clearing House's FCM Regulations, the 

Clearing House is entitled to make additional margin calls for payment 

the same day (intra-day margin calls) where it is considered necessary. 

Intra-day margin calls can be called made at any time throughout the 

Business Day. Intra-day margin calls will usually be made via the 

pProtected pPayments sSystem (PPS) (see Section 2.1.10).

In certain circumstances, the Clearing House may wish to make a call 

for additional funds after the UK PPS cut-off time of 08:00 New York 

time. In this event, the Clearing House will require payment of 

additional funds through PPS facilities in the USA (see Section 3.2.1). 

Members must ensure, in these circumstances, that they are in a 

position to fund such calls through their nominated US PPS account 

within one hour of the call.

(c) Calculation of Initial Margin

Portfolio Approach to Interest Rate Scenarios (PAIRS)

The PAIRS calculation is a VAR based approach based on filtered 

historical simulations. All positions in each currency are re-valued 

under a series of cross portfolio yield curve scenarios to estimate the 

highest forecast loss and therefore the Initial Margin requirement. 

Further details of this method are available upon request and are 
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House's requirements, including those set forth in paragraph (a) below and 

under these FCM Procedures, the Clearing House will, as part of its service to 

FCM Clearing Members, amend its records in order to reflect any such 

change. Such change has no effect whatsoever on the terms of any registered 

FCM SwapClear Contract or any other obligations of the FCM Clearing 

Member party to such contract.

(a) Trade Reference Amendment Request Form

FCM Clearing Members may submit a request to the Clearing House

to amend a trade reference (either on behalf of the given FCM Clearing

Member or an FCM Client) (a “Trade Amendment Request”). Trade

Amendment Requests must be submitted in the form and manner

prescribed by the Clearing House from time to time, and may be

approved by the Clearing House in its sole discretion. Upon approval

by the Clearing House, Trade Amendment Requests will typically be

processed within two Business Days. In the event the Clearing House

is unable, or determines it will be unable, to process an approved Trade

Amendment Request within two business days, it shall attempt to

notify the given FCM Clearing Member as soon as reasonably

practicable.

(b) Processing

The Clearing House shall reject a Trade Amendment Request in the 

event that:

(A) it is not made in accordance with these FCM Procedures;

(B) any trade reference submitted in the Trade Amendment Request

does not (a) match the FCM Clearing Member's trade reference

in the Clearing House’s books and records or (b) refer to a trade

registered in the FCM SwapClear clearing system;

(C) any trade reference submitted in the Trade Amendment Request

is not recorded by the Clearing House against the BIC code of

the FCM Clearing Member requesting the amendment; or

(D) it determines it advisable, in its sole discretion, for risk, legal,

technical, cost or similar considerations.
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Upon processing a Trade Amendment Request, the Clearing House 

will notify the given FCM Clearing Member and will produce a report

setting out details of the time and date that it has amended its records

in accordance with the request, details of the old and new FCM

Clearing Member trade references and the status of the amendment in

respect of each trade set out in the Trade Reference Amendment

Request. All records of the Clearing House and data held in the FCM

SwapClear clearing system will then be updated overnight following

the close of the given Business Day.

2.1.17 Default Management

(a) Portfolio Splitting:

As part of the Rates Service DMP, the Clearing House may divide an 

Auction portfolio into two or more individual Auction Portfolios. In 

circumstances where such portfolio splitting is adopted, the Clearing 

house will, in consultation with the Rates Service DMG (which, as 

defined in the Default Rules, refers to the advisory Default 

Management Group established by the Clearing House pursuant to the

terms of the Rates Service DMP Annex to the Default Rules), seek to 

create:

(A) one or more individual Sub-portfolios which have 

comparatively greater levels of risk associated with them, 

thereby isolating such Sub portfolios from those which are 

more risk neutral; and

(B) one or more individual Sub portfolios which are more risk 

neutral.

(b) Acceptance of Bids

In deciding whether to accept a bid, the Clearing House will generally 

accept the best bid in respect of any individual Auction. However, the 

Clearing House is entitled to reject a bid in the event that it considers, 

in its reasonable discretion that accepting the bid may:

(A) cause the Clearing House to breach Applicable Law by virtue 

of its being a Recognised Clearing House or a Derivatives 

Clearing Organization;

(B) cause the Clearing House or its membership any reputational 

harm;

(C) cause legal action or proceedings to be taken against the 

Clearing House;

(D) endanger the Clearing House, any of its clearing members or 

the financial markets in which the Clearing House operates.
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(f) Default Management Accounts 

(A) For the purposes of this paragraph (f), the following definitions 

will apply:

“Affected Non-Porting FCM Client Sub-Account” means, in 

respect of an Initial DMA or a Final DMA (as applicable) and 

the FCM Rates Contracts that (at any time) comprise such 

Initial DMA or Final DMA (as applicable), each Non-Porting 

FCM Client Sub-Account from which any such FCM Rates 

Contract originated.

“Auction” has the meaning assigned to it in the Rates Service 

DMP Annex.

“Auction Date” means, in respect of an Auction Portfolio, the 

business day on which such Auction Portfolio is sold. 

“Auction Result” means, in respect of an Auction Portfolio, 

the amount equal to:

(i) the gains or losses of the Clearing House arising from 

the sale of such Auction Portfolio, where a gain is a 

positive amount and a loss is a negative amount;

(ii) plus the Auction Portfolio NPV Gain for such Auction 

Portfolio (if any);

(iii) minus the Auction Portfolio NPV Loss for such 

Auction Portfolio (if any). 

“Auction Portfolio” means a Basis Portfolio or an OTC 

Auction Portfolio, as applicable. 

“Auction Portfolio Calculation Period” means, in respect of 

an Auction Portfolio and its Auction Date, the period 

commencing immediately after the Daily Calculation Period for 

the business day preceding such Auction Date and ending at the 

point at which such Auction Portfolio is sold. 

“Auction Portfolio NPV Change” means, in respect of an 

Auction Portfolio and its Auction Portfolio Calculation Period, 

the amount (if any) by which the aggregate net present value of 

the FCM Rates Contracts within such Auction Portfolio has 

changed during such Auction Portfolio Calculation Period, and 

(i) where such change is in favour of the Defaulter, is the 

“Auction Portfolio NPV Gain”; and

(ii) where such change is in favour of the Clearing House, 

is the “Auction Portfolio NPV Loss”.
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“Basis Portfolio” has the meaning assigned to it in the Rates 

Service DMP Annex. 

“Daily Amount” means, in respect of a DMA and a Daily 

Calculation Period, the Daily Gain or Daily Loss for such 

DMA and Daily Calculation Period. 

“Daily Calculation Period” means, in respect of a business 

day, the period in respect of which the Clearing House 

determines the end of day margin and settlement payments for 

FCM Rates Contracts for such business day.

“Daily Gain” means, in respect of a DMA and a Daily 

Calculation Period, the amount (if any) by which the Daily 

NPV Gain exceeds the Daily Hedge Costs (in each case) for 

such DMA and Daily Calculation Period.

“Daily Hedge Costs” means, in respect of a DMA and a Daily 

Calculation Period, all costs incurred by the Clearing House in 

connection with hedging the exposure of one or more FCM 

Rates Contracts within such DMA in accordance with the Risk 

Neutralisation process under Rule 2.2 of the Rates Service 

DMP Annex. 

“Daily Loss” means, in respect of a DMA and a Daily 

Calculation Period, either: (i) where the DMA experiences a 

Daily NPV Loss in respect of such Daily Calculation Period, 

the aggregate of such Daily NPV Loss and the Daily Hedge 

Costs for such DMA and Daily Calculation Period; or (ii) 

where the DMA experiences a Daily NPV Gain in respect of 

such Daily Calculation Period, the amount by which the Daily 

Hedge Costs for such DMA and Daily Calculation Period 

exceed such Daily NPV Gain.

“Daily NPV Change” means, in respect of a DMA and a Daily 

Calculation Period, the amount (if any) by which the aggregate 

net present value of the Remaining Contracts within such DMA 

has changed during such Daily Calculation Period, and:

(i) where such change is in favour of the Defaulter, is the 

“Daily NPV Gain”; and

(ii) where such change is in favour of the Clearing House, 

is the “Daily NPV Loss”.

“DMA” means an Initial DMA or a Merged DMA, as 

applicable.

“DMA Creation Date” means, in respect of an Initial DMA, 

the business day on which such Initial DMA is established by 

the Clearing House.
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“DMA Merger Date” means, in respect of a Merged DMA, the 

business day on which two or more DMAs are combined to 

form such Merged DMA. 

“Final DMA” means, in respect of an Auction Portfolio that is 

auctioned and sold, the most recently established DMA from 

which such Auction Portfolio was formed. 

“Initial DMA” means a default management account 

established by the Clearing House, acting in its sole discretion, 

to which one or more Sets of Non-Porting Contracts are 

transferred (by book-entry) on the DMA Creation Date for such 

default management account. 

“Latest DMA” means, in respect of a Daily Calculation Period, 

a DMA that exists at the end of such Daily Calculation Period, 

but which has not itself been combined with another DMA to 

form a separate Merged DMA. 

“Merged DMA” means a default management account 

established by the Clearing House, acting in its sole discretion, 

which results from the combination of two or more DMAs. 

“Non-Porting FCM Client Sub-Account” means, in respect 

of a Defaulter, the FCM Client Sub-Account of such Defaulter, 

to which the FCM Rates Contracts that the Clearing House has 

determined will not be ported in accordance with the FCM 

Rulebook are, or were, registered at the point of the Default of 

the Defaulter.

“OTC Auction Portfolio” has the meaning assigned to it in the 

Rates Service DMP Annex.

“Pre-Default TMR” means, in respect of an Affected NonPorting FCM Client Sub-Account of a Defaulter, the TMR for 

such Affected Non-Porting FCM Client Sub-Account as at the 

time on end of day margin and settlement call for the business 

day before the day of Default of such Defaulter, which time is 

as determined by the Clearing House. 

“Pre-Default TMR Ratio” means 

(i) in respect of an Initial DMA and an Affected NonPorting FCM Client Sub-Account referable to it, the 

ratio that the Pre-Default TMR of such Affected NonPorting FCM Client Sub-Account bears to the aggregate 

Pre-Default TMR of all Affected Non-Porting FCM 

Client Sub-Accounts referable to such Initial DMA; or

(ii) in respect of a Final DMA and an Affected Non-Porting 

FCM Client Sub-Account referable to it, the ratio that 
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the Pre-Default TMR of such Affected Non-Porting 

FCM Client Sub-Account bears to the aggregate PreDefault TMR of all Affected Non-Porting FCM Client 

Sub-Accounts referable to such Final DMA. 

“Pre-Merger TMR” means, in respect of a DMA that was 

combined with one or more other DMA(s) to form a Merged 

DMA, the TMR for such DMA as at the time on end of day 

margin and settlement call for the business day before the 

DMA Merger Date of such Merged DMA, which time is as 

determined by the Clearing House. 

“Pre-Merger TMR Ratio” means, in respect of a DMA that 

was combined with one or more other DMA(s) to form a 

Merged DMA, the ratio that such DMA’s Pre-Merger TMR 

bears to the aggregate Pre-Merger TMR of all DMAs that were 

combined to form such Merged DMA.

“Prior Merged DMA” means, in respect of a Merged DMA, 

an existing Merged DMA that has been combined with one or 

more other DMA(s) to form such Merged DMA. 

“Remaining Contracts” means, in respect of a DMA and a 

Daily Calculation Period, all of the FCM Rates Contracts

within such DMA during such Daily Calculation Period, 

excluding those FCM Rates Contracts that the Clearing House 

has auctioned and sold at any point within such Daily 

Calculation Period. 

“Set of Non-Porting Contracts” means, in respect of a NonPorting FCM Client Sub-Account, the FCM Rates Contracts

that are transferred by the Clearing House from such NonPorting FCM Client Sub-Account to an Initial DMA. 

“TMR” means (i) in respect of an Affected Non-Porting FCM 

Client Sub-Account, the total margin requirement as 

determined by the Clearing House for such Affected NonPorting FCM Client Sub-Account, or (ii) in respect of a DMA, 

the total margin requirement as determined by the Clearing 

House for such DMA, in each case excluding: (x) variation 

margin; (y) Stress Loss Margin as defined in Section 2.1.9

above; and (z) counterparty risk multiplier margin.

(B) Initial DMAs

(A) After a Default, the Clearing House may, in its sole 

discretion:

(1) determine that the FCM Rates Contracts

registered to a Non-Porting FCM Client Sub-
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Account will not port in accordance with the 

FCM Rulebook; and

(2) transfer the resulting Set of Non-Porting 

Contracts in respect of such Non-Porting FCM 

Client Sub-Account to an Initial DMA on the 

business day on which the Clearing House 

makes such determination.

(B) The Clearing House may in its sole discretion create 

more than one Initial DMA for the purposes of 

subparagraph (A)(2) above on the same business day.

(C) No Contracts other than FCM Rates Contracts will be 

transferred into an Initial DMA. 

(D) Any outstanding and owing, but unsettled, variation 

margin or settlement amounts in respect of FCM Rates 

Contracts as at the end of the Daily Calculation Period 

for the business day prior to the transfer of such FCM 

Rates Contracts in accordance with subparagraph (A) 

above shall be discharged by the Clearing House 

debiting or crediting (as applicable) the Non-Porting 

FCM Client Sub-Account from which such FCM Rates 

Contracts were transferred. 

(C) Merged DMAs

(A) On any business day following the creation of two or 

more Initial DMAs pursuant to paragraph (B) above, 

the Clearing House may create a Merged DMA by 

combining:

(1) multiple Initial DMAs;

(2) one or more Initial DMAs and one or more Prior 

Merged DMAs; or

(3) multiple Prior Merged DMAs.

(B) The Clearing House may in its sole discretion create 

more than one Merged DMA on the same business day.

(D) Auctions

(A) The Clearing House shall conduct Auctions in respect 

of Auction Portfolios referable to DMAs in accordance 

with the provisions of the Rates Service DMP Annex.

(B) More than one Auction Portfolio may be referable to a 

single DMA, in which case:
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(1) the Clearing House will conduct one or more 

Auctions of each Auction Portfolio referable to 

such DMA; and

(2) on and from the date of the first Auction in 

respect of the DMA, the Clearing House may no 

longer combine such DMA into a Merged DMA.

(C) Following the sale of an Auction Portfolio, the Rates 

Service Contacts within such Auction Portfolio shall 

no longer form part of the DMA from which the 

Auction Portfolio was created.

(E) Attribution of Daily Amounts 

(A) The Clearing House shall, following each Daily 

Calculation Period, determine the Daily Amount for 

each Latest DMA in respect of such Daily Calculation 

Period. 

(B) The Clearing House shall attribute the Daily Amount 

of a Latest DMA that is:

(1) an Initial DMA, to each Affected Non-Porting 

FCM Client Sub-Account referable to such 

Initial DMA, pro rata according to the PreDefault TMR Ratio of each such Affected NonPorting FCM Client Sub-Account; and

(2) a Merged DMA, to each DMA that was 

combined to form such Merged DMA, pro rata 

according to the Pre-Merger TMR Ratio of each 

such DMA (where the amount attributed to each 

such DMA is an “Interim Amount”). 

(C) If the Clearing House attributes an Interim Amount to 

a DMA under subparagraph (B)(2) above, then it will 

further attribute such Interim Amount as follows:

(1) Where the DMA to which the Interim Amount 

was attributed is an Initial DMA, the Clearing 

House will further attribute such amount to each 

Affected Non-Porting FCM Client Sub-Account

referable to such Initial DMA, pro rata 

according to the Pre-Default TMR Ratio of each 

such Affected Non-Porting FCM Client SubAccount; and

(2) Where the DMA to which the Interim Amount 

was attributed is a Merged DMA, the Clearing 

House will further attribute such amount to each 
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DMA that was combined to form such Merged 

DMA, pro rata according to the Pre-Merger 

TMR Ratio of each such DMA.

(D) If the Clearing House attributes an amount to a DMA 

under subparagraph (C)(2) above, then it will further 

attribute such amount according to the method 

specified in subparagraph (C) (treating such amount as 

an Interim Amount for the purposes of subparagraph 

(C)) until all amounts are attributed to Non-Porting 

FCM Client Sub-Accounts. 

(F) Attribution of Auction Results

The Clearing House shall attribute the Auction Result, in 

respect of the sale of an Auction Portfolio, to each Affected 

Non-Porting FCM Client Sub-Account referable to the Final 

DMA from which such Auction Portfolio was formed, pro rata 

according to the Pre-Default TMR Ratio of each such Affected 

Non-Porting FCM Client Sub-Account.

(G) CFTC Regulations

The Clearing House shall hold the relevant Collateral in respect 

of Non-Porting FCM Client Sub-Accounts (segregated as 

belonging to each such applicable Non-Porting FCM Client 

Sub-Account in accordance with the CFTC Regulations and 

Part 22 thereof) in its applicable FCM Omnibus SwapClear

Client Account with LCH until the process described in this 

paragraph (f) has been completed. For the avoidance of doubt, 

the Clearing House may only take such actions pursuant to this 

paragraph as permitted by the FCM Rulebook, the CEA and the 

CFTC Regulations or as directed by an applicable Regulatory 

Body.

(g) FCM Rates Service Default Management Disclosure Notice

Each FCM Rates Service Clearing Member must ensure that each 

FCM Client to which it offers FCM SwapClear Clearing Services is 

provided with, or is directed to a copy of, the FCM Rates Service 

Default Management Disclosure Notice, and further must provide 

confirmation, in the form and manner reasonably required by the 

Clearing House, that it has discharged this obligation in respect of each 

such FCM Client.

(h) Contact Information

Each FCM Rates Clearing Member is required to provide the Clearing 

House with contact details for those persons that the Clearing House 

should contact in the event of a Clearing Member Default. FCM Rates 
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SCHEDULE 2.1B

RATE CHANGE ANNEXES

SWAPCLEAR FCM SERVICE - RATE CHANGE ANNEX – SECURED 

OVERNIGHT FINANCING RATE (SOFR)

1. SCOPE AND INTERPRETATION

(a) This Annex constitutes a “Rate Change Annex” as defined in and pursuant to the 

FCM Regulations and supplements and forms part of the FCM Rulebook.

(b) This Annex relates to the change in the rate from the Fed Funds Rate to the Secured 

Overnight Financing Rate provided by the Federal Reserve Bank of New York, as 

administrator (or a successor administrator) (SOFR) for the purposes of (i) 

calculating the Price Alignment Amount, and (ii) constituting the relevant underlying 

benchmark for the instruments used to construct the Clearing House’s zero coupon 

yield curves under 2.1.7 of the FCM Procedures to calculate the net present value, 

each in relation to the Impacted FCM SwapClear Contracts.

(c) The terms of this Annex shall apply to all Impacted FCM SwapClear Contracts (as 

set-out in the Rate Change Notice relating to SOFR) that are registered with the 

Clearing House as set out below. For the avoidance of doubt, (i) no other FCM 

SwapClear Contract shall be subject to, or affected by, the terms of this Annex and 

each FCM SwapClear Contract shall remain in full force and effect, and (ii) the FCM 

SwapClear Contract Terms shall not be amended by the terms of this Annex.

(d) Capitalized terms used but not otherwise defined in this Annex have the meaning 

given to them in the FCM Regulations. 

(e) The terms of this Annex relating to operational or procedural matters may be 

supplemented, modified, amended, replaced or withdrawn from time to time by the 

Clearing House in its sole discretion through a member circular or such other method 

as the Clearing House shall determine is appropriate.

2. DEFINITIONS

For the purposes of this Annex:

Auction Adjustment per Unit means, in relation to a Maturity Bucket, an amount in USD 

equal to (i) the aggregate of all Auction Winner Amounts for that Maturity Bucket divided by 

(ii) the total notional amount of Discounting Risk Swaps in that Maturity Bucket which have 

been liquidated pursuant to the Cash Settlement Schedule.

Auction Date means, in relation to a Rate Change Notice relating to SOFR, the date 

specified as such by the Clearing House in such Rate Change Notice, being the date on which 

the auctions referred to herein and the Cash Settlement Supplement shall be held and certain 

amounts payable hereunder shall be calculated.

Auction Winner means, in relation to the Net Auction Contract Pair in respect of a Maturity 

Bucket, each Cash Settlement Participant (as defined in the Cash Settlement Schedule) that 

has submitted the winning price for such Net Auction Contract Pair, as determined by the 

Clearing House in accordance with the Cash Settlement Supplement.
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Auction Winner Amount means, in relation to the Net Auction Contract Pair for Maturity 

Bucket and an Auction Winner, an amount in USD equal to the product of: (i) that Auction 

Winner's Winning Bid Quantity; (ii) the difference between that Auction Winner's Winning 

Bid Price and the Mid-Price; and (iii) the SOFR Basis Point Cash Value per Million, each for 

that Maturity Bucket. If the Auction Winner’s Winning Bid Price is a price that by reference 

to the Mid-Price is (a) in favor of the Clearing House, the Auction Winner Amount shall be a 

negative amount or (b) in favor of the Auction Winner, the Auction Winner Amount shall be 

a positive amount. 

Cash Compensation Contract means each contract determined by the Clearing House and 

registered in the relevant Proprietary Account, or an FCM Client Sub-Account pursuant to 

Section 8 below.

Cash Only Client means an FCM Client that has its positions recorded in a Cash Only Client 

Position Account.

Cash Only Client Position Account means each FCM Client Sub-Account registered in the 

name of an FCM Client that is identified as a Cash Only Client Position Account in a Cash 

Only Election Notice.

Cash Only Client Position Account Auction Adjustment means, in relation to a Cash Only 

Client Position Account and a Maturity Bucket, an amount in USD in favor of the Clearing 

House or an FCM Clearing Member (as applicable) equal to the product of (i) the notional 

amount of Discounting Risk Swaps for that Maturity Bucket that would, but for the delivery 

of the Cash Only Election Notice, have been registered in that Cash Only Client Position 

Account and which have been liquidated pursuant to the Cash Settlement Schedule, and (ii) 

the Auction Adjustment per Unit for that Maturity Bucket. 

Cash Only Election Cut-Off Date is the date specified as such by the Clearing House in a 

Rate Change Notice relating to SOFR, being the date by which FCM Clearing Members must 

deliver any Cash Only Election Notices to the Clearing House.

Cash Only Election Notice means a written notice delivered by an FCM Clearing Member 

to the Clearing House in accordance with this Annex identifying those FCM Clients and the 

related FCM Client Sub-Accounts which have elected to be Cash Only Client Position 

Account(s) in accordance with Section 4 of this Annex. 

Cash Settlement Schedule means the schedule to the SCM SOFR Rate Change Annex 

which sets-out the terms on which the Clearing House shall conduct one or more auctions for 

purposes of determining certain amounts, curves and spreads and related information relevant 

to this Annex, as supplemented by any Cash Settlement Supplement published by the 

Clearing House from time to time. The Cash Settlement Schedule supplements, and forms 

part of, this Annex.

Cash Settlement Supplement means any document identified as such by the Clearing House 

which supplements and forms part of the Cash Settlement Schedule and sets out further terms 

in relation to the auctions. 

Cash Valuation Change Amount (MXN) means each amount denominated in MXN and 

determined in accordance with Section 7.5 of this Annex.
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Cash Valuation Change Amount (USD) means each amount denominated in USD and 

determined in accordance with Section 7.1, Section 7.2 or Section 7.3 of this Annex.

De Minimis Participant Account means, in relation to a Maturity Bucket, any Proprietary 

Account, or any FCM Client Sub-Account that, as of the Swap Portfolio Calculation Date, 

would have an allocation of Discounting Risk Swaps in a given Maturity Bucket with a 

notional amount that is closer to zero than to the integral number set out in the table in 

paragraph 5.1(c) in relation to that Maturity Bucket.

Discounting Risk Auction has the meaning given to it in the Cash Settlement Schedule.

Discounting Risk Swaps means the FCM SwapClear Contracts determined, identified and 

notified by the Clearing House in accordance with Section 5 of this Annex and entered into 

and registered between the Clearing House and an FCM Clearing Member pursuant to 

Regulation 48A.

FedFunds Discounted Value means, in relation to an Impacted FCM SwapClear Contract,

the net present value, as of the time end of the Business Day in New York on the Auction 

Date determined by the Clearing House, of all future cash flows under that Impacted FCM 

SwapClear Contract calculated using the Fed Funds Rate as the discounting rate for the 

purposes of constructing the zero coupon yield curves under 2.1.7 of the FCM Procedures 

(with the future cash flows calculated in the same manner as for the determination of the 

SOFR Discounted Value). If the net present value represents an asset or positive value for 

the Clearing House, such FedFunds Discounted Value shall be a positive amount and if the 

net present value represents a liability or negative value for the Clearing House, such 

FedFunds Discounted Value shall be a negative amount.

Maturity Bucket means, in relation to the Impacted FCM SwapClear Contracts, Discounting 

Risk Swaps and Net Auction Contract Pairs, a group of such contracts which all have the 

same maturity, being either two years, five years, ten years, fifteen years, twenty years or 

thirty years from the date of registration. 

Mid-Price has, in relation to the Net Auction Contract Pair for a Maturity Bucket, the 

meaning given to it in the Cash Settlement Schedule, and shall be expressed in basis points.

Mid-Price Auction has the meaning given to it in the Cash Settlement Schedule.

MXN Impacted SwapClear Contracts has the meaning given to it in Section 7 of this 

Annex.

Net Auction Contract Pair has the meaning given to it in the Cash Settlement Schedule.

SCM SOFR Rate Change Annex means the rate change annex published by the Clearing 

House in relation to SOFR under Regulation 60B of the UK General Regulations.

SOFR Basis Point Cash Value per Million means, in relation to the Net Auction Contract 

Pair for a Maturity Bucket, an amount in USD equal to the change (expressed as a positive if 

a gain and a negative if a loss) in value of such Net Auction Contract Pair with a notional 

amount of USD one million as a result of adding a one basis point spread to the SOFR leg, as 

determined by the Clearing House in its sole discretion.
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SOFR Discounted Value means, in relation to an Impacted FCM SwapClear Contract, the 

net present value, as of the time end of the Business Day in New York on the Auction Date

determined by the Clearing House, of all future cash flows under that Impacted FCM 

SwapClear Contract using the SOFR Discounting Curve for the purposes of such calculation 

(with the future cash flows calculated in the same manner as for the determination of the 

FedFunds Discounted Value). If the net present value represents an asset or positive value 

for the Clearing House, such SOFR Discounted Value shall be a positive amount and if the 

net present value represents a liability or negative value for the Clearing House, such SOFR 

Discounted Value shall be a negative amount.

SOFR Discounting Curve means the SOFR pricing curve constructed by the Clearing House 

in accordance with Section 4 of the Cash Settlement Schedule.

Swap Portfolio Calculation Date means, in relation to a Rate Change Notice relating to 

SOFR the date specified as such by the Clearing House in such Rate Change Notice relating 

to SOFR, being the date on which the Clearing House shall determine the portfolios of 

Discounting Risk Swaps in relation to all Impacted FCM SwapClear Contracts registered 

with the Clearing House on such date.

Winning Bid Price means, in relation to the Net Auction Contract Pair for a Maturity Bucket 

and an Auction Winner, the price payable to, or by, that Auction Winner to the Clearing 

House, expressed as a positive or negative spread in basis points on the SOFR leg of the Net 

Auction Contract Pair for that Maturity Bucket and determined through a modified Dutch 

auction as further set-out in the Cash Settlement Supplement(s). For the avoidance of doubt:

(a) if the Clearing House is the receiver of SOFR under the Net Auction Contract Pair, and 

(1) the spread is a positive amount, the Winning Bid Price shall be a positive amount; or (2) 

the spread is a negative amount, the Winning Bid Price shall be a negative amount; and (b) if 

the Clearing House is the receiver of the Fed Funds Rate under the Net Auction Contract 

Pair, and (1) the spread is a positive amount, the Winning Bid Price shall be a negative 

amount; or (2) the spread is a negative amount, the Winning Bid Price shall be a positive 

amount.

Winning Bid Quantity means, in relation to an Auction Winner and a Net Auction Contract 

Pair for a Maturity Bucket, the notional amount (expressed in units of USD one million) of 

the Discounting Risk Swap related to such Net Auction Contract Pair (or the part thereof) 

which will be determined by the Clearing House pursuant to the Cash Settlement Supplement 

and registered in the Proprietary Account of the Auction Winner. 

3. OBLIGATIONS TO MAKE CERTAIN CALCULATIONS AND ENTER INTO 

CERTAIN CONTRACTS

(a) In connection with the change from the Fed Funds Rate to SOFR described in Section 

1(b) above, pursuant to and in accordance with the Clearing House’s powers under 

Regulation 48A of the FCM Regulations, this Annex sets out the method by which the 

Clearing House will:

Cash Valuation Change Amount (USD), Cash Valuation Change Amount (MXN) 

and Cash Compensation Contracts

(i) for each Proprietary Account and each FCM Client Sub-Account, calculate the 

following amounts, in each case, if any:
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(A) Cash Valuation Change Amount (USD); and

(B) Cash Valuation Change Amount (MXN),

each of which are “Rate Change Payments” for the purpose of Regulation 

48A.

(ii) determine and register, pursuant to Regulation 48A, certain Cash 

Compensation Contracts in each Proprietary Account and FCM Client SubAccount in accordance with Section 8 of this Annex in order to effect the 

payment of each Cash Valuation Change Amount (USD), Cash Valuation 

Change Amount (MXN), Cash Only Client Position Account Auction 

Adjustment, and Auction Winner Amount, in each case, if any;

Discounting Risk Swaps and Auction Winner Amounts

(iii) subject to (b) below, for (x) each Proprietary Account and (y) each FCM 

Client Sub-Account which is not a Cash Only Client Position Account, 

determine how certain Discounting Risk Swaps shall be identified in 

accordance with Section 5, registered and entered into between the Clearing 

House and each FCM Clearing Member pursuant to Regulation 48A and the 

terms of those Discounting Risk Swaps; 

(iv) subject to (b) below, for each Cash Only Client Position Account, calculate the 

related Cash Only Client Position Account Auction Adjustments (which shall 

also each be a “Rate Change Payment” for the purpose of Regulation 48A); 

and

(v) for each Auction Winner, calculate the Auction Winner Amount (which shall 

also be a "Rate Change Payment" for the purpose of Regulation 48A).

(b) Any account that is a De Minimis Participant Account in relation to a Maturity Bucket 

shall not have any Discounting Risk Swaps in that Maturity Bucket determined or 

registered in its name and shall not be obliged to pay, or entitled to receive, any Cash 

Only Client Position Account Auction Adjustments. Any Cash Only Election Notice 

received in relation to an FCM Client Sub-Account that is a De Minimis Participant 

Account as of the Auction Date shall be invalid and shall have no effect whatsoever 

(and, for the avoidance of doubt, the Discounting Risk Swaps that would otherwise be 

registered in any De Minimis Participant Account shall not count towards the Net 

Auction Contract Pair for any Maturity Bucket).

4. CLEARING MEMBER DEALINGS WITH FCM CLIENTS AND CLIENT 

CASH ONLY ELECTIONS 

Client Cash Only Elections

(a) In relation to its SwapClear Client Clearing Business, an FCM Clearing Member shall

provide each FCM Client with an election not to have Discounting Risk Swaps 

registered on that FCM Client’s behalf in relation to Impacted FCM SwapClear 

Contracts registered in the relevant FCM Client Sub-Account and instead, subject to 

Section 4(d) below, to assume a right, or an obligation to pay or be paid an amount 

equal to the Cash Only Client Position Account Auction Adjustment in respect of 
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each FCM Client Sub-Account, as determined pursuant to this Annex (except in the 

circumstances provided for in the Cash Settlement Schedule, where the election not to 

have Discounting Risk Swaps registered may be overridden). 

(b) An FCM Clearing Member shall be entitled to deliver Cash Only Election Notices to 

the Clearing House at any time up to, and including, the Cash Only Election Cut-Off 

Date. All Cash Only Election Notices must be delivered to the Clearing House via the 

SwapClear Portal. 

(c) No FCM Clearing Member shall be entitled to deliver a Cash Only Election Notice in 

respect of its Proprietary Accounts and any such notice shall be invalid and shall have 

no effect whatsoever. 

(d) The Clearing House reserves the right to reject any Cash Only Election Notice 

received by the Clearing House after the time end of the Business Day in New York 

on the Cash Only Election Cut-Off Date determined by the Clearing House. An FCM 

Clearing Member shall only be entitled to deliver a Cash Only Election Notice in 

respect of all, but not some only, of the FCM SwapClear Contracts registered in the 

name of an FCM Client in a single FCM Client Sub-Account. 

(e) The delivery by an FCM Clearing Member of a Cash Only Election Notice shall be 

deemed, as of the time end of the Business Day in New York on the Cash Only 

Election Cut-Off Date determined by the Clearing House, to be an irrevocable 

instruction of that FCM Clearing Member (for itself and acting on behalf of the 

relevant FCM Client(s) for whom the FCM Client Sub-Account which such Cash 

Only Election Notice affects is held) to the Clearing House to determine the Cash 

Valuation Change Amount (USD), the Cash Valuation Change Amount (MXN) and 

each Cash Only Client Position Account Auction Adjustment payable to or by that 

FCM Clearing Member in accordance with Section 7.3, Section 7.4 and Section 7.5 of 

this Annex and to register the related Cash Compensation Contracts in the relevant 

FCM Client Sub-Account in accordance with this Annex. 

(f) If an FCM Clearing Member does not deliver a Cash Only Election Notice in respect 

of an FCM Client Sub-Account held for an FCM Client then that shall be deemed, as 

of the time end of the Business Day in New York on the Cash Only Election Cut-Off 

Date determined by the Clearing House, to be an irrevocable instruction of that FCM 

Clearing Member (for itself and acting on behalf of that FCM Client) to the Clearing 

House to (i) determine the Cash Valuation Change Amount (USD) and the Cash 

Valuation Change Amount (MXN) in accordance with Section 7.2 and Section 7.5 of 

this Annex and to register the related Cash Compensation Contract in the relevant

FCM Client Sub-Account in accordance with this Annex, and (ii) determine the 

Discounting Risk Swaps to be allocated to such FCM Client’s FCM Client SubAccount in accordance with this Annex and to register such Discounting Risk Swaps 

in such account. 

(g) By not delivering a Cash Only Election Notice, in relation to an FCM Client SubAccount, each FCM Clearing Member represents and warrants to the Clearing House 

on the Cash Only Election Cut-Off Date that (i) it has used reasonable endeavors to 

obtain instructions from the FCM Client in relation to the exercise of an election not 

to receive Discounting Risk Swaps in relation to such account and (ii) it has not 
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received instructions from any FCM Client to deliver a Cash Only Election Notice in 

respect of such account. 

Clearing Member Obligations

(h) Each FCM Clearing Member (and in the case of (h)(vi) below, each FCM Clearing 

Member and the Clearing House):

(i) agrees to use reasonable endeavors to provide its FCM Clients with 

information on (i) the change in the rate from the Fed Funds Rate to SOFR 

pursuant to the terms of Regulation 48A and this Annex, (ii) the amounts 

payable pursuant to the terms the Cash Compensation Contracts which may be 

registered in that FCM Client’s FCM Client Sub-Account pursuant to the 

terms of this Annex, (iii) the Discounting Risk Swaps which may be allocated 

to that FCM Client’s FCM Client Sub-Account pursuant to the terms of this 

Annex, and (iv) other information (indicative or otherwise) in relation to each 

FCM Client’s FCM Client Sub-Account that the Clearing House has notified 

FCM Clearing Members must be provided to FCM Clients.. Such information 

shall include the terms of this Annex and any information which it has 

received from, or is made available by, the Clearing House in connection with 

this Annex, including any risk disclosure statements relating to the matters 

herein; 

(ii) agrees that it, and each applicable FCM Client, shall be bound by the terms of 

any Cash Compensation Contracts and Discounting Risk Swaps registered 

pursuant to this Annex and all payment obligations thereunder (as determined 

by the Clearing House pursuant to this Annex);

(iii) represents and warrants to the Clearing House as at the Cash Only Election 

Cut-off Date that each Cash Only Client in relation to which it has delivered a 

Cash Only Election Notice (A) has instructed the FCM Clearing Member to 

deliver the Cash Only Election Notice on its behalf, and (B) has expressly 

agreed (i) that by electing for its FCM Client Sub-Account to be a Cash Only 

Client Position Account under this Annex it shall not, other than if (X) the 

Cash Settlement Schedule provides that one or more Discounting Risk 

Auctions have failed, or (Y) some of the Discounting Risk Swaps are not 

successfully auctioned and liquidated in accordance with the Cash Settlement 

Schedule, be party to any Discounting Risk Swaps (ii) that it shall be obliged 

to pay or entitled to receive the Cash Valuation Change Amount (USD), the 

Cash Valuation Change Amount (MXN) and, provided the Cash Only Client 

Position Account is not a De Minimis Participant Account, each Cash Only 

Client Position Account Auction Adjustment determined in accordance with 

Section 7.3, Section 7.4 and Section 7.5 of this Annex, and (iii) that the Cash 

Only Client Position Account Auction Adjustment may not be economically 

equivalent to being party to any such Discounting Risk Swaps or liquidating, 

closing-out, selling or replacing the Discounting Risk Swaps in the relevant 

market; 

(iv) acknowledges that the Cash Valuation Change Amounts, the Auction Winner 

Amounts, each Cash Only Client Position Account Auction Adjustment, and 
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the spread in relation to the Discounting Risk Swaps shall be determined by 

reference to the Discounting Risk Auctions and the Mid-Price Auctions, and 

agrees to be bound by the results of such auctions and the terms of the Cash 

Settlement Schedule and the Cash Settlement Supplement; 

(v) agrees to perform all obligations and exercise all rights under this Annex, the 

Cash Settlement Schedule, the Cash Settlement Supplement, the Cash 

Compensation Contracts and the Discounting Risk Swaps in accordance with 

Applicable Law; and

(vi) agrees that each Cash Compensation Contract and Discounting Risk Swap is 

being registered in the relevant account in connection with the matters 

specified in this Annex and the obligations thereunder are for the sole purpose 

of addressing the value and discounting risk impact of the change from the 

Fed Funds Rate to SOFR and effecting the payment of amounts owed to, or 

payable by, the Auction Winner.

5. DETERMINING THE PORTFOLIO OF DISCOUNTING RISK SWAPS

5.1 On the Swap Portfolio Calculation Date, the Clearing House shall allocate Impacted 

FCM SwapClear Contracts into different Maturity Buckets based on the tenor of the 

discounting risk associated with such Impacted FCM SwapClear Contracts. Any 

Impacted FCM SwapClear Contract that has discounting risk with a tenor that falls 

between two different Maturity Buckets shall be allocated to the nearest two Maturity 

Buckets in the Clearing House’s sole and absolute discretion. Separately in respect of 

the Impacted FCM SwapClear Contracts allocated to each Maturity Bucket in each 

Proprietary Account and FCM Client Sub-Account, determine a portfolio of 

Discounting Risk Swaps which is designed to, in the Clearing House's sole and 

absolute discretion and to the extent practicable, replicate the Fed Funds Rate 

discounting risk profile in relation to such FCM SwapClear Contracts as of the Swap 

Portfolio Calculation Date. For the avoidance of doubt, the determination by the 

Clearing House pursuant to this paragraph may be different from an FCM Clearing 

Member's or FCM Client’s models or methodologies. Each pair of Discounting Risk 

Swaps will:

(a) have a maturity of two years, five years, ten years, fifteen years, twenty years 

or thirty years from the date of registration;

(b) when registered, comprise a pair of FCM SwapClear Contracts whereby:

(i) under the first FCM SwapClear Contract, the Clearing House or the 

FCM Clearing Member (Party X) will receive Fed Funds and pay to 

the other party (Party Y) fixed amounts, which shall be determined by 

reference to the fixed rate, determined by the Clearing House in 

accordance with its usual processes, that would be payable on the fixed 

leg of a FCM SwapClear Contract at the close of business on the Swap 

Portfolio Calculation Date where the floating rate is the Fed Funds 

Rate and the maturity date corresponds to the applicable maturity 

referred to in (a) above; and
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(ii) under the second FCM SwapClear Contract, Party X will pay SOFR 

and receive from Party Y a fixed amount, which shall be a fixed rate, 

determined by subtracting the spread equal to the Mid-Price 

determined pursuant to the Cash Settlement Schedule from the fixed 

rate referred to in (i) above provided that if the process referred to in 

the Cash Settlement Schedule fails to provide the Mid-Price for the 

relevant Maturity Bucket, the Clearing House shall determine the 

spread for that Maturity Bucket using its customary methodology and 

applying it to observable market data points and applying linear 

interpolation where the Clearing House considers appropriate; and

(c) have a notional amount that is determined by the Clearing House, in its sole 

and absolute discretion, where such notional amount shall be rounded to the 

nearest integral number set out in the following table:

Maturity 

Bucket

2Y 5Y 10Y 15Y 20Y 30Y

Amount 

in USD 

to which 

the 

notional 

amount 

will be 

rounded 

to

5,000,000 2,500,000 1,250,000 500,000 500,000 500,000

5.2 The Clearing House shall separately determine the portfolio of Discounting Risk 

Swaps in respect of each of the following (excluding, in relation to a Maturity Bucket, 

any De Minimis Participant Accounts in relation to that Maturity Bucket) as of the 

Swap Portfolio Calculation Date:

(a) the Impacted FCM SwapClear Contracts then registered in each FCM Clearing 

Member’s Proprietary Account; and

(b) the Impacted FCM SwapClear Contracts then registered in each FCM Client's 

FCM Client Sub-Account.

5.3 The Clearing House shall promptly notify each FCM Clearing Member of each 

portfolio of Discounting Risk Swaps it has determined pursuant to this Section 5 in 

respect of each account held by each FCM Clearing Member as set out above.

5.4 Without prejudice to the above, at any time prior to the Swap Portfolio Calculation 

Date, the Clearing House may publish indicative portfolios of the Discounting Risk 

Swaps in relation to the Impacted FCM SwapClear Contracts then registered in the 

name of an FCM Clearing Member for information only.
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6. THE AUCTIONS

6.1 On the Auction Date the Clearing House shall conduct one or more Discounting Risk 

Auctions and Mid-Price Auctions and each such auction shall be conducted in respect 

of both LCH's SCM service and LCH's FCM service. The initial terms of the 

Discounting Risk Auctions and the Mid-Price Auctions shall be as set out in the Cash 

Settlement Schedule and the Clearing House shall supplement such terms to provide 

further detail on the operation of the auctions through publication of one or more Cash 

Settlement Supplements, provided however that, the Clearing House shall not be 

entitled to materially alter the nature of the obligations of any FCM Clearing Member 

under this Rate Change Annex via any Cash Settlement Supplement. Each Cash 

Settlement Supplement shall be deemed to supplement, and form part of, the Cash 

Settlement Schedule and the Clearing House shall be entitled to supplement, modify, 

amend, replace or withdraw the Cash Settlement Schedule or Cash Settlement 

Supplements (in whole or in part) from time to time in its sole discretion through such 

method as the Clearing House shall determine is appropriate.

6.2 Each FCM Clearing Member that is an Expected Cash Settlement Participant (as 

defined in the Cash Settlement Schedule) agrees that it shall use all reasonable efforts 

to submit pricing in accordance with this Cash Settlement Schedule for the Net 

Auction Contract Pair in each Maturity Bucket.

6.3 If, having taken the steps in Section 4(a) of the of the Cash Settlement Schedule in 

connection with a Discounting Risk Auction, where applicable, no prices are received 

in relation to one or more of the Maturity Buckets then the Clearing House will 

determine that no further auctions shall take place with respect to the relevant 

Maturity Bucket(s) and all Cash Only Clients shall have Discounting Risk Swaps for 

such relevant Maturity Bucket(s) registered in the FCM Client Sub-Accounts 

notwithstanding any Cash Only Election Notices previously delivered in respect of 

such FCM Clients.

6.4 If, in relation to a Maturity Bucket, the Clearing House is unable to auction and 

liquidate the full notional amount of the Discounting Risk Swaps that are the subject 

of the auction for that Maturity Bucket (including, without limitation, because the 

aggregate notional amount for which bids are received in relation to that Maturity 

Bucket is less than the entire notional amount of such Discounting Risk Swaps) (the 

Non-Auctioned Swaps), then the Clearing House shall, notwithstanding any Cash 

Only Election Notices previously delivered, allocate the Non-Auctioned Swaps to 

each Cash Only Client Position Account, with each Cash Only Position Client 

Account being allocated a share of the Non-Auctioned Swaps pro rata to that Cash 

Only Client Position Account's share of the total notional amount of Discounting Risk 

Swaps for that Maturity Bucket that would, but for the delivery of the Cash Only 

Election Notices, have been registered in each of the Cash Only Client Position 

Accounts.

7. THE CASH VALUATION CHANGE AMOUNTS AND THE CASH ONLY 

CLIENT POSITION ACCOUNT AUCTION ADJUSTMENTS

All Impacted FCM SwapClear Contracts other than TIIE Interest Rate Swaps 

denominated in MXN
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The following provisions are applicable in relation to all Impacted FCM SwapClear 

Contracts other than Impacted FCM SwapClear Contracts that are TIIE interest rate 

swaps denominated in MXN. With respect to the calculations to be performed under 

Section 7.1 to 7.3 (inclusive) below, for the purposes of determining the Cash 

Valuation Change Amount (USD) in relation to non-deliverable interest rate swaps 

the Clearing House shall first convert into USD the value of the discounted future 

cash flows which are not denominated in USD by applying the relevant rate of 

exchange as determined by the Clearing House in accordance with its usual 

procedures. Each of the calculations performed under Sections 7.1 to 7.3 (inclusive) 

below shall include any non-deliverable interest rate swaps registered in the relevant 

account as of the time end of the Business Day in New York on the Auction Date

determined by the Clearing House.

Proprietary Accounts

7.1 Immediately following the conclusion of Discounting Risk Auctions (or 

determination by the Clearing House that such auctions shall not occur) on the 

Auction Date, the Clearing House shall calculate the Cash Valuation Change Amount 

(USD) in respect of each Proprietary Account as follows:

(a) the Clearing House shall calculate the aggregate FedFunds Discounted Value 

and the aggregate SOFR Discounted Value in relation to each Impacted FCM 

SwapClear Contract registered in each Proprietary Account as of the end of 

the Business Day in New Yorktime on the Auction Date determined by the 

Clearing House; 

(b) if the aggregate SOFR Discounted Value in relation to all Impacted FCM 

SwapClear Contracts registered in a Proprietary Account exceeds the 

aggregate FedFunds Discounted Value in relation to all such Impacted FCM 

SwapClear Contracts then the Cash Valuation Change Amount (USD) shall be 

an amount equal to the absolute value of the difference and shall be an amount 

in favor of the Clearing House in relation to such Proprietary Account; and

(c) if the aggregate SOFR Discounted Value in relation to all Impacted FCM 

SwapClear Contracts registered in a Proprietary Account is less than the 

aggregate FedFunds Discounted Value in relation to all such Impacted FCM 

SwapClear Contracts then the Cash Valuation Change Amount (USD) shall be 

an amount equal to the absolute value of the difference and shall be an amount 

in favor of the FCM Clearing Member in relation to such Proprietary Account.

FCM Client Sub-Accounts (excluding Cash Only Position Client Accounts)

7.2 The following only applies in relation to each FCM Client Sub-Account that is not a 

Cash Only Client Position Account. Immediately following the conclusion of the 

Discounting Risk Auctions (or determination by the Clearing House that such 

auctions shall not occur) on the Auction Date the Clearing House shall determine the 

Cash Valuation Change Amount (USD) in respect of the Impacted FCM SwapClear 

Contracts registered in each FCM Client Sub-Account that is not a Cash Only Client 

Position Account as follows:
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(a) the Clearing House shall calculate the aggregate FedFunds Discounted Value 

and the aggregate SOFR Discounted Value in relation to all Impacted FCM 

SwapClear Contracts registered in such account as of the end of the Business 

Day in New Yorktime on the Auction Date determined by the Clearing House; 

(b) if the aggregate SOFR Discounted Value in relation to all Impacted FCM 

SwapClear Contracts registered in such account exceeds the aggregate 

FedFunds Discounted Value in relation to all such Impacted FCM SwapClear 

Contracts then the Cash Valuation Change Amount (USD) shall be an amount 

equal to the absolute value of the excess and shall be an amount in favor of 

the Clearing House in relation to such account; and

(c) if the aggregate SOFR Discounted Value in relation to all Impacted FCM 

SwapClear Contracts registered in such account is less than the aggregate 

FedFunds Discounted Value in relation to all such Impacted FCM SwapClear 

Contracts then the Cash Valuation Change Amount (USD) shall be an amount 

equal to the absolute value of the difference and shall be an amount in favor of 

the FCM Clearing Member in relation to such account.

Cash Only Client Position Accounts

7.3 The following applies only in relation to Cash Only Client Position Accounts. 

Immediately following the conclusion of the Discounting Risk Auctions (or 

determination by the Clearing House that such auctions shall not occur) on the 

Auction Date the Clearing House shall determine the Cash Valuation Change Amount 

(USD) in respect of the Impacted FCM SwapClear Contracts registered in a Cash 

Only Client Position Account as follows:

(a) the Clearing House shall calculate the aggregate FedFunds Discounted Value 

and the aggregate SOFR Discounted Value in relation to all Impacted FCM 

SwapClear Contracts registered in such account as of the end of the Business 

Day in New York time on the Auction Date determined by the Clearing 

House; 

(b) if the aggregate SOFR Discounted Value in relation to all Impacted FCM 

SwapClear Contracts registered in such account exceeds the aggregate 

FedFunds Discounted Value in relation to all such Impacted FCM SwapClear 

Contracts then the Cash Valuation Change Amount (USD) shall be an amount 

equal to the absolute value of the difference and shall be an amount in favor of 

the Clearing House in relation to such account;

(c) if the aggregate SOFR Discounted Value in relation to all Impacted FCM 

SwapClear Contracts registered in such account is less than the aggregate 

FedFunds Discounted Value in relation to all such Impacted FCM SwapClear 

Contracts then the Cash Valuation Change Amount (USD) shall be an amount 

equal to the absolute value of the difference and shall be an amount in favor of 

the FCM Clearing Member in whose name such Cash Only Client Position 

Account is held; and 

7.4 Immediately following the conclusion of the Discounting Risk Auctions on the 

Auction Date, provided that the Discounting Risk Auction for the relevant Maturity 
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Bucket occurs in accordance with the Cash Settlement Schedule, the Clearing House 

shall calculate, in respect of each Cash Only Client Position Account the aggregate 

Cash Only Client Position Account Auction Adjustment in relation to each Maturity 

Bucket.

Impacted FCM SwapClear Contracts which are TIIE Interest Rate Swaps 

denominated in MXN

7.5 Immediately following the conclusion of the Discounting Risk Auctions (or 

determination by the Clearing House that such auctions shall not occur) on the 

Auction Date the Clearing House shall determine the Cash Valuation Change Amount 

(MXN) separately in respect of each Impacted FCM SwapClear Contracts that is a 

TIIE interest rate swap denominated in MXN (MXN Impacted SwapClear 

Contracts) registered in each Proprietary Account or FCM Client Sub-Account, as 

follows:

(a) first, for the purposes of determining the Cash Valuation Change Amount 

(MXN) in relation to the MXN Impacted FCM SwapClear Contracts, the value 

of the discounted future cash flows thereunder shall be multiplied by the 

relevant USD/MXN rates of exchange determined by the Clearing House in 

accordance with the Clearing House's usual procedures;

(b) second, the Clearing House shall calculate the aggregate FedFunds Discounted 

Value and the aggregate SOFR Discounted Value in relation to all MXN 

Impacted FCM SwapClear Contracts registered in such account as of the end 

of the Business Day in New Yorktime on the Auction Date determined by the 

Clearing House;

(c) if the aggregate SOFR Discounted Value in relation to all such MXN 

Impacted FCM SwapClear Contracts registered in such account exceeds the 

aggregate FedFunds Discounted Value in relation to all such MXN Impacted 

SwapClear Contracts then the Cash Valuation Change Amount (MXN) shall 

be an amount in MXN equal to the absolute value of the difference and shall 

be an amount in favor of the Clearing House in relation to such account; and

(d) if the aggregate SOFR Discounted Value in relation to all MXN Impacted 

FCM SwapClear Contracts registered in such account is less than the 

aggregate FedFunds Discounted Value in relation to all such MXN Impacted 

FCM SwapClear Contracts then the Cash Valuation Change Amount (MXN) 

shall be an amount in MXN equal to the absolute value of the difference and 

shall be an amount in favor of the FCM Clearing Member in whose name such 

Cash Only Client Position Account is held.

8. REGISTRATION OF CASH COMPENSATION CONTRACTS

8.1 On the basis of the calculations set forth in Section 7 above, the Clearing House shall 

determine, as applicable, the Cash Valuation Change Amount (USD), the Cash 

Valuation Change Amount (MXN), the Cash Only Client Position Account Auction 

Adjustments and the Auction Winner Amount in respect of each Proprietary Account 

and each FCM Client Sub-Account and each FCM Clearing Member and the Clearing 
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House (as applicable) irrevocably agrees that it shall be bound to pay such amounts to 

the other pursuant to the terms of the related Cash Compensation Contracts.

8.2 The Clearing House shall, pursuant to Regulation 48A, register a separate Cash 

Compensation Contract in each Proprietary Account and each FCM Client SubAccount in relation to each of the following amounts (to the extent such amounts are 

applicable to such account)

(a) Cash Valuation Change Amounts (USD);

(b) Cash Valuation Change Amounts (MXN);

(c) Cash Only Client Position Account Auction Adjustments; and

(d) Auction Winner Amounts.

8.3 Each Cash Compensation Contract shall be registered for the sole purpose of effecting 

the payment of the Cash Valuation Change Amount (USD), Cash Valuation Change 

Amount (MXN), Cash Only Client Position Account Auction Adjustments or Auction 

Winner Amount (as applicable) to which it relates. It shall operationally be recorded 

as having a "Notional Amount" (as defined in the FCM SwapClear Contract Terms) 

of USD1 (or, in the case of the Cash Compensation Contract relating to the Cash 

Valuation Change Amount (MXN), MXN1), a "Termination Date" (as defined in the 

FCM SwapClear Contract Terms) falling two Business Days after the Auction Date, 

and an obligation on the Clearing House or the FCM Clearing Member (as applicable) 

to pay to the other an amount equal to the Cash Valuation Change Amount (USD), 

Cash Valuation Change Amount (MXN), Cash Only Client Position Account Auction 

Adjustments or Auction Winner Amount (as applicable) in relation to the relevant 

account, with such amounts determined in accordance with Section 7 of this Annex. 

However, neither the Clearing House nor an FCM Clearing Member shall be required 

to pay any amounts under a Cash Compensation Contract other than the Cash 

Valuation Change Amount (USD), Cash Valuation Change Amount (MXN), Cash 

Only Client Position Account Auction Adjustment or Auction Winner Amount (as 

applicable) to which such Cash Compensation Contract relates.

8.4 Each FCM Clearing Member agrees to be bound by each Cash Compensation 

Contract registered pursuant to this Section 8, which shall, when registered, constitute 

an FCM SwapClear Contract between the Clearing House and the relevant FCM 

Clearing Member that has arisen by reason of the application of the Regulations to the 

Impacted FCM SwapClear Contracts.

9. REGISTRATION OF DISCOUNTING RISK SWAPS 

9.1 Immediately following the conclusion of the Discounting Risk Auctions (or 

determination by the Clearing House that such auctions shall not occur) on the 

Auction Date the Clearing House shall notify all FCM Clearing Members of the 

Discounting Risk Swaps that will be registered in the accounts in accordance with this 

Annex. If the Clearing House exercises its powers pursuant to Section 4(b) of the 

Cash Settlement Schedule, then, as soon as practicable following such exercise, it 

shall notify all FCM Clearing Members of the Discounting Risk Swaps that will be 

registered in their Proprietary Accounts and FCM Client Sub-Accounts and it shall 
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register such Discounting Risk Swaps in such accounts without regard to any Cash 

Only Election Notice. 

9.2 Except as provided in Section 9.3 below, on the first Business Day immediately 

following the Auction Date the Clearing House shall:

(a) in relation to each Auction Winner, register the related Discounting Risk 

Swaps (or portion thereof) in the Proprietary Account of the Auction Winner 

and each Auction Winner and the Clearing House shall become party to such 

Discounting Risk Swaps;

(b) in relation to each Proprietary Account other than De Minimis Participant 

Accounts, register the Discounting Risk Swaps determined pursuant to Section 

5.2(a) in each FCM Clearing Member’s Proprietary Account; and

(c) in relation to each FCM Client Sub-Account other than Cash Only Client 

Position Accounts and De Minimis Participant Accounts, register the 

Discounting Risk Swaps determined pursuant to Section 5.2(b) in relation to 

such FCM Client in the relevant account. 

9.3 Each FCM Clearing Member agrees to be bound by each Discounting Risk Swap 

registered pursuant to this Section 9, which shall, when registered, constitute FCM 

SwapClear Contracts between the Clearing House and the relevant FCM Clearing 

Member that have arisen by reason of the application of the Regulations to the 

Impacted FCM SwapClear Contracts.

10. DETERMINATIONS BINDING

Subject to Section 13, all determinations and calculations made by the Clearing House 

pursuant to this Annex and the Cash Settlement Schedule shall be binding and may in 

no circumstances (other than in the case of manifest error) be called into question by 

any person.

11. RECORDS

The Clearing House shall update its books and records to reflect the Discounting Risk 

Swaps, Cash Compensation Contracts, Cash Valuation Change Amounts (USD), Cash 

Valuation Change Amounts (MXN), Auction Winner Amounts and Cash Only Client 

Position Account Auction Adjustments resulting from the operation of this Annex and 

the Cash Settlement Schedule. The obligation to pay, or the right to receive, any 

amounts determined under this Annex may be reflected in the books and records of 

the Clearing House in such manner as the Clearing House determines is necessary to 

meet its operational requirements.

12. MISCELLANEOUS

(a) The obligations of the Clearing House to each FCM Clearing Member shall be to 

perform its obligations as principal to such FCM Clearing Member in accordance with 

the Rulebook, but subject to the restrictions on the Clearing House’s obligations and 

liabilities contained in the Rulebook and Section 13.
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(b) The terms of this Annex are without prejudice to the Clearing House’s rights under 

the FCM Procedures to change the rate used for the purposes of (i) calculating the 

Price Alignment Amount, and (ii) constructing the Clearing House’s zero coupon 

yield curves under 2.1.7 of the FCM Procedures from time to time and such terms 

shall not be relevant or binding on the Clearing House in respect of any such changes.

(c) The performance by the Clearing House of its obligations hereunder shall always be 

subject to the provisions of the Rulebook.

13. LIMITATION OF LIABILITY

13.1 Without prejudice to the generality of Regulation 44, each FCM Clearing Member 

agrees:

(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any FCM Clearing Member or any other 

person (including, without limitation, any FCM Client) whether in contract, 

tort (including, without limitation, negligence), trust, as a fiduciary or under 

any other cause of action, and whether in respect of any damages, loss or gain, 

cost or expense (whether direct, indirect, general, special, consequential, 

punitive or otherwise); and 

(b) to waive any claim against the Clearing House or any member of the LCH 

Group; 

arising or that may arise in connection with:

(i) any determination, calculation, notification, registration, publication, exercise 

of discretion, or decision, taken or not taken by the Clearing House or any 

other member of the LCH Group in connection with this Annex; or

(ii) the determination or publication of any price, curve, data, quote or other 

information arising from, or in connection with, this Annex;

except in the case of fraud or wilful misconduct on the part of the Clearing House or 

any other member of the LCH Group. 

13.2 Without prejudice to the generality of Regulation 44 and clause 14.1 above, each 

FCM Clearing Member further agrees:

(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any FCM Clearing Member or any other 

person (including, without limitation, any FCM Client) in tort (including, 

without limitation, negligence), trust, as a fiduciary or under any other noncontractual cause of action, or under any implied contractual term, and 

whether in respect of any damages, loss or gain, cost or expense (whether 

direct, indirect, general, special, consequential, punitive or otherwise); and 

(b) to waive any non-contractual claim or claim under any implied contractual 

term against the Clearing House or any member of the LCH Group;
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arising or that may arise in connection with the Clearing House's performance of its 

contractual duties or obligations under this Annex, except in the case of fraud or 

wilful misconduct on the part of the Clearing House or any other member of the LCH 

Group. 

13.3 Each FCM Clearing Member agrees that neither the Clearing House nor any other 

member of the LCH Group (i) owes any duty of care to any person in connection with 

the performance of the Clearing House’s duties or obligations or exercise of its rights 

under this Annex, save for the express contractual duties set forth in this Annex; (ii) is 

under any obligation to research, investigate, supplement, or verify the veracity of, 

any price, data, quote or other information received from an FCM Clearing Member

in connection with this Annex; (iii) is acting as a fiduciary for, or as an advisor to, any 

FCM Clearing Member or FCM Client in connection with this Annex or any FCM 

SwapClear Contract registered as a result of the matters specified in this Annex; (iv) 

shall be under any requirement to consult with, or individually notify (other than as 

expressly set out in this Annex), an FCM Clearing Member or FCM Client in 

connection with making its determinations, exercising its discretions or performing its 

duties or obligations or exercising its rights, each under this Annex; or (v) has made 

any representation, express or implied, in relation to this Annex, and each FCM 

Clearing Member acknowledges that it has not relied on any representations made by 

the Clearing House or any other member of the LCH Group in relation to this Annex.

13.4 For the avoidance of doubt, notwithstanding anything herein or in the Cash Settlement 

Supplement or Cash Settlement Schedule, neither the Clearing House nor any other 

member of the LCH Group shall be liable for any obligations of, or to any person who 

is not, an FCM Clearing Member.
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SWAPCLEAR FCM SERVICE - RATE CHANGE ANNEX – EURO SHORT TERM 

RATE (€STR)

1. SCOPE AND INTERPRETATION

(a) This Annex constitutes a “Rate Change Annex” as defined in the FCM Regulations 

and supplements and forms part of the FCM Rulebook.

(b) This Annex relates to the change in the rate from the Euro OverNight Index Average 

(EONIA) to the Euro Short Term Rate (€STR) for the purposes of (i) calculating the 

Price Alignment Amount, and (ii) constituting the relevant underlying benchmark for 

the instruments used to construct the Clearing House’s zero coupon yield curves 

under 2.1.7 of the FCM Procedures to calculate the net present value, each in relation 

to Impacted FCM SwapClear Contracts. 

(c) The terms of this Annex shall apply to all Impacted FCM SwapClear Contracts of the 

type set-out in the Rate Change Notice relating to €STR as set out below. For the 

avoidance of doubt, (i) no other FCM SwapClear Contract shall be subject to, or 

affected by, the terms of this Annex and each FCM SwapClear Contract shall remain 

in full force and effect, and (ii) the FCM SwapClear Contract Terms shall not be 

amended by the terms of this Annex.

(d) Capitalized terms used but not otherwise defined in this Annex have the meaning 

given to them in the FCM Regulations. 

(e) The terms of this Annex relating to operational or procedural matters may be 

supplemented, modified, amended, replaced or withdrawn from time to time by the 

Clearing House in its sole discretion through a member circular or such other method 

as the Clearing House shall determine is appropriate.

2. DEFINITIONS

For the purposes of this Annex:

Cash Compensation Amount means, in relation to the Impacted FCM SwapClear Contracts 

in a Proprietary Account or an FCM Client Sub-Account, the amount determined in 

accordance with Section 4 below.

Cash Compensation Contract means each contract determined by the Clearing House and 

registered in the relevant Proprietary Account or an FCM Client Sub-Account pursuant to 

Section 4 below.

EONIA Discounted Value means, in relation to an Impacted FCM SwapClear Contract, the 

net present value, as of the end of the Business Day in New Yorktime on the €STR 

Calculation Date determined by the Clearing House, of all future cash flows under that 

Impacted FCM SwapClear Contract calculated using EONIA as the discounting rate for the 

purpose of constructing the zero coupon yield curves under 2.1.7 of the FCM Procedures 

(with the future cash flows calculated in the same manner as for the determination of the 

€STR Discounted Value). If the net present value represents an asset or positive value for the 

Clearing House, such EONIA Discounted Value shall be a positive amount and if the net 
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present value represents a liability or negative value for the Clearing House, such EONIA 

Discounted Value shall be a negative amount

€STR Calculation Date means in relation to a Rate Change Notice relating to €STR the date 

specified as such by the Clearing House and specified in the Rate Change Notice relating to 

€STR, being the date on which the Clearing House shall calculate the amounts and values 

specified in Section 4 below.

€STR Discounted Value means, in relation to an Impacted FCM SwapClear Contract, the 

net present value, as of the end of the Business Day in New Yorktime on the €STR 

Calculation Date determined by the Clearing House, of all future cash flows under that 

Impacted FCM SwapClear Contract using €STR as the discounting rate for the purpose of 

constructing the zero coupon yield curves under 2.1.7 of the FCM Procedures (with the future 

cash flows calculated in the same manner as for the determination of the EONIA Discounted 

Value). If the net present value represents an asset or positive value for the Clearing House, 

such €STR Discounted Value shall be a positive amount and if the net present value 

represents a liability or negative value for the Clearing House, such €STR Discounted Value 

shall be a negative amount.

3. OBLIGATIONS TO MAKE CERTAIN CALCULATIONS AND ENTER INTO 

CERTAIN CONTRACTS

Pursuant to Regulation 48A of the Regulations, this Annex sets out the method for (i) 

calculating the Cash Compensation Amounts (which are Rate Change Payments” for 

purposes of Regulation 48A), and (ii) determining the terms of the Cash 

Compensation Contracts which shall be registered in order to effect the payment of 

the Cash Compensation Amounts

4. DETERMINATION OF THE CASH COMPENSATION AMOUNT AND THE 

CASH COMPENSATION CONTRACTS FOLLOWING THE CHANGE TO 

€STR

(a) Immediately following the €STR Calculation Date the Clearing House shall calculate:

(i) the aggregate EONIA Discounted Value and the aggregate €STR Discounted 

Value in relation to all Impacted FCM SwapClear Contracts registered in each 

Proprietary Account as of the end of the Business Day in New Yorktime on 

the €STR Calculation Date determined by the Clearing House; and

(ii) the aggregate EONIA Discounted Value and the aggregate €STR Discounted 

Value in relation to all Impacted FCM SwapClear Contracts registered in each 

FCM Client Sub-Account as of the end of the Business Day in New Yorktime

on the €STR Calculation Date determined by the Clearing House.

(b) The Clearing House shall determine a single Cash Compensation Amount separately 

in respect of all of the Impacted FCM SwapClear Contracts in each Proprietary 

Account and each FCM Client Sub-Account as follows. If:

(i) the aggregate €STR Discounted Value in relation to all such Impacted FCM 

SwapClear Contracts exceeds the aggregate EONIA Discounted Value in 

relation to all such Impacted FCM SwapClear Contracts the Cash 
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Compensation Amount in relation to such Impacted FCM SwapClear 

Contracts shall be equal to the absolute value of the difference, and shall be 

an amount in favor of the Clearing House in relation to such Proprietary 

Account or FCM Client Sub-Account (as applicable); and

(ii) the aggregate €STR Discounted Value in relation to all such Impacted FCM 

SwapClear Contracts is less than the aggregate EONIA Discounted Value in 

relation to all such Impacted FCM SwapClear Contracts then the Cash 

Compensation Amount in relation to such Impacted FCM SwapClear 

Contracts shall be equal to the absolute value of the difference, and shall be an 

amount in favor of the FCM Clearing Member in relation to such Proprietary 

Account or FCM Client Sub-Account (as applicable).

(c) The Clearing House shall, pursuant to Regulation 48A, register a separate Cash 

Compensation Contract in each Proprietary Account and each FCM Client SubAccount, Cash Compensation Amount (to the extent such amounts are applicable to 

such account). Each FCM Clearing Member and the Clearing House (as applicable) 

irrevocably agrees that it shall be bound to pay the Cash Compensation Amount to the 

other pursuant to the terms of the related Cash Compensation Contract. Each Cash 

Compensation Contract shall be registered for the sole purpose of effecting the 

payment of the Cash Compensation Amount to which it relates. It shall operationally 

be recorded as having a "Notional Amount" (as defined in the FCM SwapClear 

Contract Terms) of EUR1, a "Termination Date" (as defined in the FCM SwapClear

Contract Terms) falling two Business Days after the €STR Calculation Date, and an 

obligation on the Clearing House or the FCM Clearing Member (as applicable) to pay 

to the other the Cash Compensation Amount related to the relevant Proprietary 

Account, or FCM Client Sub-Account, in each case as determined pursuant to Section 

4(b) above, with a positive Cash Compensation Amount representing an amount 

payable by the Clearing House to the FCM Clearing Member and a negative Cash 

Compensation Amount representing an amount payable to the Clearing House by the 

FCM Clearing Member. However, neither the Clearing House not a FCM Clearing 

Member shall be required to pay any amounts under a Cash Compensation Contract 

other than the Cash Compensation Amount to which such Cash Compensation 

Contract relates.

(d) Each FCM Clearing Member agrees to be bound by each Cash Compensation 

Contract registered pursuant to this Section 4, which shall, when registered, constitute 

an FCM SwapClear Contract between the Clearing House and the relevant FCM 

Clearing Member that has arisen by reason of the application of the Regulations to the 

Impacted FCM SwapClear Contracts.

(e) Each FCM Clearing Member agrees (and in the case of (e)(iv) below, each FCM 

Clearing Member and the Clearing House agrees):

(i) to use reasonable endeavors to provide each of its FCM Clients with 

information on (i) the change in the rate from EONIA to €STR pursuant to the 

terms of Regulation 48A and this Annex, and (ii) the amounts pursuant to the 

terms of the Cash Compensation Contracts which may be allocated to that 

FCM Clearing Client’s FCM Client Sub-Account pursuant to the terms of this 

Annex. Such information shall include the terms of this Annex and any 
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information which it has received from, or is made available by, the Clearing 

House in connection with this Annex;

(ii) that it, and each of its FCM Clients, shall be bound by the terms of any Cash 

Compensation Contracts registered pursuant to this Annex and all payment 

obligations thereunder (as determined by the Clearing House pursuant to this 

Annex);

(iii) to perform all obligations and exercise all rights under this Annex in 

accordance with Applicable Law; and

(iv) that each Cash Compensation Contract is being registered in the relevant 

account in connection with the matters specified in this Annex and the 

obligations thereunder are for the sole purpose of addressing the value impact 

of the change from EONIA to €STR. 

5. DETERMINATIONS BINDING

Subject to Section 8, all determinations and calculations made by the Clearing House 

pursuant to this Annex shall be binding and may in no circumstances (other than in 

the case of manifest error) be called into question by any person.

6. RECORDS

The Clearing House shall update its books and records to reflect the Cash 

Compensation Contracts and the amounts payable thereunder and the obligation to 

pay, or the right to receive, any such amounts may be reflected in the books and 

records of the Clearing House in such manner as the Clearing House determines is 

necessary to meet its operational requirements.

7. MISCELLANEOUS

(a) The obligations of the Clearing House to each FCM Clearing Member shall be to 

perform its obligations as principal to such FCM Clearing Member in accordance with 

the Rulebook, but subject to the restrictions on the Clearing House’s obligations and 

liabilities contained in the Rulebook and Section 8.

(b) The terms of this Annex are without prejudice to the Clearing House’s rights under 

the Procedures to change the rate used for the purposes of (i) calculating the Price 

Alignment Amount, and (ii) constructing the Clearing House’s zero coupon yield 

curves under 12.1.7 of the FCM Procedures from time to time and such terms shall 

not be relevant or binding on the Clearing House in respect of any such changes.

(c) The performance by the Clearing House of its obligations hereunder shall always be 

subject to the provisions of the Rulebook.

8. LIMITATION OF LIABILITY

8.1 Without prejudice to the generality of Regulation 44, each FCM Clearing Member 

agrees:
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(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any FCM Clearing Member or any other 

person (including, without limitation, any SwapClear Clearing Client) whether 

in contract, tort (including, without limitation, negligence), trust, as a fiduciary 

or under any other cause of action, and whether in respect of any damages, 

loss or gain, cost or expense (whether direct, indirect, general, special, 

consequential, punitive or otherwise); and 

(b) to waive any claim against the Clearing House or any member of the LCH 

Group; 

arising or that may arise in connection with:

(i) any determination, calculation, notification, registration, publication, exercise 

of discretion, or decision, taken or not taken by the Clearing House or any 

other member of the LCH Group in connection with this Annex; or

(ii) the determination or publication of any price, curve, data, quote or other 

information arising from, or in connection with, this Annex;

except in the case of fraud or wilful misconduct on the part of the Clearing House or 

any other member of the LCH Group. 

8.2 Without prejudice to the generality of Regulation 44 and clause 8.1 above, each FCM 

Clearing Member further agrees:

(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any FCM Clearing Member or any other 

person (including, without limitation, any FCM Client) in tort (including, 

without limitation, negligence), trust, as a fiduciary or under any other noncontractual cause of action, or under any implied contractual term, and 

whether in respect of any damages, loss or gain, cost or expense (whether 

direct, indirect, general, special, consequential, punitive or otherwise); and 

(b) to waive any non-contractual claim or claim under any implied contractual 

term against the Clearing House or any member of the LCH Group; 

arising or that may arise in connection with the Clearing House's performance of its 

contractual duties or obligations under this Annex, except in the case of fraud or 

wilful misconduct on the part of the Clearing House or any other member of the LCH 

Group. 

8.3 Each FCM Clearing Member agrees that neither the Clearing House nor any other 

member of the LCH Group (i) owes any duty of care to any person in connection with 

the performance of the Clearing House’s duties or obligations or exercise of its rights 

under this Annex, save for the express contractual duties set forth in this Annex; (ii) is 

under any obligation to research, investigate, supplement, or verify the veracity of, 

any price, data, quote or other information received from an FCM Clearing Member 

in connection with this Annex; (iii) is acting as a fiduciary for, or as an advisor to, any 

FCM Clearing Member or FCM Client in connection with this Annex or any FCM 

SwapClear Contract registered as a result of the matters specified in this Annex; (iv) 
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shall be under any requirement to consult with, or individually notify (other than as 

expressly set out in this Annex), an FCM Clearing Member or FCM Client in 

connection with making its determinations, exercising its discretions or performing its 

duties or obligations or exercising its rights, each under this Annex; or (v) has made 

any representation, express or implied, in relation to this Annex, and each FCM 

Clearing Member acknowledges that it has not relied on any representations made by 

the Clearing House or any other member of the LCH Group in relation to this Annex.

8.4 For the avoidance of doubt, notwithstanding anything to the contrary herein, neither 

the Clearing House nor any other member of the LCH Group shall be liable for any 

obligations of, or to any person who is not, an FCM Clearing Member.
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SCHEDULE 2.1C

FLOATING RATE CONVERSION ANNEXES

SWAPCLEAR FCM SERVICE – FLOATING RATE CONVERSION ANNEX –

EURO OVERNIGHT INDEX AVERAGE (EONIA)

1. SCOPE AND INTERPRETATION

(a) This Annex constitutes a “Floating Rate Conversion Annex” as defined in and 

pursuant to the Regulations and supplements and forms part of the Rulebook. 

(b) The terms of this Annex shall apply to all open FCM SwapClear Contracts that (i) 

specify an In-Scope Floating Rate Option as the floating rate or use an In-Scope 

Floating Rate Option to calculate the floating amount thereunder and (ii) are 

registered with the Clearing House at the end of the “business day” in New Yorktime

on the Conversion Cut-Off Date determined by the Clearing House (each such FCM 

SwapClear Contract, an EONIA Contract). For the avoidance of doubt, (A) no other 

FCM SwapClear Contract shall be subject to, or affected by, the terms of this Annex 

and all FCM SwapClear Contracts shall remain in full force and effect as amended 

pursuant to the Floating Rate Conversion Annexes, and (B) other than as expressly set 

out in this Annex, the FCM SwapClear Contract Terms shall not be amended, 

supplemented or modified by the terms of this Annex. 

(c) Capitalised terms used but not otherwise defined herein have the meaning given to 

them in the Regulations. The term "business day" has the meaning given to it in the 

Regulations.

(d) The terms of this Annex relating to operational or procedural matters may be 

supplemented, modified, amended, replaced or withdrawn from time to time by the 

Clearing House in its sole discretion through a member circular or such other method 

as the Clearing House shall determine is appropriate.

2. DEFINITIONS

For the purposes of this Annex:

Amended EONIA Contract means each EONIA Contract after giving effect to the 

amendments made pursuant to Section 3 of this Annex.

Cash Compensation Amount means, in relation to the EONIA Contracts in a Proprietary 

Account or an FCM Client Sub-Account, the amount determined in accordance with Section 

5 below. 

Cash Compensation Contract means each contract determined by the Clearing House and 

registered in the relevant Proprietary Account or FCM Client Sub-Account pursuant to 

Section 5 below. 

Conversion Cut-Off Date means the business day immediately prior to the Conversion Date.

Conversion Date means October 16, 2021, or such other date as may be specified by the 

Clearing House from time to time through a member circular or such other method as the 

Clearing House shall determine is appropriate.
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EONIA Contract has the meaning given to the term in Section 1(b) hereto.

EONIA Value means, in relation to an EONIA Contract, the net present value, determined 

by the Clearing House by reference to the Clearing House’s zero coupon yield curves as of 

the time specified in Section 2.1.7 of these Procedures on the Conversion Date, of all future 

cash flows under that EONIA Contract on the basis that such EONIA Contract is an 

Unamended EONIA Contract. If the net present value represents an asset or positive value for 

the Clearing House, such EONIA Value shall be a positive amount and if the net present 

value represents a liability or negative value for the Clearing House, such EONIA Value shall 

be a negative amount.

€STR Value means, in relation to an EONIA Contract, the net present value, determined by 

the Clearing House by reference to the Clearing House’s zero coupon yield curves as of the 

time specified in Section 2.1.7 of these Procedures on the Conversion Date, of all future cash 

flows under that EONIA Contract on the basis that such EONIA Contract is an Amended 

EONIA Contract. If the net present value represents an asset or positive value for the 

Clearing House, such €STR Value shall be a positive amount and if the net present value 

represents a liability or negative value for the Clearing House, such €STR Value shall be a 

negative amount. 

EUR-EONIA-OIS-COMPOUND has the meaning given to it in the ISDA 2000 Definitions

or ISDA 2006 Definitions (as applicable)

EUR-EONIA-OIS Compound has the meaning given to it in the ISDA 2021 Definitions.

EUR-EuroSTR-COMPOUND has the meaning given to it in the ISDA 2000 Definitions or 

ISDA 2006 Definitions (as applicable). 

EUR-EuroSTR-OIS Compound has the meaning given to it in the ISDA 2021 Definitions.

In-Scope Floating Rate Option means EUR-EONIA-OIS COMPOUND or EUR-EONIAOIS Compound.

ISDA Definitions means the ISDA 2000 Definitions, the ISDA 2006 Definitions and the 

ISDA 2021 Definitions, each as published by the International Swaps and Derivatives 

Association, Inc.

Unamended EONIA Contract means each EONIA Contract prior to giving effect to the 

amendments made pursuant to Section 3 below.

3. AMENDMENT TO EONIA CONTRACTS

(a) Pursuant to Regulation 48B of the FCM Regulations, with effect from, and including, 

the Conversion Date, each EONIA Contract shall be amended so that each reference 

to EONIA shall instead be deemed to be a reference to the Euro Short-Term Rate 

(€STR) (without any spread) and each reference to an In-Scope Floating Rate Option 

shall instead be a reference to EUR-EuroSTR-COMPOUND or EUR-EuroSTR-OIS 

Compound (as applicable), depending on the ISDA Definitions incorporated into the 

relevant EONIA Contract. 

(b) No other term of any EONIA Contract shall be amended under this Annex. 
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4. OBLIGATIONS TO MAKE CERTAIN CALCULATIONS AND ENTER INTO 

CERTAIN CONTRACTS

Pursuant to Regulation 48B of the FCM Regulations, this Annex sets out the method 

for (i) calculating the Cash Compensation Amounts (which are “Conversion 

Payments” for purposes of FCM Regulation 48B), and (ii) determining the terms of 

the Cash Compensation Contracts which shall be registered in order to effect the 

payment of the Cash Compensation Amounts. 

5. DETERMINATION OF THE CASH COMPENSATION AMOUNT AND THE 

CASH COMPENSATION CONTRACTS FOLLOWING THE CHANGE TO 

€STR

(a) On the Conversion Date the Clearing House shall calculate:

(i) the aggregate EONIA Value and the aggregate €STR Value in relation to all 

EONIA Contracts registered in each Proprietary Account as of the end of the 

business day in New York time on the Conversion Cut-Off Date determined 

by the Clearing House; 

(ii) the aggregate EONIA Value and the aggregate €STR Value in relation to 

EONIA Contracts registered in each FCM Client Sub-Account as of the end of 

the business day in New Yorktime on the Conversion Cut-Off Date

determined by the Clearing House; and

(iii) the aggregate EONIA Value and the aggregate €STR Value in relation to all 

EONIA Contracts registered in each FCM Client Sub-Account as of the end of 

the business day in New York time on the Conversion Cut-Off Date

determined by the Clearing House.

(b) The Clearing House shall determine a single Cash Compensation Amount separately 

in respect of all of the EONIA Contracts in each Proprietary Account and each FCM 

Client Sub-Account as follows. If:

(i) the aggregate €STR Value in relation to all such EONIA Contracts exceeds the 

aggregate EONIA Value in relation to all such EONIA Contracts then the 

Cash Compensation Amount in relation to such EONIA Contracts shall be 

equal to the absolute value of the excess, and shall be an amount in favor of 

the FCM SwapClear Clearing Member in relation to such Proprietary Account 

or FCM Client Sub-Account (as applicable); and

(ii) the aggregate €STR Value in relation to all such EONIA Contracts is less than 

the aggregate EONIA Value in relation to all such EONIA Contracts then the 

Cash Compensation Amount in relation to such EONIA Contracts shall be 

equal to the absolute value of the excess, and shall be an amount in favor of 

the Clearing House in relation to such Proprietary Account or FCM Client 

Sub-Account (as applicable).

(c) The Clearing House shall, pursuant to FCM Regulation 48B, register a separate Cash 

Compensation Contract in each Proprietary Account and each FCM Client SubAccount, in relation to the Cash Compensation Amount (to the extent such amounts 
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are applicable to such account). Each FCM Clearing Member and the Clearing House 

(as applicable) irrevocably agrees that it shall be bound to pay the Cash Compensation 

Amount to the other pursuant to the terms of the related Cash Compensation Contract. 

Each Cash Compensation Contract shall be registered for the sole purpose of effecting 

the payment of the Cash Compensation Amount to which it relates. It shall 

operationally be recorded as having a "Notional Amount" (as defined in the FCM 

SwapClear Contract Terms) of EUR1, a "Termination Date" (as defined in the FCM 

SwapClear Contract Terms) falling two business days after the Conversion Cut-Off 

Date, and an obligation on the Clearing House or the FCM Clearing Member (as 

applicable) to pay to the other on that "Termination Date" an amount equal to the 

Cash Compensation Amount related to the relevant Proprietary Account or FCM 

Client Sub-Account, in each case as determined pursuant to Section 5(b) above. 

However, neither the Clearing House nor an FCM Clearing Member shall be required 

to pay any amounts under a Cash Compensation Contract other than the Cash 

Compensation Amount to which such Cash Compensation Contract relates.

(d) Each FCM Clearing Member agrees to be bound by each Cash Compensation 

Contract registered pursuant to this Section 5, which shall, when registered, constitute 

an FCM SwapClear Contract between the Clearing House and the relevant FCM 

Clearing Member that has arisen by reason of the application of the Regulations to the 

EONIA Contracts.

(e) Each FCM Clearing Member agrees (and in the case of (e)(iv) below, each FCM 

Clearing Member and the Clearing House agrees):

(i) to use reasonable endeavors to provide each of its FCM Clients with (i) 

information on the change to the EONIA Contracts pursuant to the terms of 

FCM Regulation 48B and this Annex, (ii) information on the amounts payable 

pursuant to the terms of the Cash Compensation Contracts which may be 

allocated to that FCM Client’s FCM Client Sub-Account pursuant to the terms 

of this Annex, and (iii) other information (indicative or otherwise) in relation 

to each FCM Client Sub-Account. Such information shall be set out in 'Risk 

Notices' or other materials from the Clearing House in connection with this 

Annex (or any applicable Floating Rate Conversion Notice(s)) expressly 

marked for distribution to FCM Clients; 

(ii) that it, and each of its FCM Clients, shall be bound by the terms of any Cash 

Compensation Contracts registered pursuant to this Annex and all payment 

obligations thereunder (as determined by the Clearing House pursuant to this 

Annex);

(iii) to perform all obligations and exercise all rights under or pursuant to this 

Annex in accordance with Applicable Law; and

(iv) that each Cash Compensation Contract is being registered in the relevant 

account in connection with the matters specified in this Annex and the 

obligations thereunder are for the sole purpose of addressing the value impact 

of the changes to the EONIA Contracts pursuant to this Annex.
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6. ELIGIBILITY FROM THE CONVERSION DATE

Notwithstanding anything to the contrary in the Product Specific Contract Terms and 

Eligibility Criteria Manual, from and including the Conversion Date the Clearing 

House shall not accept for clearing or registration any FCM SwapClear Transaction

that specifies an In-Scope Floating Rate Option.

7. DETERMINATIONS BINDING

Subject to Section 10, all determinations and calculations made by the Clearing House 

pursuant to this Annex shall be binding and may in no circumstances (other than in 

the case of manifest error) be called into question by any person.

8. RECORDS

The Clearing House shall update its books and records to reflect the Cash 

Compensation Contracts and the amounts payable thereunder and the obligation to 

pay, or the right to receive, any such amounts may be reflected in the books and 

records of the Clearing House in such manner as the Clearing House determines is 

necessary to meet its operational requirements.

9. MISCELLANEOUS

(a) The obligations of the Clearing House to each FCM Clearing Member shall be to 

perform its obligations as principal to such FCM Clearing Member in accordance with 

the Rulebook, but subject to the restrictions on the Clearing House’s obligations and 

liabilities contained in the Rulebook and Section 10.

(b) The terms of this Annex are without prejudice to the Clearing House’s rights under 

the Regulations and the Procedures to change the terms of any open FCM SwapClear 

Contract from time to time and such terms shall not be relevant or binding on the 

Clearing House in respect of any such changes.

(c) The performance by the Clearing House of its obligations hereunder shall always be 

subject to the provisions of the Rulebook.

10. LIMITATION OF LIABILITY

10.1 Without prejudice to the generality of Regulation 44, each FCM Clearing Member 

agrees:

(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any FCM Clearing Member or any other 

person (including, without limitation, any FCM Client) whether in contract, 

tort (including, without limitation, negligence), trust, as a fiduciary or under 

any other cause of action, and whether in respect of any damages, loss or gain, 

cost or expense (whether direct, indirect, general, special, consequential, 

punitive or otherwise); and 

(b) to waive any claim against the Clearing House or any member of the LCH 

Group; 
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arising or that may arise in connection with:

(i) any determination, calculation, notification, registration, publication, exercise 

of discretion, or decision, taken or not taken by the Clearing House or any 

other member of the LCH Group in connection with this Annex; or

(ii) the determination or publication of any price, curve, data, quote or other 

information arising from, or in connection with, this Annex;

except in the case of fraud or wilful misconduct on the part of the Clearing House or 

any other member of the LCH Group. 

10.2 Without prejudice to the generality of Regulation 44 and Section 10.1 above, each 

FCM Clearing Member further agrees:

(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any FCM Clearing Member or any other 

person (including, without limitation, any FCM Client) in tort (including, 

without limitation, negligence), trust, as a fiduciary or under any other noncontractual cause of action, or under any implied contractual term, and 

whether in respect of any damages, loss or gain, cost or expense (whether 

direct, indirect, general, special, consequential, punitive or otherwise); and 

(b) to waive any non-contractual claim or claim under any implied contractual 

term against the Clearing House or any member of the LCH Group; 

arising or that may arise in connection with the Clearing House's performance of its 

contractual duties or obligations under this Annex, except in the case of fraud or 

wilful misconduct on the part of the Clearing House or any other member of the LCH 

Group. 

10.3 Each FCM Clearing Member agrees that neither the Clearing House nor any other 

member of the LCH Group (i) owes any duty of care to any person in connection with 

the performance of the Clearing House’s duties or obligations or exercise of its rights 

under this Annex, save for the express contractual duties set forth in this Annex; (ii) is 

under any obligation to research, investigate, supplement, or verify the veracity of, 

any price, data, quote or other information received from an FCM Clearing Member 

in connection with this Annex; (iii) is acting as a fiduciary for, or as an advisor to, any 

FCM Clearing Member or FCM Client in connection with this Annex or any FCM 

SwapClear Contract registered as a result of the matters specified in this Annex; (iv) 

shall be under any requirement to consult with, or individually notify (other than as 

expressly set out in this Annex), an FCM Clearing Member or FCM Client in 

connection with making its determinations, exercising its discretions or performing its 

duties or obligations or exercising its rights, each under this Annex; or (v) has made 

any representation, express or implied, in relation to this Annex, and each FCM 

Clearing Member acknowledges that it has not relied on any representations made by 

the Clearing House or any other member of the LCH Group in relation to this Annex.

10.4 For the avoidance of doubt, notwithstanding anything to the contrary herein, neither 

the Clearing House nor any other member of the LCH Group shall be liable for any 

obligations of, or to any person who is not, an FCM Clearing Member.
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SCHEDULE 2.1D

SWAPCLEAR FCM SERVICE – FLOATING RATE CONVERSION ANNEX –

LIBOR

1. SCOPE AND INTERPRETATION

(a) This Annex constitutes a “Floating Rate Conversion Annex” as defined in and 

pursuant to the FCM Regulations and supplements and forms part of the FCM 

Rulebook.

(b) The terms of this Annex shall apply to all open FCM SwapClear Contracts that (i) 

specify an In-Scope Floating Rate Option as the floating rate or use an In-Scope 

Floating Rate Option to calculate the floating amount thereunder, and (ii) are 

registered with the Clearing House as of the end of the “business day” in New 

Yorktime on the Conversion Cut-Off Date determined by the Clearing House (each 

such FCM SwapClear Contract, a LIBOR Contract). For the avoidance of doubt, (A) 

no other FCM SwapClear Contract shall be subject to, or affected by, the terms of this 

Annex and all FCM SwapClear Contracts shall remain in full force and effect, and (B) 

other than as expressly set out in this Annex, the FCM SwapClear Contract Terms 

shall not be amended, supplemented or modified by the terms of this Annex. 

(c) Capitalised terms used but not otherwise defined herein have the meaning given to 

them in the FCM Regulations. The term "business day" has the meaning given to it in 

the FCM Regulations.

(d) The terms of this Annex relating to operational or procedural matters may be 

supplemented, modified, amended, replaced or withdrawn from time to time by the 

Clearing House in its sole discretion through a member circular or such other method 

as the Clearing House shall determine is appropriate.

2. DEFINITIONS

For the purposes of this Annex:

Affected Forward Rate Agreement means each open Forward Rate Agreement that has a 

“Reset Date” (as defined in the ISDA Definitions) which (i) in the case of a Forward Rate 

Agreement for which the floating rate is GBP-LIBOR-BBA or GBP-LIBOR, falls on, or 

after, the "Index Cessation Effective Date" (as defined in the ISDA Definitions) related to 

those In-Scope Floating Rate Options, or (ii) in the case of a Forward Rate Agreement for 

which the floating rate is an In-Scope Floating Rate Option other than GBP-LIBOR-BBA or 

GBP-LIBOR, falls on or after the Relevant Number of Business Days from the "Index 

Cessation Effective Date" (as defined in the ISDA Definitions) related to the In-Scope 

Floating Rate Option referenced in the relevant Forward Rate Agreement.

Amended LIBOR Contract means each LIBOR Contract after giving effect to the 

amendments made pursuant to Section 3 below and, in respect of the Affected Forward Rate 

Agreements, the amendments made pursuant to Section 4 below.
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Basis Swap Operational Split Date means October 2, 2021, or such other date as may be 

specified by the Clearing House from time to time through a member circular or such other 

method as the Clearing House shall determine is appropriate.

Bloomberg Spread means, in relation to an In-Scope Floating Rate Option, the spread 

relating to that In-Scope Floating Rate Option for a period of the Designated Maturity (as 

defined in the ISDA Definitions) of that LIBOR Contract provided by Bloomberg Index 

Services Limited (or a successor provider as approved and/or appointed by ISDA from time 

to time).

Cash Compensation Amount means, in relation to all LIBOR Contracts that specify an InScope Floating Rate Option as the floating rate or use an In-Scope Floating Rate Option to 

calculate the floating amount thereunder in a Proprietary Account or an FCM Client SubAccount, the amount determined in accordance with Section 8 below or, in relation to Legacy 

LIBOR Transactions, the amount determined in accordance with Section 11 below.

Cash Compensation Contract means each contract determined by the Clearing House and 

registered in the relevant Proprietary Account or FCM Client Sub-Account pursuant to 

Section 8 or Section 11 (as applicable) below. 

Conversion Cut-Off Date means, with respect to a LIBOR Contract, the business day 

immediately prior to the Conversion Date applicable to such LIBOR Contract as determined 

in accordance with the definition of “Conversion Date” below.

Conversion Date means:

(a) in relation to each LIBOR Contract (including each Affected Forward Rate 

Agreement) that specifies CHF-LIBOR-BBA, CHF-LIBOR, EUR-LIBOR-BBA, 

EUR-LIBOR, JPY-LIBOR-BBA or JPY-LIBOR as the floating rate or uses CHFLIBOR-BBA, CHF-LIBOR, EUR-LIBOR-BBA, EUR-LIBOR, JPY-LIBOR-BBA, or 

JPY-LIBOR to calculate the floating amount thereunder, December 4, 2021, or such 

other date as may be specified by the Clearing House from time to time through a 

member circular or such other method as the Clearing House shall determine is 

appropriate; and

(b) in relation to each LIBOR Contract (including each Affected Forward Rate 

Agreement) that specifies GBP-LIBOR-BBA or GBP-LIBOR as the floating rate or 

uses GBP-LIBOR-BBA or GBP-LIBOR to calculate the floating amount thereunder, 

December 18, 2021, or such other date as may be specified by the Clearing House 

from time to time through a member circular or such other method as the Clearing 

House shall determine is appropriate.

CHF-SARON-OIS-COMPOUND has the meaning given to it in the ISDA 2006 

Definitions.

CHF-SARON-OIS Compound has the meaning given to it in the ISDA 2021 Definitions.

EUR-EuroSTR-COMPOUND has the meaning given to it in the ISDA 2006 Definitions.

EUR-EuroSTR-OIS Compound has the meaning given to it in the ISDA 2021 Definitions.
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Fallback RFR Value means, in relation to a LIBOR Contract, the net present value, 

determined by the Clearing House as of the Conversion Date, of all future cash flows under 

that LIBOR Contract on the basis that such LIBOR Contract is not amended pursuant to this 

Annex, provided however that, for purposes of determining the Fallback RFR Value of an 

Affected Forward Rate Agreement, the provisions of Supplement 70 to the ISDA 2006 

Definitions (and the equivalent provisions under the ISDA 2021 Definitions) shall not be 

taken into account. If the net present value represents an asset or positive value for the 

Clearing House, such Fallback RFR Value shall be a positive amount and if the net present 

value represents a liability or negative value for the Clearing House, such Fallback RFR 

Value shall be a negative amount. 

Forward Rate Agreement means each FCM SwapClear Contract that is recorded as a

“forward rate transaction” or “forward rate agreement” in the books and records of the 

Clearing House and references an In-Scope Floating Rate Option.

GBP-SONIA-COMPOUND has the meaning given to it in the ISDA 2006 Definitions.

GBP-SONIA-OIS Compound has the meaning given to it in the ISDA 2021 Definitions.

In-Scope Floating Rate Option means:

(a) CHF-LIBOR-BBA (as defined in the ISDA 2000 Definitions and the ISDA 2006 

Definitions);

(b) CHF-LIBOR (as defined in the ISDA 2021 Definitions);

(c) EUR-LIBOR-BBA (as defined in the ISDA 2000 Definitions and the ISDA 2006 

Definitions);

(d) EUR-LIBOR (as defined in the ISDA 2021 Definitions);

(e) GBP-LIBOR-BBA (as defined in the ISDA 2000 Definitions and the ISDA 2006 

Definitions);

(f) GBP-LIBOR (as defined in the ISDA 2021 Definitions);

(g) JPY-LIBOR-BBA (as defined in the ISDA 2000 Definitions and the ISDA 2006 

Definitions); and

(h) JPY-LIBOR (as defined in the ISDA 2021 Definitions).

ISDA Definitions means the ISDA 2000 Definitions, the ISDA 2006 Definitions and the 

ISDA 2021 Definitions, each as published by the International Swaps and Derivatives 

Association, Inc. For the avoidance of doubt unless otherwise provided herein, references to 

the ISDA 2006 Definitions shall mean the ISDA 2006 Definitions including Supplement 70 

thereto.

JPY-TONA-OIS-COMPOUND has the meaning given to it in the ISDA 2006 Definitions.

JPY-TONA-OIS Compound has the meaning given to it in the ISDA 2021 Definitions.

Legacy LIBOR Cut-Off Date means September 21, 2021.
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Legacy LIBOR End Date means December 31, 2024, or such other date as may be specified 

by the Clearing House from time to time through a member circular or such other method as 

the Clearing House shall determine is appropriate.

Legacy LIBOR Transaction means an FCM SwapClear Transaction (other than a “forward 

rate agreement” or “forward rate transaction”) that meets the following conditions:

(a) it is eligible under the Product Specific Contract Terms and Eligibility Criteria 

Manual in effect from time to time;

(b) it specifies an In-Scope Floating Rate Option other than EUR-LIBOR-BBA (as 

defined in the ISDA 2000 Definitions and the ISDA 2006 Definitions) or EURLIBOR (as defined in the ISDA 2021 Definitions) as the floating rate or uses an InScope Floating Rate Option other than EUR-LIBOR-BBA (as defined in the ISDA 

2000 Definitions and the ISDA 2006 Definitions) or EUR-LIBOR (as defined in the 

ISDA 2021 Definitions) to calculate the floating amount thereunder;

(c) it is presented to the Clearing House after the Conversion Date applicable to the InScope Floating Rate Option specified in the terms of that FCM SwapClear 

Transaction; and 

(d) if it is presented to the Clearing House after December 31, 2021 either (i) in the case 

of FCM SwapClear Transactions other than those referred to in (ii) below, the FCM 

SwapClear Transaction was entered into prior to the Legacy LIBOR Cut-Off Date, or 

(ii) in the case of a FCM SwapClear Transaction resulting from the exercise of a 

physically settled swaption, that swaption was entered into prior to the Legacy 

LIBOR Cut-Off Date.

LIBOR Basis Swap means each FCM SwapClear Contract that is recorded as a “basis swap” 

in the books and records of the Clearing House and references an In-Scope Floating Rate 

Option.

Operational Straddle Period LIBOR Booking means an Operational Outright LIBOR 

Booking that reflects an In-Scope Floating Rate Option as the floating rate or uses an InScope Floating Rate Option to calculate the floating amount and which has a “Reset Date” 

(as defined in the ISDA Definitions) which:

(a) in the case of GBP-LIBOR-BBA or GBP-LIBOR, falls on, or prior to, the “Index 

Cessation Effective Date” (as defined in the ISDA Definitions) in relation to that InScope Floating Rate Option and relates to a Period End Date (as defined in the ISDA 

Definitions) that falls after the Conversion Date in relation to that In-Scope Floating 

Rate Option; or 

(b) in the case of all other In-Scope Floating Rate Options, falls on, or prior to, the 

Relevant Number of Business Days from the “Index Cessation Effective Date” (as 

defined in the ISDA Definitions) in relation to that In-Scope Floating Rate Option and 

relates to a Period End Date (as defined in the ISDA Definitions) that falls after the 

Conversion Date in relation to that In-Scope Floating Rate Option.

Relevant Number of Business Days means:
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(a) in relation to CHF-LIBOR-BBA or CHF-LIBOR, two London Banking Days (as 

defined in the ISDA Definitions);

(b) in relation to EUR-LIBOR-BBA or EUR-LIBOR, two TARGET Settlement Days (as 

defined in the ISDA Definitions); and

(c) in relation to JPY-LIBOR-BBA or JPY-LIBOR, two London Banking Days (as 

defined in the ISDA Definitions).

RFR Value means, in relation to a LIBOR Contract, the net present value, determined by the 

Clearing House as of the Conversion Date, of all future cash flows under that LIBOR 

Contract on the basis that such LIBOR Contract is an Amended LIBOR Contract. If the net 

present value represents an asset or positive value for the Clearing House, such RFR Value 

shall be a positive amount and if the net present value represents a liability or negative value 

for the Clearing House, such RFR Value shall be a negative amount. 

Straddle Period LIBOR Contract means a LIBOR Contract that specifies an In-Scope 

Floating Rate Option as the floating rate or uses an In-Scope Floating Rate Option to 

calculate the floating amount thereunder and which has a “Reset Date” (as defined in the 

ISDA Definitions) which:

(i) in the case of GBP-LIBOR-BBA or GBP-LIBOR, falls on, or prior to, the “Index 

Cessation Effective Date” (as defined in the ISDA Definitions) in relation to that In-Scope 

Floating Rate Option and relates to a Period End Date (as defined in the ISDA Definitions) 

that falls after the Conversion Date in relation to that In-Scope Floating Rate Option; or 

(ii) in the case of all other In-Scope Floating Rate Options, falls on, or prior to, the Relevant 

Number of Business Days from the “Index Cessation Effective Date” (as defined in the ISDA 

Definitions) in relation to that In-Scope Floating Rate Option and relates to a Period End 

Date (as defined in the ISDA Definitions) that falls after the Conversion Date in relation to 

that In-Scope Floating Rate Option.

3. AMENDMENTS TO LIBOR CONTRACTS

(a) Pursuant to Regulation 48B of the FCM Regulations, with effect from, and including, 

the Conversion Date each LIBOR Contract other than any Affected Forward Rate 

Agreement shall be amended in accordance with this Section 3. 

Floating Rate Option:

(b) If:

(i) the LIBOR Contract references CHF-LIBOR-BBA or CHF-LIBOR (each a

CHF LIBOR Contract), then, from and including the first Reset Date falling 

after the Relevant Number of Business Days from the Index Cessation 

Effective Date in relation to such In-Scope Floating Rate Options, and 

notwithstanding anything to the contrary in the FCM SwapClear Contract 

Terms, including for the avoidance of doubt, any fallbacks in the ISDA 

Definitions in so far as they relate to such In-Scope Floating Rate Options, any 

references to CHF-LIBOR-BBA or CHF-LIBOR in the FCM SwapClear 

Contract Terms shall be deemed to be replaced for all purposes with CHF-
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SARON-OIS-COMPOUND or CHF-SARON-OIS Compound depending on 

the ISDA Definitions incorporated into the relevant LIBOR Contract; 

(ii) the LIBOR Contract references GBP-LIBOR-BBA or GBP-LIBOR (each a 

GBP LIBOR Contract), then, from and including the first Reset Date falling 

after the Index Cessation Effective Date in relation to such In-Scope Floating 

Rate Options, and notwithstanding anything to the contrary in the FCM 

SwapClear Contract Terms in so far as they relate to such In-Scope Floating 

Rate Options, including for the avoidance of doubt, any fallbacks in the ISDA 

Definitions, any references to GBP-LIBOR-BBA or GBP-LIBOR in the FCM 

SwapClear Contract Terms shall be replaced for all purposes with GBPSONIA-COMPOUND or GBP-SONIA-OIS Compound depending on the 

ISDA Definitions incorporated into the relevant LIBOR Contract); 

(iii) the LIBOR Contract references EUR-LIBOR-BBA or EUR-LIBOR (each a 

EUR LIBOR Contract) then, from and including the first Reset Date falling 

after the Relevant Number of Business Days from the Index Cessation 

Effective Date in relation to such In-Scope Floating Rate Options, and 

notwithstanding anything to the contrary in the FCM SwapClear Contract 

Terms, including for the avoidance of doubt, any fallbacks in the ISDA 

Definitions in so far as they relate to such In-Scope Floating Rate Options, any 

references to EUR-LIBOR-BBA or EUR-LIBOR shall be replaced for all 

purposes with EUR-EuroSTR-COMPOUND or EUR-EuroSTR-OIS 

Compound depending on the ISDA Definitions incorporated into the relevant 

LIBOR Contract; and

(iv) the LIBOR Contract references JPY-LIBOR-BBA or JPY-LIBOR (each a 

JPY LIBOR Contract), then, from and including the first Reset Date falling 

after the Relevant Number of Business Days from the Index Cessation 

Effective Date in relation to such In-Scope Floating Rate Options, and 

notwithstanding anything to the contrary in the FCM SwapClear Contract 

Terms, including for the avoidance of doubt, any fallbacks in the ISDA 

Definitions in so far as they relate to such In-Scope Floating Rate Options, any 

references to JPY-LIBOR-BBA or JPY-LIBOR shall be replaced for all 

purposes with JPY-TONA-OIS-COMPOUND or JPY-TONA-OIS Compound 

depending on the ISDA Definitions incorporated into the relevant LIBOR 

Contract.

Bloomberg Spread:

(c) From and including the first Reset Date which (i) in the case of GBP-LIBOR-BBA or 

GBP-LIBOR, falls on, or after, the "Index Cessation Effective Date" (as defined in the 

ISDA Definitions) related to those In-Scope Floating Rate Options, or (ii) in the case 

of all other In-Scope Floating Rate Options, falls on or after the Relevant Number of 

Business Days from the "Index Cessation Effective Date" (as defined in the ISDA 

Definitions) related to the In-Scope Floating Rate Option referenced in the relevant 

LIBOR Contract, the “Floating Rate” under each LIBOR Contract that specifies that 

In-Scope Floating Rate Option as the floating rate or uses that In-Scope Floating Rate 

Option to calculate the floating amount thereunder will, in addition to any "Spread" 

(as defined in the ISDA Definitions) already existing under the terms of the LIBOR 

Contract, include the Bloomberg Spread applicable to that In-Scope Floating Rate 
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Option, provided however that, for such purpose the Bloomberg Spread in relation to 

JPY-LIBOR-BBA or JPY-LIBOR (as applicable) shall be multiplied by 365 divided 

by 360.

Payment Date Delay:

(d)

(i) in respect of any CHF LIBOR Contract and JPY LIBOR Contract, in each 

case, "Delayed Payment" (as defined in the ISDA Definitions) shall be 

"Applicable" in relation to that LIBOR Contract and the number of days 

specified for such purposes shall be two (2) Zurich Business Days in relation 

to each CHF LIBOR Contract and two (2) Tokyo Business Days in relation to 

each JPY LIBOR Contract. The Clearing House and the FCM Clearing 

Members acknowledge and agree that pursuant to the ISDA Definitions such 

election means that each Payment Date (as defined in the ISDA Definitions) 

shall fall two (2) Zurich or Tokyo Business Days (as applicable) after the 

relevant Period End Date or the Termination Date (each as defined in the 

ISDA Definitions), as applicable;

(ii) in respect of any EUR LIBOR Contract, "Delayed Payment" (as defined in the 

ISDA Definitions) shall be "Applicable" in relation to that LIBOR Contract 

and the number of days specified for such purposes shall be one (1) TARGET 

Settlement Day (as defined in the ISDA Definitions). The Clearing House and 

the FCM Clearing Members acknowledge and agree that pursuant to the ISDA 

Definitions such election means that each Payment Date (as defined in the 

ISDA Definitions) shall fall one (1) Business Day after the relevant Period 

End Date or the Termination Date (each as defined in the ISDA Definitions), 

as applicable; and

(iii) in respect of any GBP LIBOR Contract, "Delayed Payment" (as defined in the 

ISDA Definitions) shall be "Not Applicable" in relation to that LIBOR 

Contract. The Clearing House and the FCM Clearing Members acknowledge 

and agree that pursuant to the ISDA Definitions such election means that each 

Payment Date (as defined in the ISDA Definitions) shall fall on the relevant 

Period End Date or the Termination Date (each as defined in the ISDA 

Definitions), as applicable.

No Observation Period Shift:

(e) For the avoidance of doubt, the Clearing House and the FCM Clearing Members 

acknowledge and agree that as a result of the amendment made in paragraph (b) 

above, each "Floating Rate" under each LIBOR Contract shall be calculated over the 

relevant "Calculation Period" without any shift, adjustment or "observation shift" and 

all of the provisions relating thereto in the ISDA Definitions and the IBOR Fallback 

Rate Adjustments Rule Book published by Bloomberg Index Services Limited shall 

not apply to the calculation of the "Floating Rate" under each LIBOR Contract.

Consequential Amendments:
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(f) The Clearing House shall make any consequential amendments to the terms of each 

LIBOR Contract as it deems necessary in connection with, and to give effect to, the 

amendments in this Section 3.

(g) Unless expressly referenced herein, all other terms of each LIBOR Contract shall 

remain in full force and effect and shall continue to apply, including, but not limited 

to, the "Fixed Rate", "Day Count Fraction" "Business Days" and any "Spread" (each 

as defined in the ISDA Definitions).

4. AMENDMENTS TO FORWARD RATE AGREEMENTS

(a) Pursuant to Regulation 48B of the FCM Regulations, with effect from, and including, 

the relevant Conversion Date each Affected Forward Rate Agreement shall be 

amended so that from, and including, the relevant Conversion Date:

Payment Date:

(i) the "Payment Date" under such Affected Forward Rate Agreement shall be 

amended so that the “Payment Date” is the "Termination Date" (each as 

defined in the ISDA Definitions);

Discounting:

(ii) "Discounting" (as defined in the ISDA Definitions) shall be "Not Applicable" 

and the "Discount Rate" (as defined in the ISDA Definitions) shall be deleted 

in its entirety; 

Floating Rate Option:

(iii) if:

(A) the Affected Forward Rate Agreement (as amended by (i) and (ii) 

above) is a CHF LIBOR Contract, then, from and including the first 

Reset Date falling after the Relevant Number of Business Days from 

the Index Cessation Effective Date in relation to such In-Scope 

Floating Rate Options, and notwithstanding anything to the contrary in 

the FCM SwapClear Contract Terms, including for the avoidance of 

doubt, any fallbacks in the ISDA Definitions in so far as they relate to 

such In-Scope Floating Rate Options, any references to CHF-LIBORBBA or CHF-LIBOR in the FCM SwapClear Contract Terms shall be 

deemed to be replaced for all purposes with CHF-SARON-OISCOMPOUND or CHF-SARON-OIS Compound depending on the 

ISDA Definitions incorporated into the relevant LIBOR Contract; 

(B) the Affected Forward Rate Agreement (as amended by (i) and (ii) 

above) is a GBP LIBOR Contract, then, from and including the first 

Reset Date falling after the Index Cessation Effective Date in relation 

to such In-Scope Floating Rate Options, and notwithstanding anything 

to the contrary in the FCM SwapClear Contract Terms in so far as they 

relate to such In-Scope Floating Rate Options, including for the 

avoidance of doubt, any fallbacks in the ISDA Definitions, any 

references to GBP-LIBOR-BBA or GBP-LIBOR in the FCM 
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SwapClear Contract Terms shall be replaced for all purposes with 

GBP-SONIA-COMPOUND or GBP-SONIA-OIS Compound 

depending on the ISDA Definitions incorporated into the relevant 

LIBOR Contract); 

(C) the Affected Forward Rate Agreement (as amended by (i) and (ii) 

above) is a EUR LIBOR Contract then, from and including the first 

Reset Date falling after the Relevant Number of Business Days from 

the Index Cessation Effective Date in relation to such In-Scope 

Floating Rate Options, and notwithstanding anything to the contrary in 

the FCM SwapClear Contract Terms, including for the avoidance of 

doubt, any fallbacks in the ISDA Definitions in so far as they relate to 

such In-Scope Floating Rate Options, any references to EUR-LIBORBBA or EUR-LIBOR shall be replaced for all purposes with EUREuroSTR-COMPOUND or EUR-EuroSTR-OIS Compound depending 

on the ISDA Definitions incorporated into the relevant LIBOR 

Contract; and

(D) the Affected Forward Rate Agreement (as amended by (i) and (ii) 

above) is a JPY LIBOR Contract then, from and including the first 

Reset Date falling after the Relevant Number of Business Days from 

the Index Cessation Effective Date in relation to such In-Scope 

Floating Rate Options, and notwithstanding anything to the contrary in 

the FCM SwapClear Contract Terms, including for the avoidance of 

doubt, any fallbacks in the ISDA Definitions in so far as they relate to 

such In-Scope Floating Rate Options, any references to JPY-LIBORBBA or JPY-LIBOR shall be replaced for all purposes with JPYTONA-OIS-COMPOUND or JPY-TONA-OIS Compound depending 

on the ISDA Definitions incorporated into the relevant LIBOR 

Contract;

Bloomberg Spread:

(iv) from and including the first Reset Date which (i) in the case of GBP-LIBORBBA or GBP-LIBOR, falls on, or after, the "Index Cessation Effective Date" 

(as defined in the ISDA Definitions) related to those In-Scope Floating Rate 

Options, or (ii) in the case of all other In-Scope Floating Rate Options, falls on 

or after the Relevant Number of Business Days from the "Index Cessation 

Effective Date" (as defined in the ISDA Definitions) related to the In-Scope 

Floating Rate Option referenced in the relevant LIBOR Contract, the "Floating 

Rate" under each LIBOR Contract that specifies that In-Scope Floating Rate 

Option as the floating rate or uses that In-Scope Floating Rate Option to 

calculate the floating amount thereunder will include the Bloomberg Spread 

applicable to that In-Scope Floating Rate Option, provided however that, for 

such purpose the Bloomberg Spread in relation to JPY-LIBOR-BBA or JPYLIBOR (as applicable) shall be multiplied by 365 divided by 360;

Payment Date Delay:

(v) in respect of any CHF LIBOR Contract and JPY LIBOR Contract, in each 

case, "Delayed Payment" (as defined in the ISDA Definitions) shall be 
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"Applicable" in relation to that LIBOR Contract and the number of days 

specified for such purposes shall be two (2) Business Days. The Clearing 

House and the FCM Clearing Members acknowledge and agree that pursuant 

to the ISDA Definitions such election means that each Payment Date (as 

defined in the ISDA Definitions) shall fall two (2) Business Days after the 

relevant Period End Date or the Termination Date (each as defined in the 

ISDA Definitions), as applicable;

(vi) in respect of any EUR LIBOR Contract, "Delayed Payment" (as defined in the 

ISDA Definitions) shall be "Applicable" in relation to that LIBOR Contract 

and the number of days specified for such purposes shall be one (1) Business 

Day. The Clearing House and the FCM Clearing Members acknowledge and 

agree that pursuant to the ISDA Definitions such election means that each 

Payment Date (as defined in the ISDA Definitions) shall fall one (1) Business 

Day after the relevant Period End Date or the Termination Date (each as 

defined in the ISDA Definitions), as applicable; and

(vii) in respect of any GBP LIBOR Contract, "Delayed Payment" (as defined in the 

ISDA Definitions) shall be "Not Applicable" in relation to that LIBOR 

Contract. The Clearing House and the FCM Clearing Members acknowledge 

and agree that pursuant to the ISDA Definitions such election means that each 

Payment Date (as defined in the ISDA Definitions) shall fall on the relevant 

Period End Date or the Termination Date (each as defined in the ISDA 

Definitions), as applicable.

No Observation Period Shift:

(b) For the avoidance of doubt, the Clearing House and the FCM Clearing Members 

acknowledge and agree that as a result of the amendment made in paragraph (a)(iii) 

above, each "Floating Rate" under each LIBOR Contract shall be calculated over the 

relevant "Calculation Period" without any shift, adjustment or "observation shift" and 

all of the provisions relating thereto in the ISDA Definitions and the IBOR Fallback 

Rate Adjustments Rule Book published by Bloomberg Index Services Limited shall 

not apply to the calculation of the "Floating Rate" under each LIBOR Contract.

Consequential Amendments:

(c) The Clearing House shall make any consequential amendments to the terms of each 

LIBOR Contract as it deems necessary in connection with, and to give effect to, the 

amendments in this Section 4.

(d) Unless expressly referenced herein, all other terms of each LIBOR Contract shall 

remain in full force and effect and shall continue to apply, including, but not limited 

to, the "Fixed Rate", "Day Count Fraction" and "Business Days" (each as defined in 

the ISDA Definitions).

5. OPERATIONAL BOOKINGS

(a) In order to facilitate and/or reflect the legal amendments made to each FCM 

SwapClear Contract pursuant to this Annex in the FCM SwapClear Service, the 

Clearing House shall record certain bookings in the FCM SwapClear Service (each an 
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Operational Booking) in the manner described in this Section 5. Any bookings 

referred to in this Section 5 are solely to facilitate and/or reflect the legal amendments 

made to each FCM SwapClear Contract pursuant to this Annex and the Clearing 

House and each FCM Clearing Member agree and acknowledge that they shall not 

result in the registration of any new FCM SwapClear Contracts and shall have no 

legal effect and are for operational purposes only. 

Basis Swap Operational Splitting

(b) On the Basis Swap Operational Split Date, the Clearing House will terminate each 

booking in relation to each LIBOR Basis Swap and will record two Operational 

Bookings in respect of each LIBOR Basis Swap (each an Operational Outright 

LIBOR Booking), which will have terms which are each identical to the LIBOR 

Basis Swap to which they relate, except that:

(i) the first Operational Outright LIBOR Booking shall have a "Floating Rate" (as 

defined in the ISDA Definitions) equal to the first "Floating Rate" referenced 

in that LIBOR Basis Swap, a "Fixed Rate" (as defined in the ISDA 

Definitions) determined by the Clearing House (the Split Fixed Rate), 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 first "Floating Rate" under the corresponding 

LIBOR Basis Swap; and

(ii) the second Operational Outright LIBOR Booking shall have a "Floating Rate" 

(as defined in the ISDA Definitions) equal to the second "Floating Rate" 

referenced in that LIBOR Basis Swap, a "Fixed Rate" (as defined in the ISDA 

Definitions) equal to the Split Fixed Rate, 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 corresponding LIBOR Basis Swap.

(c) The Clearing House shall determine the Split Fixed Rate in its sole and absolute 

discretion and shall make any consequential amendments to each Operational 

Outright LIBOR Booking that it deems necessary in connection with, and to give 

effect to, the foregoing.

(d) On the Conversion Date in relation to an In-Scope Floating Rate Option the Clearing 

House will terminate each Operational Outright LIBOR Booking that has a "Floating 

Amount" calculated using that In-Scope Floating Rate Option and shall record an 

Operational Booking in accordance with (e) below. 

Main Operational Booking

(e) On the Conversion Date in relation to an In-Scope Floating Rate Option the Clearing 

House shall, in relation to each LIBOR Contract and each Operational Outright 

LIBOR Booking referencing that In-Scope Floating Rate Option, record an 

Operational Booking (each an Operational RFR Booking) that is on the same terms 

as the LIBOR Contract or Operational Outright LIBOR Booking (as applicable) to 

which it relates except that, from the “Effective Date” of the Operational RFR 

Booking (which shall be prior to the Conversion Date) any “Floating Amounts” 
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reflected in the Operational RFR Booking shall be calculated after giving effect to the 

amendments made pursuant to Section 3 or Section 4 (as applicable) of this Annex. 

On the Conversion Date in relation to an In-Scope Floating Rate Option the Clearing 

House shall, in relation to each LIBOR Contract referencing that In-Scope Floating 

Rate Option, terminate the operational booking relating to that LIBOR Contract that 

was recorded in the SwapClear service immediately prior to the Conversion Date.

Operational Overlay Bookings

(f) In addition to the Operational RFR Bookings referred to in (e) above, with respect to 

each Straddle Period LIBOR Contract and Operational Straddle Period LIBOR 

Booking in relation to which the FCM Clearing Member would receive a “Floating 

Amount” calculated using an In-Scope Floating Rate Option under the Straddle 

Period LIBOR Contract or Operational Straddle Period LIBOR Booking (such 

amount, the LIBOR Amount), on the Conversion Date in relation to the relevant InScope Floating Rate Option the Clearing House shall record the following 

Operational Bookings (each an Operational Overlay Booking) in the SwapClear 

service:

(i) in relation to a Straddle Period LIBOR Contract or any Operational Straddle 

Period LIBOR Booking that is not of the type specified in (ii) below:

(A) an Operational Overlay Booking reflecting (X) a fixed amount that 

would be payable by the FCM Clearing Member, such amount 

determined by the Clearing House in its sole and absolute discretion 

(the Overlay Fixed Amount) and (Y) an amount that would be 

payable to the FCM Clearing Member equal to the LIBOR Amount it 

would be entitled to receive under the Straddle Period LIBOR Contract 

if it was not amended pursuant to Section 3 above (or, if applicable, as 

reflected in the relevant Operational Straddle Period LIBOR Booking); 

and

(B) an Operational Overlay Booking reflecting (X) the Overlay Fixed 

Amount that would be payable to the FCM Clearing Member and (Y) a 

“Floating Amount” that would be payable by the FCM Clearing 

Member equal to the “Floating Amount” the FCM Clearing Member 

would be entitled to receive as reflected under the related Operational 

RFR Booking,

(ii) in relation to a Straddle Period LIBOR Contract that is recorded in a 

Proprietary Account (or any Operational Straddle Period LIBOR Booking that 

would be recorded in a Proprietary Account) and is either: 

(A) a JPY LIBOR Contract or a GBP LIBOR Contract in each case with a 

fixed notional amount and no “Spread” (as defined under the ISDA 

Definitions) on the floating leg, an Operational Overlay Booking 

reflecting (X) a “Floating Amount” that would be payable by the FCM 

Clearing Member equal to the “Floating Amount” it would be entitled 

to receive as reflected under the Operational RFR Booking and (Y) an 

amount that would be payable to the FCM Clearing Member equal to 

the LIBOR Amount it would be entitled to receive under the Straddle 
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Period LIBOR Contract if it was not amended pursuant to Section 3 

above (or, if applicable, as reflected in the Operational Straddle Period 

LIBOR Booking); or

(B) a GBP LIBOR Contract with a fixed notional amount and a non-zero 

“Spread” (as defined under the ISDA Definitions) on the floating leg, 

an Operational Overlay Booking reflecting (X) a “Floating Amount” 

that would be payable by the FCM Clearing Member equal to the 

“Floating Amount” it would be entitled to receive as reflected under 

the Operational RFR Booking if the “Spread” applicable to that 

Operational RFR Booking were equal to zero and (Y) an amount that 

would be payable to the FCM Clearing Member equal to the LIBOR 

Amount it would be entitled to receive under the Straddle Period 

LIBOR Contract if it was not amended pursuant to Section 3 above (or, 

if applicable, as reflected in the Operational Straddle Period LIBOR 

Booking).

(g) In addition to the Operational RFR Bookings referred to in (e) above, with respect to 

each Straddle Period LIBOR Contract and Operational Straddle Period LIBOR 

Booking in relation to which the FCM Clearing Member would pay the LIBOR 

Amount, on the Conversion Date in relation to the relevant In-Scope Floating Rate 

Option the Clearing House shall record the following Operational Overlay Bookings 

in the SwapClear service:

(i) in relation to a Straddle Period LIBOR Contract or any Operational Straddle 

Period LIBOR Booking that is not of the type specified in (ii) below:

(A) an Operational Overlay Booking reflecting (X) the Overlay Fixed 

Amount that would be payable to the FCM Clearing Member and (Y) 

an amount that would be payable by the FCM Clearing Member equal 

to the LIBOR Amount it would be obliged to pay under the Straddle 

Period LIBOR Contract if it was not amended pursuant to Section 3 

above (or, if applicable, as reflected in the Operational Straddle Period 

LIBOR Booking); and

(B) an Operational Overlay Booking reflecting (X) the Overlay Fixed 

Amount that would be payable by the FCM Clearing Member and (Y) 

a “Floating Amount” that would be payable to the FCM Clearing 

Member equal to the “Floating Amount” that would be payable by the 

FCM SwapClear Clearing Member as reflected under the related 

Operational RFR Booking,

(ii) in relation to a Straddle Period LIBOR Contract that is recorded in a 

Proprietary Account (or any Operational Straddle Period LIBOR Booking that 

would be recorded in a Proprietary Account) and is either: 

(A) a JPY LIBOR Contract or a GBP LIBOR Contract in each case with a 

fixed notional amount and no “Spread” (as defined under the ISDA

Definitions) on the floating leg, an Operational Overlay Booking 

reflecting (X) an amount payable by the FCM Clearing Member equal 

to the LIBOR Amount the FCM Clearing Member would be obliged to 
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pay under the Straddle Period LIBOR Contract if it was not amended 

pursuant to Section 3 above (or, if applicable, as reflected in the 

Operational Straddle Period LIBOR Booking), and (Y) a “Floating 

Amount” payable to the FCM Clearing Member equal to the “Floating 

Amount” the FCM Clearing Member would be obliged to pay as 

reflected under the related Operational RFR Booking; or

(B) a GBP LIBOR Contract with a fixed notional amount and a non-zero 

“Spread” (as defined under the ISDA Definitions) on the floating leg, 

an Operational Overlay Booking reflecting (X) an amount payable by 

the FCM Clearing Member equal to the LIBOR Amount the FCM 

Clearing Member would be obliged to pay under the Straddle Period 

LIBOR Contract if it was not amended pursuant to Section 3 above (or, 

if applicable, as reflected in the Operational Straddle Period LIBOR 

Booking) and (Y) a “Floating Amount” payable to the FCM Clearing 

Member equal to the “Floating Amount” the FCM Clearing Member 

would be obliged to pay as reflected under the related Operational RFR 

Booking if the “Spread” applicable to that Operational RFR Booking 

were equal to zero.

(h) The Operational Overlay Bookings in relation to a Straddle Period LIBOR Contract 

and Operational Straddle Period LIBOR Booking will terminate as of the time when 

they are no longer required for the Clearing House’s operational purposes, which is 

expected to be on the first Period End Date (as defined in the ISDA Definitions) after 

the Index Cessation Effective Date.

6. SUBSEQUENT ACTIONS WITH RESPECT TO OPERATIONAL BOOKINGS

If the Clearing House receives an instruction from an FCM Clearing Member to take a 

permitted action with respect to some but not all of the rights and obligations under 

any Amended LIBOR Contract (including, but not limited to, compression) and such 

rights and obligations have been operationally reflected in one or more of the 

Operational Bookings booked in accordance with Section 5 and not terminated, then

the Clearing House shall deem this to be an instruction to take the following steps 

contingent on the effectiveness or occurrence of the permitted action:

(i) pursuant to its powers under FCM Regulation 48B, register one or more new 

FCM SwapClear Contract(s) in the name of that FCM Clearing Member with 

the same terms as such Operational Booking(s); and

(ii) amend the Amended LIBOR Contract to reflect the rights and obligations 

remaining after giving effect to the instruction referred to above. 

7. OBLIGATIONS TO MAKE CERTAIN CALCULATIONS AND ENTER INTO 

CERTAIN CONTRACTS

Pursuant to Regulation 48B of the FCM Regulations, this Annex sets out the method 

for (i) calculating the Cash Compensation Amounts (which are “Conversion 

Payments” for purposes of FCM Regulation 48B), and (ii) determining the terms of 

the Cash Compensation Contracts which shall be registered in order to effect the 

payment of the Cash Compensation Amounts. 
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8. DETERMINATION OF THE CASH COMPENSATION AMOUNT AND THE 

CASH COMPENSATION CONTRACTS FOLLOWING THE CONVERSION

(a) On the Conversion Date in relation to an In-Scope Floating Rate Option the Clearing 

House shall calculate the following amounts:

(i) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to 

all LIBOR Contracts that have a floating rate or floating amount calculated 

using that In-Scope Floating Rate Option registered in each Proprietary 

Account as of the end of the business day in New Yorktime on the Conversion 

Cut-Off Date determined by the Clearing House; and

(ii) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to 

all LIBOR Contracts that have a floating rate or floating amount calculated 

using that In-Scope Floating Rate Option registered in each FCM Client SubAccount as of the end of the business day in New Yorktime on the Conversion 

Cut-Off Date determined by the Clearing House.

(b) The Clearing House shall determine a single Cash Compensation Amount separately 

in respect of all of the LIBOR Contracts referencing an In-Scope Floating Rate 

Option in each Proprietary Account and each FCM Client Sub-Account as follows. If:

(i) the aggregate RFR Value in relation to all such LIBOR Contracts exceeds the 

aggregate Fallback RFR Value in relation to all such LIBOR Contracts then 

the Cash Compensation Amount in relation to such LIBOR Contracts shall be 

equal to the absolute value of the excess, and shall be an amount in favor of 

the FCM Clearing Member in relation to such Proprietary Account or FCM 

Client Sub-Account (as applicable); and

(ii) the aggregate RFR Value in relation to all such LIBOR Contracts is less than 

the aggregate Fallback RFR Value in relation to all such LIBOR Contracts 

then the Cash Compensation Amount in relation to such LIBOR Contracts 

shall be equal to the absolute value of the excess, and shall be an amount in

favor of the Clearing House in relation to such Proprietary Account or FCM 

Client Sub-Account (as applicable).

(c) The Clearing House shall, pursuant to FCM Regulation 48B, register a separate Cash 

Compensation Contract in each Proprietary Account and each FCM Client SubAccount in relation to each Cash Compensation Amount (to the extent such amounts 

are applicable to such account). Each FCM Clearing Member and the Clearing House 

(as applicable) irrevocably agrees that it shall be bound to pay each Cash 

Compensation Amount to the other pursuant to the terms of the related Cash 

Compensation Contract. Each Cash Compensation Contract shall be registered for the 

sole purpose of effecting the payment of the Cash Compensation Amount to which it 

relates. It shall operationally be recorded as having a "Notional Amount" (as defined 

in the FCM SwapClear Contract Terms) of 1 unit of the relevant currency of the 

LIBOR Contracts to which it relates, a "Termination Date" (as defined in the FCM 

SwapClear Contract Terms) falling two "business days" after the Conversion Cut-Off 

Date, and an obligation on the Clearing House or the FCM Clearing Member (as 

applicable) to pay to the other on that "Termination Date" an amount equal to the 

Cash Compensation Amount related to the LIBOR Contracts referencing an In-Scope 
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Floating Rate Option in the relevant Proprietary Account or FCM Client SubAccount, in each case as determined pursuant to Section 8(b) above. However, 

neither the Clearing House nor an FCM Clearing Member shall be required to pay any 

amounts under a Cash Compensation Contract other than the Cash Compensation 

Amount to which such Cash Compensation Contract relates.

(d) Each FCM Clearing Member agrees to be bound by each Cash Compensation 

Contract registered pursuant to this Section 8, which shall, when registered, constitute 

an FCM SwapClear Contract between the Clearing House and the relevant FCM 

Clearing Member that has arisen by reason of the application of the Regulations to the 

LIBOR Contracts.

(e) Each FCM Clearing Member agrees (and in the case of (e)(iv) below, each FCM 

Clearing Member and the Clearing House agrees):

(i) to use reasonable endeavors to provide each of its FCM Clients with (i) 

information on the change to the LIBOR Contracts pursuant to the terms of 

FCM Regulation 48B and this Annex, (ii) information on the amounts payable 

pursuant to the terms of the Cash Compensation Contracts which may be 

allocated to that FCM Client’s FCM Client Sub-Account pursuant to the terms 

of this Annex, and (iii) other information (indicative or otherwise) in relation 

to each FCM Client Sub-Account. Such information shall be set out in 'Risk 

Notices' or other materials from the Clearing House in connection with this 

Annex (or any applicable Floating Rate Conversion Notice(s)) expressly 

marked for distribution to FCM Clients;

(ii) that it, and each of its FCM Clients, shall be bound by the terms of any Cash 

Compensation Contracts registered pursuant to this Annex and all payment 

obligations thereunder (as determined by the Clearing House pursuant to this 

Annex);

(iii) to perform all obligations and exercise all rights under or pursuant to this 

Annex in accordance with Applicable Law; 

(iv) that each Cash Compensation Contract is being registered in the relevant 

account in connection with the matters specified in this Annex and the 

obligations thereunder are for the sole purpose of addressing the value impact 

of certain of the changes to the LIBOR Contracts pursuant to this Annex; and

(v) that it will take reasonable steps to ensure that any FCM SwapClear 

Transaction referencing an In-Scope Floating Rate Option and submitted after 

December 31, 2021 meets the conditions in the definition of Legacy LIBOR 

Transaction.

9. DETERMINATIONS BINDING

Subject to Section 13, all determinations and calculations made by the Clearing House 

pursuant to this Annex shall be binding and may in no circumstances (other than in 

the case of manifest error) be called into question by any person.
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10. RECORDS

The Clearing House shall update its books and records to reflect the Cash 

Compensation Contracts and the amounts payable thereunder and the obligation to 

pay, or the right to receive, any such amounts may be reflected in the books and 

records of the Clearing House in such manner as the Clearing House determines is

necessary to meet its operational requirements. Where the Clearing House determines 

appropriate, the Clearing House will update its books and records or governance and 

booking procedures to provide that all Operational Bookings booked pursuant to this 

Annex do not affect the rights and obligations of FCM Clearing Members regardless 

of anything to the contrary in any reports issued by the Clearing House.

11. LEGACY LIBOR TRANSACTIONS

(a) Notwithstanding anything to the contrary in the Product Specific Contract Terms and 

Eligibility Criteria Manual, from and including the Conversion Date in relation to an 

In-Scope Floating Rate Option, the Clearing House shall not accept for clearing or 

registration any FCM SwapClear Transaction that references that In-Scope Floating 

Rate Option and is not a Legacy LIBOR Transaction.

(b) An FCM Clearing Member may present Legacy LIBOR Transactions for registration 

at the Clearing House from, and including, the Conversion Date up to, and including, 

the Legacy LIBOR End Date. No Legacy LIBOR Transactions will be eligible for 

clearing after the Legacy LIBOR End Date and no FCM Clearing Member shall 

present a Legacy LIBOR Transaction for registration after the Legacy LIBOR End 

Date. 

(c) If an FCM Clearing Member presents a Legacy LIBOR Transaction to the Clearing 

House after December 31, 2021, that FCM Clearing Member shall be deemed to 

represent and warrant to the Clearing House on the day it presents that Legacy LIBOR 

Transaction to the Clearing House that:

(i) either (a) the Legacy LIBOR Transaction was entered into prior to the Legacy 

LIBOR Cut-Off Date, or (b) in the case of a Legacy LIBOR Transaction 

which results from the exercise of a physically settled swaption, that swaption 

was entered into prior to the Legacy LIBOR Cut-Off Date; and

(ii) the FCM SwapClear Transaction incorporates either the Fallbacks Supplement 

pursuant to the ISDA 2020 IBOR Fallbacks Protocol, Supplement 70 to the 

ISDA 2006 Definitions or the equivalent provisions under the ISDA 2021 

Definitions, in each case prior to it being presented to the Clearing House. 

The FCM Clearing Member shall immediately notify the Clearing House if it 

becomes aware that any of the foregoing representations are incorrect, untrue or 

misleading.

(d) A Legacy LIBOR Transaction will only be registered by the Clearing House on a 

business day if it is presented to the Clearing House prior to 4 p.m. London time on 

such business day (or such other cut-off time as may be separately communicated by 

the Clearing House to the FCM Clearing Members). If a Legacy LIBOR Transaction 
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is presented after this time, the Clearing House may decline to register the Legacy 

LIBOR Transaction. 

(e) When a Legacy LIBOR Transaction is presented to the Clearing House by an FCM 

Clearing Member the presentation of such Legacy LIBOR Transaction shall constitute 

an irrevocable instruction from that FCM Clearing Member to the Clearing House to 

(i) register the Legacy LIBOR Transaction (subject to any other rights of the Clearing 

House, or obligations of the FCM Clearing Members in relation to the presentation or 

submission of FCM SwapClear Transactions and registration of FCM SwapClear 

Contracts generally pursuant to the FCM Rulebook or the Product Specific Contract 

Terms and Eligibility Criteria Manual) and (ii) immediately at the point of, and as part 

of, registration amend the Legacy LIBOR Transaction in accordance with Section 

3(b)-(e) (inclusive) as if such provisions applied to Legacy LIBOR Transactions, 

provided however that, notwithstanding anything to the contrary in Section 3, in 

relation to Legacy LIBOR Transactions only, the amendments in Section 3(b)-(e) 

shall be made at the point of, and as part of, registration of the Legacy LIBOR 

Transaction at the Clearing House and any reference in Section 3 to such amendments 

being made on any other date (including on any future Reset Date or number of days 

before a future Reset Date) shall be disregarded and shall not apply to Legacy LIBOR 

Transactions and Section 3 shall be read accordingly in relation to Legacy LIBOR 

Transactions. 

(f) The FCM Clearing Member agrees that the Legacy LIBOR Transaction will be 

amended pursuant to (e) above at the point of, and as part of, registration at the 

Clearing House and, for the avoidance of doubt, there shall be no Operational Overlay 

Bookings in relation to Legacy LIBOR Transactions. The Clearing House shall have 

the right to make any consequential amendments to the terms of each Legacy LIBOR 

Transaction as it deems necessary in connection with, and to give effect to, the 

amendments in this Section 11. Unless expressly referenced herein, all other terms of 

each Legacy LIBOR Transaction shall remain in full force and effect and shall 

continue to apply, including, but not limited to, the “Fixed Rate”, “Day Count 

Fraction” “Business Days” and any “Spread” (each as defined in the ISDA 

Definitions). 

(g) At close of business in New York oOn each business day on which one or more 

Legacy LIBOR Transactions are presented to the Clearing House and accepted by the 

Clearing House, the Clearing House shall, at the time on such business day 

determined by the Clearing House, calculate the following amounts in relation to 

those Legacy LIBOR Transactions that were registered by the Clearing House on that 

business day:

(i) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to 

all Legacy LIBOR Transactions that were registered by the Clearing House on 

that business day, that have a floating rate or floating amount calculated using 

that In-Scope Floating Rate Option and are registered in each Proprietary 

Account as of the time on such end of the business day determined by the 

Clearing House in New York; and

(ii) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to 

all Legacy LIBOR Transactions that were registered by the Clearing House on 

that business day, that have a floating rate or floating amount calculated using 
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that In-Scope Floating Rate Option, and are registered in each FCM Client 

Sub-Account (as applicable) as of the end of thetime on such business day 

determined by the Clearing Housein New York.

(h) The Clearing House shall determine a single Cash Compensation Amount separately 

in respect of all of the Legacy LIBOR Transactions registered with the Clearing

House on that business day referencing an In-Scope Floating Rate Option separately 

with respect to each Proprietary Account, each Individual Segregated Account, and 

each "position account" within each Omnibus Segregated Account as follows. If:

(i) the aggregate RFR Value in relation to all such Legacy LIBOR Transactions 

that were registered with the Clearing House on that business day exceeds the 

aggregate Fallback RFR Value in relation to all such Legacy LIBOR 

Transactions then the Cash Compensation Amount in relation to such Legacy 

LIBOR Transactions shall be equal to the absolute value of the excess, and 

shall be an amount in favor of the FCM Clearing Member in relation to such 

Proprietary Account or FCM Client Sub-Account (as applicable); and 

(ii) the aggregate RFR Value in relation to all such Legacy LIBOR Transactions 

that were registered with the Clearing House on that business day is less than 

the aggregate Fallback RFR Value in relation to all such Legacy LIBOR 

Transactions then the Cash Compensation Amount in relation to such Legacy 

LIBOR Transactions shall be equal to the absolute value of the excess, and 

shall be an amount in favor of the Clearing House in relation to such 

Proprietary Account or FCM Client Sub-Account (as applicable).

(i) The Clearing House shall, pursuant to Regulation 48B, register a separate Cash 

Compensation Contract in each Proprietary Account and each FCM Client SubAccount in relation to each Cash Compensation Amount calculated under (g) above 

(to the extent such amounts are applicable to such account). Each FCM Clearing 

Member and the Clearing House (as applicable) irrevocably agrees that it shall be 

bound to pay each Cash Compensation Amount to the other pursuant to the terms of 

the related Cash Compensation Contract. Each Cash Compensation Contract shall be 

registered for the sole purpose of effecting the payment of the Cash Compensation 

Amount to which it relates. It shall operationally be recorded as having a "Notional 

Amount" (as defined in the FCM SwapClear Contract Terms) of 1 unit of the relevant 

currency of the LIBOR Contracts to which it relates, a "Termination Date" (as defined 

in the FCM SwapClear Contract Terms) falling two “business days” after the date it is 

registered, and an obligation on the Clearing House or the FCM Clearing Member (as 

applicable) to pay to the other on that "Termination Date" an amount equal to the 

Cash Compensation Amount related to the Legacy LIBOR Transactions referencing 

an In-Scope Floating Rate Option in the Proprietary Account or each FCM Client

Sub-Account, in each case as determined pursuant to (g) above. However, neither the 

Clearing House nor an FCM Clearing Member shall be required to pay any amounts 

under a Cash Compensation Contract other than the Cash Compensation Amount to 

which such Cash Compensation Contract relates.

(j) Each FCM Clearing Member agrees to be bound by each Cash Compensation 

Contract registered pursuant to this Section 11 which shall, when registered, 

constitute a FCM SwapClear Contract between the Clearing House and the relevant 
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FCM Clearing Member that has arisen by reason of the application of the Regulations 

to the Legacy LIBOR Transactions.

(k) This Section 11 is without prejudice to any other rights of the Clearing House, or 

obligations of the FCM Clearing Members, in relation to the presentation of FCM 

SwapClear Transactions and registration of FCM SwapClear Contracts generally 

pursuant to the FCM Rulebook or the Product Specific Contract Terms and Eligibility 

Criteria Manual.

12. MISCELLANEOUS

(a) The obligations of the Clearing House to each FCM Clearing Member shall be to 

perform its obligations as principal to such FCM Clearing Member in accordance with 

the FCM Rulebook, but subject to the restrictions on the Clearing House’s obligations 

and liabilities contained in the FCM Rulebook and Section 13.

(b) The terms of this Annex are without prejudice to the Clearing House’s rights under 

the FCM Regulations and the FCM Procedures to change the terms of any open FCM 

SwapClear Contract from time to time and such terms shall not be relevant or binding 

on the Clearing House in respect of any such changes.

(c) The performance by the Clearing House of its obligations hereunder shall always be 

subject to the provisions of the FCM Rulebook. 

(d) Section 5 is provided for FCM Clearing Members operational convenience only and 

the Clearing House is under no obligation to update this Annex in relation to any 

changes in its operational or booking processes generally or in relation to the matters 

specified herein.

13. LIMITATION OF LIABILITY

13.1 Without prejudice to the generality of Regulation 44, each FCM Clearing Member 

agrees:

(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any FCM Clearing Member or any other 

person (including, without limitation, any FCM Client) whether in contract, 

tort (including, without limitation, negligence), trust, as a fiduciary or under 

any other cause of action, and whether in respect of any damages, loss or gain, 

cost or expense (whether direct, indirect, general, special, consequential, 

punitive or otherwise); and 

(b) to waive any claim against the Clearing House or any member of the LCH 

Group; 

arising or that may arise in connection with:

(i) any determination, calculation, notification, registration, publication, exercise 

of discretion, or decision, taken or not taken by the Clearing House or any 

other member of the LCH Group in connection with this Annex; 
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(ii) the determination or publication of any price, curve, data, quote or other 

information arising from, or in connection with, this Annex;

(iii) any of the operational bookings made pursuant to Section 5 of this Annex; or

(iv) the registration of any Legacy LIBOR Transaction or whether an FCM 

SwapClear Transaction is eligible to be registered as a Legacy LIBOR 

Transaction,

except in the case of fraud or wilful misconduct on the part of the Clearing House or 

any other member of the LCH Group. 

13.2 Without prejudice to the generality of Regulation 44 and clause 13.1 above, each 

FCM Clearing Member further agrees:

(a) that neither the Clearing House nor any other member of the LCH Group will 

have any liability whatsoever to any FCM Clearing Member or any other 

person (including, without limitation, any FCM Client) in tort (including, 

without limitation, negligence), trust, as a fiduciary or under any other noncontractual cause of action, or under any implied contractual term, and 

whether in respect of any damages, loss or gain, cost or expense (whether 

direct, indirect, general, special, consequential, punitive or otherwise); and 

(b) to waive any non-contractual claim or claim under any implied contractual 

term against the Clearing House or any member of the LCH Group; 

arising or that may arise in connection with the Clearing House's performance of its 

contractual duties or obligations under this Annex, except in the case of fraud or 

wilful misconduct on the part of the Clearing House or any other member of the LCH 

Group. 

13.3 Each FCM Clearing Member agrees that neither the Clearing House nor any other 

member of the LCH Group (i) owes any duty of care to any person in connection with 

the performance of the Clearing House’s duties or obligations or exercise of its rights 

under this Annex, save for the express contractual duties set forth in this Annex; (ii) is 

under any obligation to research, investigate, supplement, or verify the veracity of, 

any price, data, quote or other information received from an FCM Clearing Member 

in connection with this Annex; (iii) is acting as a fiduciary for, or as an advisor to, any 

FCM Clearing Member or FCM Client in connection with this Annexor any FCM 

SwapClear Contract registered as a result of the matters specified in this Annex; (iv) 

shall be under any requirement to consult with, or individually notify (other than as 

expressly set out in this Annex), an FCM Clearing Member or FCM Client in 

connection with making its determinations, exercising its discretions or performing its 

duties or obligations or exercising its rights, each under this Annex; or (v) has made 

any representation, express or implied, in relation to this Annex, and each FCM 

Clearing Member acknowledges that it has not relied on any representations made by 

the Clearing House or any other member of the LCH Group in relation to this Annex.

For the avoidance of doubt, notwithstanding anything to the contrary herein, neither 

the Clearing House nor any other member of the LCH Group shall be liable for any 

obligations of, or to any person who is not, an FCM Clearing Member.
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behalf of an FCM ForexClear Clearing Member in respect of a third 

party Executing Party where such trade was executed on an FCM 

Trading Venue that was not at the time of execution of such trade an 

FCM Eligible Trading Venue in respect of such FCM ForexClear 

Clearing Member, (ii) presented by or on behalf of an FCM ForexClear 

Clearing Member that was executed on a trading venue or facility that 

had not at the time of the execution of such trade been approved by the 

Clearing House as an FCM Trading Venue (iii) that contains invalid or 

incomplete message data, or (iv) that is not a Sub-Block Trading 

Venue Transaction and with respect to which the Clearing House has

not received sufficient Margin (taking into account MER Buffer and/or 

ForexClear Tolerance, if any) will, in each case, be rejected.

If an FCM ForexClear Transaction is presented to the Clearing House 

for registration and rejected, such FCM ForexClear Transaction may 

be re-presented for registration in the form of a new FCM ForexClear

Transaction but with the same economic terms in accordance with, and 

subject to, the FCM Rulebook and Applicable Law, and such FCM 

ForexClear Transaction will, for the purposes of the FCM Rulebook 

and upon such re-presentation, constitute a new FCM ForexClear

Transaction.

(g) Manual Trade Rejection, Novation and Cancellation (Exceptional 

Event)

From time to time, as an exceptional event, it may be necessary for the 

Clearing House to (i) reject a trade submitted for registration, (ii) 

register an FCM ForexClear Transaction, or (iii) accept or reject a 

cancellation request for an FCM ForexClear Contract or an FCM 

ForexClear Transaction, in each case, manually prior to a Margin Run 

(e.g. in the case of a Default, when an FCM ForexClear Transaction 

needs to be registered immediately to expedite the hedging and auction 

process or to reject an FCM ForexClear Transaction received from an

FX FCM which is a Defaulter).

The Clearing House acknowledges the action:

(i) in respect of trades being manually rejected or manually 

registered, by notifying the relevant entities specified in Section 

2.2.8(a)(iii) of such rejection or registration (as applicable); and

(ii) in respect of trades being manually cancelled, by sending a 

message to the FCM Approved Trade Source System that it is 

“CANCELLED”.

(h) Trade Cancellation

The Clearing House accepts cancellation messages from Executing 

Parties against both non-novated trades (FCM ForexClear 

Transactions) and novated trades (FCM ForexClear Contracts).
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With respect to any FCM ForexClear Contract, cancellation messages 

may be submitted via the FCM Approved Trade Source System until 

(i) such FCM ForexClear Contract is “fixed” (i.e., when its Settlement 

Rate has been determined on the relevant Valuation Date), or (ii) the 

end of the day time on the Business Day preceding the relevant 

Expiration Date of the FCM ForexClear Contract, which time is as 

determined by the Clearing House, as applicable.

A successful cancellation message results in a “CANCELLED” status 

message if the FCM ForexClear Transaction or the FCM ForexClear 

Contract (as the case may be) is cancelled during the Opening Hours. 

The status messages are sent from the Clearing House to the FX FCM 

via the FCM Approved Trade Source System.

(i) Process flow description

The Clearing House accepts trade cancellation instructions from the 

FCM Approved Trade Source System for FCM ForexClear 

Transactions or FCM ForexClear Contracts (as the case may be) that 

have previously been submitted to the FCM ForexClear Service. 

Cancellation instructions must include the ForexClear ID.

The Clearing House checks that the cancellation instruction contains a 

valid ForexClear ID which relates to: (a) an FCM ForexClear 

Transaction or FCM ForexClear Contract (as the case may be) that has 

not been previously cancelled; and (b) in the case of an FCM 

ForexClear NDF Contract , an FCM ForexClear NDF Contract with 

respect to which the relevant Valuation Date has not yet occurred.

Where a trade has already been rejected (as a result of having failed a 

Counterparty Technical Validation Check), the FCM ForexClear 

Service sends a “CANCEL REJECTED” message to the FCM 

Approved Trade Source System for the relevant FXPs.

All trade cancellation instructions must pass the Incremental Risk 

Check. If an FX FCM does not have sufficient Margin for its 

Liabilities or estimated Liabilities (taking into account MER Buffer

and/or ForexClear Tolerance, if any) at the time of the relevant 

Incremental Risk Check, then a ForexClear trade cancellation 

instruction to which it is a party will be rejected immediately. 

However, any ForexClear trade cancellation instruction that is risk 

reducing (i.e. results in a reduction of that FX FCM's Liabilities) will 

always pass the Incremental Risk Check, even if the FX FCM does not 

have sufficient Margin for its Liabilities.

(j) Trade Amendment

No amendment of the financial terms of an FCM ForexClear 

Transaction or FCM ForexClear Contract is permitted. FX FCMs who 

wish to change the FCM Client information on a ForexClear 
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Collateral to replenish the ForexClear Tolerance utilized by an FX 

FCM at (i) the last ITD/Ad-hoc Day Margin Run and EOD Margin 

Run of each Business Day and (ii) in the event an FX FCM utilizes at 

least 75% of its ForexClear Tolerance during a business day, at the

next relevant ITD/Ad-hoc Day Margin Run. Any failure of an FX 

FCM to satisfy a call for Collateral relating to ForexClear Tolerance 

may give rise to a Default by such FX FCM.

The Clearing House will not apply ForexClear Tolerance for FCM 

ForexClear Contracts with a Trade Date earlier than the previous 

Business Day.

(d) Completion Margin

The Clearing House shall calculate and call each FX FCM for

“completion margin.” Completion margin is a component of each FX

FCM’s initial margin obligation, and represents potential increases in

an FX FCM’s initial margin obligations due to position changes

resulting from next-day fixing. Completion margin is calculated as the

incremental difference between an FX FCM’s aggregate initial margin

obligations on its FCM ForexClear Contracts and its initial margin

obligations in relation to FCM ForexClear Contracts due to fix the next

Business Day.

(e) Intra-day Margin Calls

In accordance with the Clearing House's FCM Regulations, the 

Clearing House is entitled to make additional margin calls for 

furnishing of Margin on the same day (intra-day margin calls) where it 

is considered necessary. Intra-day margin calls may be called made at 

any time throughout the business day (08:30 to 21:00 hours, London 

time). Intra-day margin calls will usually be made via the pProtected 

pPayments sSystem (PPS) (see Section 2.2.25(c)2.2.25(c)).

In certain circumstances, the Clearing House may wish to make a call 

for additional Margin after the UK PPS cut-off time of 08:00 hours

(New York time). In this event, the Clearing House will require 

payment of additional funds through PPS facilities in the USA (see 

Section 3.2). Members must ensure, in these circumstances, that they 

are in a position to fund such calls through their nominated US PPS 

account within one hour of the call.

2.2.13 Initial Margin Management Events Service (“IMMES”)

IMMES aims to find risk and IM reducing FCM ForexClear Contracts and 

ForexClear Contracts among participating FXCCMs. IMMES can be run on 

all Currency Pairs that are cleared through the FCM ForexClear Service, 

although the primary focus will be on those Currency Pairs that contribute to 

the largest IM requirement. IMMES is available in respect of an FX FCM's 

house account only.

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Management Group established by the Clearing House pursuant to the 

terms of the ForexClear DMP Annex to the Default Rules) in the 

ForexClear DMP entails the assessment and dissemination of 

information that could give rise to conflicts of interest. To ensure that 

such potential conflicts are demonstrably contained, Schedule 2.2D

establishes binding obligations of confidentiality, anonymity and the 

extent of dissemination of information on FX FCMs (and their 

executives or directors who participate from time to time in the

ForexClear DMG) and on the Clearing House.

Each FX FCM who makes available a representative to serve on the 

ForexClear DMG agrees, and shall procure that, to the extent 

applicable, its representatives agree to be bound by and to ensure that it 

and any of its executives or directors serving on the ForexClear DMG 

complies with Schedule 2.2D covering confidentiality, non-disclosure 

and other terms.

(f) Default Management Accounts

(A) For the purposes of this paragraph (f), the following definitions 

will apply:

“Affected Non-Porting FCM Client Sub-Account” means, in 

respect of an Initial DMA or a Final DMA (as applicable) and 

the FCM ForexClear Contracts that (at any time) comprise such 

Initial DMA or a Final DMA (as applicable), each Non-Porting 

FCM Client Sub-Account from which any such FCM 

ForexClear Contract originated. 

“Auction” has the meaning assigned to it in the ForexClear 

DMP Annex.

“Auction Date” means, in respect of an Auction Portfolio, the 

business day on which such Auction Portfolio is sold. 

“Auction Result” means, in respect of an Auction Portfolio, 

the amount equal to:

(i) the gains or losses of the Clearing House arising from 

the sale of such Auction Portfolio, where a gain is a 

positive amount and a loss is a negative amount;

(ii) plus the Auction Portfolio NPV Gain for such Auction 

Portfolio (if any); 

(iii) minus the Auction Portfolio NPV Loss for such Auction

Portfolio (if any). 

“Auction Portfolio” means a ForexClear Auction Portfolio. 

“Auction Portfolio Calculation Period” means, in respect of 

an Auction Portfolio and its Auction Date, the period 
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commencing immediately after the end of day margin and 

settlement call of the Clearing House for the business day 

preceding such Auction Date and ending at the point at which 

such Auction Portfolio is sold. 

“Auction Portfolio NPV Change” means, in respect of an 

Auction Portfolio and its Auction Portfolio Calculation Period, 

the amount (if any) by which the aggregate net present value of 

the FCM ForexClear Contracts within such Auction Portfolio 

has changed during such Auction Portfolio Calculation Period, 

and 

(i) where such change is in favour of the Defaulter, is the 

“Auction Portfolio NPV Gain”; and

(ii) where such change is in favour of the Clearing House, 

is the “Auction Portfolio NPV Loss”.

“Daily Amount” means, in respect of a DMA and a Daily 

Calculation Period, the Daily Gain or Daily Loss for such 

DMA and Daily Calculation Period. 

“Daily Calculation Period” means, in respect of a business 

day, the period, in respect of which the Clearing House 

determines the end of day margin and settlement payments for 

FCM ForexClear Contracts for such business day.

“Daily Gain” means, in respect of a DMA and a Daily 

Calculation Period, the amount (if any) by which the Daily 

NPV Gain exceeds the Daily Hedge Costs (in each case) for 

such DMA and Daily Calculation Period.

“Daily Hedge Costs” means, in respect of a DMA and a Daily 

Calculation Period, all costs incurred by the Clearing House in 

connection with hedging the exposure of one or more FCM 

ForexClear Contracts within such DMA in accordance with the 

Risk Neutralisation process under Rule 2.2 of the ForexClear 

DMP Annex.

“Daily Loss” means, in respect of a DMA and a Daily 

Calculation Period, either: (i) where the DMA experiences a 

Daily NPV Loss in respect of such Daily Calculation Period, 

the aggregate of such Daily NPV Loss and the Daily Hedge 

Costs for such DMA and Daily Calculation Period; or (ii) 

where the DMA experiences a Daily NPV Gain in respect of 

such Daily Calculation Period, the amount by which the Daily 

Hedge Costs for such DMA and Daily Calculation Period 

exceed such Daily NPV Gain.

“Daily NPV Change” means, in respect of a DMA and a Daily 

Calculation Period, the amount (if any) by which the aggregate 
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net present value of the Remaining Contracts within such DMA 

has changed during such Daily Calculation Period, and:

(i) where such change is in favour of the Defaulter, is the 

“Daily NPV Gain”; and

(ii) where such change is in favour of the Clearing House, 

is the “Daily NPV Loss”.

“DMA” means an Initial DMA or a Merged DMA, as 

applicable.

“DMA Creation Date” means, in respect of an Initial DMA, 

the business day on which such Initial DMA is established by 

the Clearing House.

“DMA Merger Date” means, in respect of a Merged DMA, the 

business day on which two or more DMAs are combined to 

form such Merged DMA. 

“Final DMA” means, in respect of an Auction Portfolio that is 

auctioned and sold, the most recently established DMA from 

which such Auction Portfolio was formed. 

“ForexClear Auction Portfolio” means an “Auction Portfolio” 

as defined in the ForexClear DMP Annex.

“Initial DMA” means a default management account 

established by the Clearing House, acting in its sole discretion, 

to which one or more Sets of Non-Porting Contracts are 

transferred (by book-entry) on the DMA Creation Date for such 

default management account. 

“Latest DMA” means, in respect of a Daily Calculation Period, 

a DMA that exists at the end of such Daily Calculation Period, 

but which has not itself been combined with another DMA to 

form a separate Merged DMA. 

“Merged DMA” means a default management account 

established by the Clearing House, acting in its sole discretion, 

which results from the combination of two or more DMAs. 

“Non-Porting FCM Client Sub-Account” means, in respect 

of a Defaulter, the FCM Client Sub-Account of such Defaulter, 

to which the FCM ForexClear Contracts that the Clearing 

House has determined will not be ported in accordance with the 

FCM Rulebook are, or were, registered at the point of the 

Default of the Defaulter.

“Pre-Default TMR” means, in respect of an Affected NonPorting FCM Client Sub-Account of a Defaulter, the TMR for 

such Affected Non-Porting FCM Client Sub-Account as at the 
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time on end of day margin and settlement call for the business 

day before the day of Default of such Defaulter, which time is 

as determined by the Clearing House. 

“Pre-Default TMR Ratio” means 

(i) in respect of an Initial DMA and an Affected NonPorting FCM Client Sub-Account referable to it, the 

ratio that the Pre-Default TMR of such Affected NonPorting FCM Client Sub-Account bears to the aggregate 

Pre-Default TMR of all Affected Non-Porting FCM 

Client Sub-Accounts referable to such Initial DMA; or

(ii) in respect of a Final DMA and an Affected Non-Porting 

FCM Client Sub-Account referable to it, the ratio that 

the Pre-Default TMR of such Affected Non-Porting 

FCM Client Sub-Account bears to the aggregate PreDefault TMR of all Affected Non-Porting FCM Client 

Sub-Accounts referable to such Final DMA. 

“Pre-Merger TMR” means, in respect of a DMA that was 

combined with one or more other DMA(s) to form a Merged 

DMA, the TMR for such DMA as at the time on end of day 

margin and settlement call for the business day before the 

DMA Merger Date of such Merged DMA, which time is as 

determined by the Clearing House. 

“Pre-Merger TMR Ratio” means, in respect of a DMA that 

was combined with one or more other DMA(s) to form a 

Merged DMA, the ratio that such DMA’s Pre-Merger TMR 

bears to the aggregate Pre-Merger TMR of all DMAs that were 

combined to form such Merged DMA.

“Prior Merged DMA” means, in respect of a Merged DMA, 

an existing Merged DMA that has been combined with one or 

more other DMA(s) to form such Merged DMA. 

“Remaining Contracts” means, in respect of a DMA and a 

Daily Calculation Period, all of the FCM ForexClear Contracts 

within such DMA during such Daily Calculation Period, 

excluding those FCM ForexClear Contracts that the Clearing 

House has auctioned and sold at any point within such Daily 

Calculation Period. 

“Set of Non-Porting Contracts” means, in respect of a NonPorting FCM Client Sub-Account, the FCM ForexClear 

Contracts that are transferred by the Clearing House from such 

Non-Porting FCM Client Sub-Account to an Initial DMA. 
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“TMR” means (i) in respect of an Affected Non-Porting FCM 

Client Sub-Account, the total margin requirement as 

determined by the Clearing House for such Affected NonPorting FCM Client Sub-Account, or (ii) in respect of a DMA, 

the total margin requirement as determined by the Clearing 

House for such DMA, in each case, excluding variation margin.

(B) Initial DMAs

(A) After a Default, the Clearing House may, in its sole 

discretion:

(1) determine that the FCM ForexClear Contracts 

registered to a Non-Porting FCM Client SubAccount will not port in accordance with the 

FCM Rulebook; and

(2) transfer the resulting Set of Non-Porting 

Contracts in respect of such Non-Porting FCM 

Client Sub-Account to an Initial DMA on the 

business day on which the Clearing House 

makes such determination.

(B) The Clearing House may in its sole discretion create 

more than one Initial DMA for the purposes of 

subparagraph (A)(2) above on the same business day.

(C) No Contracts other than FCM ForexClear Contracts 

will be transferred into an Initial DMA. 

(D) Any outstanding and owing, but unsettled, variation 

margin or settlement amounts in respect of FCM 

ForexClear Contracts as at the end of the Daily 

Calculation Period for the business day prior to the 

transfer of such FCM ForexClear Contracts in 

accordance with subparagraph (A) above shall be 

discharged by the Clearing House debiting or crediting 

(as applicable) the Non-Porting FCM Client SubAccount from which such FCM ForexClear Contracts 

were transferred. 

(C) Merged DMAs

(A) On any business day following the creation of two or 

more Initial DMAs pursuant to paragraph (B) above, 

the Clearing House may create a Merged DMA by 

combining:

(1) multiple Initial DMAs;

(2) one or more Initial DMAs and one or more Prior 

Merged DMAs; or
FCM Procedures FCM ForexClear

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CORPORATE

(3) multiple Prior Merged DMAs.

(B) The Clearing House may in its sole discretion create 

more than one Merged DMA on the same business day.

(D) Auctions

(A) The Clearing House shall conduct Auctions in respect 

of Auction Portfolios referable to DMAs in accordance 

with the provisions of the ForexClear DMP Annex.

(B) More than one Auction Portfolio may be referable to a 

single DMA, in which case:

(1) the Clearing House will conduct one or more 

Auctions of each Auction Portfolio referable to 

such DMA; and

(2) on and from the date of the first Auction in 

respect of the DMA, the Clearing House may no 

longer combine such DMA into a Merged DMA.

(C) Following the sale of an Auction Portfolio, the 

ForexClear Contacts within such Auction Portfolio 

shall no longer form part of the DMA from which the 

Auction Portfolio was created.

(E) Attribution of Daily Amounts 

(A) The Clearing House shall, following each Daily 

Calculation Period, determine the Daily Amount for 

each Latest DMA in respect of such Daily Calculation 

Period. 

(B) The Clearing House shall attribute the Daily Amount 

of a Latest DMA that is:

(1) an Initial DMA, to each Affected Non-Porting 

FCM Client Sub-Account referable to such 

Initial DMA, pro rata according to the PreDefault TMR Ratio of each such Affected NonPorting FCM Client Sub-Account; and

(2) Merged DMA, to each DMA that was combined 

to form such Merged DMA, pro rata according 

to the Pre-Merger TMR Ratio of each such 

DMA (where the amount attributed to each such 

DMA is an “Interim Amount”). 

(C) If the Clearing House attributes an Interim Amount to 

a DMA under subparagraph (B)(2) above, then it will 

further attribute such Interim Amount as follows:
FCM Procedures FCM ForexClear

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CORPORATE

(1) Where the DMA to which the Interim Amount 

was attributed is an Initial DMA, the Clearing 

House will further attribute such amount to each 

Affected Non-Porting FCM Client Sub-Account

referable to such Initial DMA, pro rata 

according to the Pre-Default TMR Ratio of each 

such Affected Non-Porting FCM Client SubAccount; and

(2) Where the DMA to which the Interim Amount 

was attributed is a Merged DMA, the Clearing 

House will further attribute such amount to each 

DMA that was combined to form such Merged 

DMA, pro rata according to the Pre-Merger 

TMR Ratio of each such DMA.

(D) If the Clearing House attributes an amount to a DMA 

under subparagraph (C)(2) above, then it will further 

attribute such amount according to the method 

specified in subparagraph (C) (treating such amount as 

an Interim Amount for the purposes of subparagraph 

(C)) until all amounts are attributed to Non-Porting 

FCM Client Sub-Accounts. 

(F) Attribution of Auction Results

The Clearing House shall attribute the Auction Result, in 

respect of the sale of an Auction Portfolio, to each Affected 

Non-Porting FCM Client Sub-Account referable to the Final

DMA from which such Auction Portfolio was formed, pro rata 

according to the Pre-Default TMR Ratio of each such Affected 

Non-Porting FCM Client Sub-Account.

(G) CFTC Regulations

The Clearing House shall hold the relevant Collateral in respect 

of Non-Porting FCM Client Sub-Accounts (segregated as 

belonging to each such applicable Non-Porting FCM Client 

Sub-Account in accordance with the CFTC Regulations and 

Part 22 thereof) in its applicable FCM Omnibus ForexClear 

Client Account with LCH until the process described in this 

paragraph (f) has been completed. For the avoidance of doubt, 

the Clearing House may only take such actions pursuant to this 

paragraph as permitted by the FCM Rulebook, the CEA and the 

CFTC Regulations or as directed by an applicable Regulatory

Body.

2.2.27 Payment of Stamp Tax

Each FCM Clearing Member shall pay any stamp tax or duty levied or 

imposed upon it or in respect of its execution or performance of the FCM 
CORPORATE

Appendix VI

LCH Default Rules

Changed Pages
LCH LIMITED

DEFAULT RULES
 

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2.2 Risk Neutralisation

The Clearing House will, in consultation with, and with the assistance of, the Rates 

Service DMG, reduce the market risk associated with a Defaulting Rates Service 

Clearing Member’s obligations to the Clearing House so far as is reasonably practicable 

by hedging the Clearing House's exposure in open Rates Service Contracts to which the 

Defaulting SCM is party, where such hedging may be achieved, without limitation, by:

(a) the splitting of Portfolios pursuant to Rule 2.1 above; 

(b) the Clearing House, for the purpose of hedging: 

(i) executing one or more new SwapClear Transactions and/or new FCM 

SwapClear Transactions (as applicable) with Non-Defaulting Rates 

Service Clearing Members (each, a "Hedging Rates Service Clearing 

Member") on the basis of a separate agreement between the Clearing 

House and the Hedging Rates Service Clearing Member; and

(ii) clearing each such SwapClear Transaction and/or FCM SwapClear 

Transaction (as applicable) in accordance with, and subject to, the 

Rulebook and/or the FCM Rulebook (as applicable), such that:

(A) the Hedging Rates Service Clearing Member’s side of such 

transaction is registered as a SwapClear Contract between the 

Clearing House and the Hedging Rates Service Clearing 

Member; and

(B) the Clearing House's side of such transaction is registered as a 

SwapClear Contract between the Defaulting Rates Service 

Clearing Member and the Clearing House (pursuant to the 

Clearing House’s rights under Default Rule 6(a)) (any such 

SwapClear Contract, a "Hedging SwapClear Contract"); 

(c) the Clearing House, for the purpose of hedging: 

(i) engaging one or more third parties (each, a "Hedging Give Up Agent") 

to execute one or more new Listed Interest Rates Novation Transactions, 

FCM Listed Interest Rates Novation Transactions and/or Rates 

Exchange Matches (as applicable), as instructed by the Clearing House; 

and

(ii) clearing each such Listed Interest Rates Novation Transaction, FCM 

Listed Interest Rates Novation Transactions and/or Rates Exchange 

Matches (as applicable) in accordance with, and subject to, the Rulebook 

and/or FCM Rulebook (as applicable), such that:

(A) the Hedging Give Up Agent's side of such transaction or match 

is registered as a Listed Interest Rates Contract and transferred 

to the Defaulting Rates Service Clearing Member, to become a 

Hedging Listed Interest Rates Contract between the Defaulting 

Rates Service Clearing Member and the Clearing House 
 

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June May 20221

(pursuant to the Clearing House’s right under Default Rule 6(q);

and

(B) the other side of such transaction or match is registered as a 

Listed Interest Rates Contract between the Clearing House and 

the relevant Listed Interest Rates Clearing Member; and/or 

(d) the Clearing House, for the purpose of hedging, designating an existing Listed 

Interest Rates Contract of the Defaulting Rates Service Clearing Member as a 

Hedging Listed Interest Rates Contract (pursuant to the Clearing House's right 

under Default Rule 6(q)).

The Clearing House may transfer one or more Hedging Rates Service Contracts from 

one account to any other account in accordance with Default Rule 6(g) (including any 

Hedged Account (in the circumstances provided for in the Rulebook)). 

The Clearing House may undertake Risk Neutralisation before, as part of, concurrently 

with and/or subsequent to the splitting of a Portfolio pursuant to Rule 2.1. Where a 

Hedging Rates Service Clearing Member executes a hedging SwapClear Transaction 

or FCM SwapClear Transaction (as applicable) with the Clearing House, it agrees to 

present such SwapClear Transaction or FCM SwapClear Transaction for clearing with 

the Clearing House in accordance with, and subject to, the Rulebook or FCM Rulebook 

(as applicable) and within the required timeframe under all Applicable Law (and, in any 

event, no later than the time, as determined by the Clearing House, the time that the 

SwapClear service closes on the day on which it executes such SwapClear Transaction 

or FCM SwapClear Transaction). 

2.3 Basis Portfolio Composition

The Clearing House may, in consultation with, and with the assistance of, the Rates 

Service DMG and for each relevant currency construct a Basis Portfolio, which may 

include Hedging Rates Service Contracts concluded by the Clearing House through 

Risk Neutralisation

2.4 Auction

(a) Following the completion of Risk Neutralisation, the Clearing House shall 

auction each OTC Auction Portfolio to Non-Defaulting SCMs and each Basis 

Portfolio to Non-Defaulting Joint Rates Service Clearing Members, in both such 

cases in order to:

(i) seek to re-establish with those Non-Defaulting SCMs and NonDefaulting Joint Rates Service Clearing Members (as applicable) the 

positions the Clearing House had with the Defaulting SCM under the 

relevant Rates Service Contracts; and

(ii) seek to determine the net value of those Rates Service Contracts for the 

purposes of determining the extent of any losses to the Clearing House 

which are to be reduced or borne in the manner provided by Rule 15 of 

the Default Rules or, as the case may be, the extent of any gains to the 

Clearing House. 
 

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1.5 Terms used, and not defined, in this Annex shall have the meanings given to them in 

the Regulations or FCM Regulations.

2. ForexClear DMP

The ForexClear DMP in respect of: (a) ForexClear Clearing House Business; (b) 

Relevant Auction Contracts in respect of ForexClear Client Clearing Business; (c) FCM 

ForexClear House Business; and (d) FCM ForexClear Client Business, shall involve 

the stages described in this Rule 2.

Resources will be allocated based on the order and proportions described in Rules 2.4 

to 2.6 of this Annex. Allocation of resources pursuant to a process or the order in which 

processes are carried out may reduce the resources which are available to meet the 

losses in respect of any subsequent process and, consequently, impact the allocation of 

losses amongst Non-Defaulters. For the avoidance of doubt, the Clearing House may 

in its sole and absolute discretion determine the order in which it constructs Auction 

Portfolios and auctions Auction Portfolios.

2.1 Portfolio Splitting

The Clearing House, in consultation with and with the assistance of the ForexClear 

DMG, shall determine the composition of each Auction Portfolio and shall have the 

discretion to divide a Portfolio into two or more individual Auction Portfolios with the 

aim of facilitating the efficiency of, and reducing the risk associated with, the auction 

process provided for in Rule 2.3 of this Annex. The overriding principle behind the 

portfolio splitting process is that the Clearing House will structure Auction Portfolios 

with the intention of ensuring a ForexClear DMP which best protects the resources of 

the Clearing House, subject to compliance with applicable provisions of the CEA and 

the CFTC Regulations regarding segregation of client assets. Therefore, nothing in this 

Rule 2.1 shall be deemed to imply: (a) that the Clearing House is under any obligation 

to split a particular Portfolio of a Defaulting FXCCM (regardless of the number of 

ForexClear Contracts that such Portfolio contains); or (b) any particular requirements 

as to the composition of an individual Auction Portfolio (including in terms of 

combining or separating ForexClear Contracts belonging to different ForexClear

Contract Categories), except that, subject to overriding risk procedures it is broadly 

anticipated that the parameters of any Auction Portfolio shall not be materially different 

to those set out in the Clearing House's fire drill.

2.2 Risk Neutralisation

The Clearing House will, in consultation with and with the assistance of the ForexClear 

DMG, reduce the market risk and/or settlement risk associated with a Defaulting 

FXCCM's obligations to the Clearing House so far as is reasonably practicable by 

hedging the Clearing House's exposure in open ForexClear Contracts to which the 

Defaulting FXCCM is party, where such hedging may be achieved, without limitation, 

by: 

(a) the splitting of Portfolios pursuant to Rule 2.1; and/or

(b) the Clearing House, for the purpose of hedging: 
 

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(i) executing one or more new ForexClear Transactions and/or new FCM 

ForexClear Transactions (as applicable) with Non-Defaulting FXCCMs

(each, a "Hedging ForexClear Service Clearing Member") on the 

basis of a separate agreement between the Clearing House and the 

relevant Hedging ForexClear Service Clearing Member; and

(ii) clearing each such ForexClear Transaction and/or FCM ForexClear 

Transaction (as applicable) in accordance with, and subject to, the 

Rulebook and/or FCM Rulebook (as applicable), such that: 

(A) the Hedging ForexClear Service Clearing Member’s side of such 

transaction is registered as a ForexClear Contract between the 

Clearing House and the Hedging ForexClear Service Clearing 

Member; and

(B) the Clearing House's side of such transaction is registered as a 

ForexClear Contract between the Defaulting ForexClear Service 

Clearing Member and the Clearing House (pursuant to the 

Clearing House's rights under Default Rule 6(a)) (any such 

ForexClear Contract, a "Hedging ForexClear Contract"). 

The Clearing House may transfer one or more Hedging ForexClear Service Contracts 

from one account to any other account in accordance with Default Rule 6(g) (including 

any Hedged Account (in the circumstances provided for in the Rulebook)). 

The Clearing House may undertake Risk Neutralisation before, as part of, concurrently 

with and/or subsequent to the splitting of a Portfolio pursuant to Rule 2.12.1. Where a 

Hedging ForexClear Service Clearing Member executes a hedging ForexClear 

Transaction or FCM ForexClear Transaction (as applicable) with the Clearing House, 

it agrees to present such ForexClear Transaction or FCM ForexClear Transaction for 

clearing with the Clearing House in accordance with, and subject to, the Rulebook or 

FCM Rulebook (as applicable) and within the required timeframe under all Applicable 

Law (and, in any event, no later than the time, as determined by the Clearing House, 

that the ForexClear service closes on the day on which it executes such ForexClear 

Transaction or FCM ForexClear Transaction).

2.3 Auction

(a) Following the completion of Risk Neutralisation, the Clearing House shall 

auction each Auction Portfolio to Non-Defaulting FXCCMs in order to:

(i) seek to re-establish with those Non-Defaulting FXCCMs the positions 

the Clearing House had with the Defaulting FXCCM under the relevant 

ForexClear Contracts; and

(ii) seek to determine the net value of those ForexClear Contracts for the 

purposes of determining the extent of any losses to the Clearing House 

which are to be reduced or borne in the manner provided by Rule 15 of 

the Default Rules or, as the case may be, the extent of any gains to the 

Clearing House.
 

Default Rules

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SCHEDULE 5

FOREXCLEAR DEFAULT FUND SUPPLEMENT

F1. In accordance with and subject to Rule F2, the amount of each ForexClear Clearing 

Member's ForexClear Contributions shall be determined by the Clearing House as soon 

as practicable after each ForexClear Determination Date as appropriate on the basis of 

information available as at close of business on such ForexClear Determination Date 

and notified to such FXCCM as soon as practicable after such determination in 

accordance with the Procedures.

F2. Each FXCCM's ForexClear Contribution (other than any ForexClear Unfunded 

Contribution or any Supplementary Contribution) shall be determined by the Clearing 

House in accordance with the following provisions:

(a) determinations will be made by the Clearing House on the date that an FXCCM 

joins the ForexClear Service, and at the close of business on the first business 

day of each month and at the time on such day determined by the Clearing 

House, and otherwise in accordance with paragraph (f) below (each, a 

"ForexClear Determination Date"), provided, however, that following a 

Default, any such determinations and any such ForexClear Determination Date 

which might otherwise have occurred under this Rule F2 shall be suspended for 

the duration of the period (the "ForexClear Default Period") commencing on 

the date of such Default and terminating on the last to occur of the following 

datestimes:

(i) the time, as determined by the Clearing House, the date which is the 

close of business on the day falling 30 calendar days after the ForexClear 

Default Management Process Completion Date in relation to such 

Default (or, if such day is not a business day, the next succeeding 

business day); and

(ii) where, prior to the end of the period referred to in (i) above (or such 

period as has already been extended pursuant to this paragraph (ii)), one 

or more subsequent Defaults (each a "Relevant Default") occur, the 

time, as determined by the Clearing House, date which is the close of 

business on the day falling 30 calendar days after the ForexClear Default 

Management Process Completion Date in relation to a Relevant Default 

which falls latest in time (or, if such day is not a business day, the next 

succeeding business day);

(b) On each business day, the Clearing House will determine a "Combined Loss

Value" in respect of each of the 30 preceding business days. The Combined 

Loss Value in respect of a particular day will be the sum of the largest and the 

second largest stress-testing loss incurred on that day in relation to ForexClear 

Business (for a given scenario);

(c) the "ForexClear Fund Amount" shall equal the sum of (i) the "ForexClear 

Non-Deliverable Sub-Fund Amount" (ii) the "ForexClear Deliverable SubFund Amount" and (iii) the “ForexClear Tolerance Amount”. The 

ForexClear Non-Deliverable Sub-Fund Amount and ForexClear Deliverable

Sub-Fund Amount shall be calculated in United States dollars ("USD") and, for 
 

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a given ForexClear Determination Date, shall be (i) in relation to the ForexClear 

Non-Deliverable Sub-Fund Amount, the largest of the 30 Combined Loss 

Values in respect of ForexClear Non-Deliverable Contracts, and (ii) in relation 

to the ForexClear Deliverable Sub-Fund Amount, the largest of the 30 

Combined Loss Values in respect of ForexClear Contracts other than 

ForexClear Non-Deliverable Contracts, each as determined under paragraph (b)

above plus 10 per cent. Each of the ForexClear Non-Deliverable Sub-Fund 

Amount and ForexClear Deliverable Sub-Fund Amount shall not be less than 

USD 70 million (the "ForexClear Fund Floor"). The “ForexClear Tolerance 

Amount” for a given ForexClear Determination Date shall equal the aggregate 

amount of ForexClear Tolerance provided by the Clearing House to all 

participating FXCCMs to facilitate the registration of ForexClear Contracts, 

provided that the ForexClear Tolerance Amount shall not exceed USD 500 

million;

(d) the "ForexClear Margin Weight" means the "ForexClear Non-Deliverable

Margin Weight" or the "ForexClear Deliverable Margin Weight", as 

applicable.

(i) an FXCCM's “ForexClear Non-Deliverable Margin Weight” shall be 

calculated by dividing (A) the Uncovered Stress Loss Metric associated 

with such FXCCM’s ForexClear Non-Deliverable Contracts by (B) the 

total Uncovered Stress Loss Metric applied to all Non-Defaulting 

FXCCMs with respect to their ForexClear Non-Deliverable Contracts, 

in each case where the ForexClear Non-Deliverable Contracts are (I) 

entered into on the FXCCM’s own behalf or with respect to a ForexClear 

Clearing Client or an FCM Client and (II) open and outstanding during 

the reference period set forth in paragraph (b) above;

(ii) an FXCCM's “ForexClear Deliverable Margin Weight” shall be 

calculated by dividing (A) the Uncovered Stress Loss Metric associated 

with all of such FXCCM’s ForexClear Contracts other than ForexClear 

Non-Deliverable Contracts by (B) the total Uncovered Stress Loss 

Metric applied to all Non-Defaulting FXCCMs with respect to their 

ForexClear Contracts that are not ForexClear Non-Deliverable

Contracts, in each case where the ForexClear Contracts are (I) entered 

into on the FXCCM’s own behalf or with respect to a ForexClear 

Clearing Client or an FCM Client and (II) open and outstanding during 

the reference period set forth in paragraph (b) above;

(iii) an FXCCM’s “Uncovered Stress Loss Metric,” as determined in 

accordance with sub-paragraphs (i) and/or (ii) above, is a risk metric 

used by the Clearing House in the calculation of the FXCCM’s 

ForexClear Contribution and shall be determined by the Clearing House 

(and notified to each FXCCM) from time to time by, inter alia, deducting 

the amount of eligible margin held by the Clearing House with respect 

to the relevant ForexClear Contracts from the stress loss associated with 

such ForexClear Contracts; provided that the Clearing House may, in 

determining the Uncovered Stress Loss Metric of an FXCCM, take into 

account, inter alia, the number of alternative FXCCMs that clear 

ForexClear Contracts with respect to that FXCCM’s ForexClear 
 

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Clearing Clients or FCM Clients; for the avoidance of doubt, the largest 

and second largest stress-testing losses for purposes of determining a 

Combined Loss Value in accordance with paragraph (b) above are not 

the applicable Uncovered Stress Loss Metrics of the relevant FXCCMs 

for the purposes of this sub-paragraph (iii);

(iv) the provisions of this sub-paragraph (d) shall not apply to New Members 

and, for the avoidance of doubt, New Members shall not constitute NonDefaulting FXCCMs for the purposes of limb (B) of sub-paragraphs (i) 

and (ii);

(e) each FXCCM’s ForexClear Contribution comprises the "ForexClear NonDeliverable Contribution," the "ForexClear Deliverable Contribution" and 

its ForexClear Tolerance, as applicable. The FXCCM's ForexClear NonDeliverable Contribution shall be calculated by multiplying the ForexClear 

Non-Deliverable Sub-Fund Amount by the FXCCM's ForexClear NonDeliverable Margin Weight, and shall be no less than the Minimum ForexClear 

Contribution. The FXCCM's ForexClear Deliverable Contribution shall be 

calculated by multiplying the ForexClear Deliverable Sub-Fund Amount by the 

FXCCM's ForexClear Deliverable Margin Weight, and shall be no less than the

Minimum ForexClear Contribution; and

(f) subject to a suspension pursuant to paragraph (a) above, the Clearing House 

may recalculate the ForexClear Fund Amount on any business day if the 

Combined Loss Value differs by more than 25 per cent. from the figure on 

which the previous ForexClear Contribution determination was based.

F3. For the purposes of the calculations under Rule F2:

(a) references to "ForexClear Clearing Members" or "FXCCMs" do not include 

references to Defaulting FXCCMs (apart from any Defaulting FXCCM in 

respect of which the Clearing House permits the application of Rule F2) or 

persons which were formerly FXCCMs but are not FXCCMs at the ForexClear 

Determination Date at which the relevant determination is made;

(b) contributions shall be rounded upwards, if not already such a multiple, to the 

next integral multiple of one thousand US dollars;

(c) no account shall be taken, in calculating initial margin or ForexClear Margin 

Weight under Rule F2 of any offsets applied in calculating initial margin 

obligations imposed on an FXCCM in respect of ForexClear Contracts, which 

may otherwise be permissible under the Procedures or other arrangements 

applicable;

(d) provided that the FXCCM is not a Defaulter, the amount of its ForexClear 

Contribution shall be calculated in accordance with and subject to Rule F2. The 

provisions of Rule F1, Rule F2, this Rule F3 and Rule F5 do not apply to a 

Defaulting FXCCM, unless the Clearing House so permits in any particular case; 

and
 

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(e) if (i) an FXCCM (other than an FCM Clearing Member) notifies the Clearing 

House on the ForexClear Default Management Process Completion Date or the 

business day occurring immediately after such date that it wishes to resign from 

the ForexClear Service, (ii) the ForexClear AET Requirement in respect of such 

proposed resignation has been satisfied by the ForexClear Determination Date 

occurring immediately after such ForexClear Default Management Process 

Completion Date, (iii) the FXCCM is not a Defaulter, and (iv) no Default has 

occurred from and including the ForexClear Determination Date referred to in 

Rule F3(e)(ii) to and including the fourth business day occurring after such 

ForexClear Determination Date (“ForexClear Contribution Payment Date”), 

then the FXCCM shall cease to be an FXCCM on and from such ForexClear 

Contribution Payment Date and the Clearing House shall repay the ForexClear 

Contribution that it holds for such FXCCM (to the extent it has not been applied 

under these Default Rules) in accordance with the Procedures and the FXCCM 

shall not be obliged to make any payment to the Clearing House under Rule 

F5(c). If an FXCCM notifies the Clearing House in accordance with Rule 

F3(e)(i), but the requirements under Rules F3(e)(ii), (iii) and/or (iv) are not 

satisfied, then such FXCCM will cease to be a Resigning Member in respect of 

the ForexClear Service.

F4. Without prejudice to any other requirements which the Clearing House may impose, 

the amount of the ForexClear Contribution of a New Member shall be the sum of (a) 

the Minimum ForexClear Contribution, (b) any supplementary sum determined by the 

Clearing House in its discretion and notified to the New Member and (c) as applicable, 

its ForexClear Tolerance. The Clearing House shall determine the amount of such 

supplementary sum by reference to the actual or expected level of clearing activity of 

the New Member.

F5. Upon determination of the amount of a ForexClear Contribution in accordance with 

Rule F2:

(a) if the amount of the ForexClear Contribution of an FXCCM immediately before 

close of businessthe time at which the Clearing House determines the FXCCM’s 

ForexClear Contribution under Rule F2 on the relevant ForexClear 

Determination Date exceeds the amount of the FXCCM's ForexClear 

Contribution as so determined under Rule F2 as at close of business on that day, 

the excess shall be paid by the Clearing House to such FXCCM in USD in 

accordance with the Procedures;

(b) if the amount of the ForexClear Contribution of an FXCCM immediately before 

close of business the time at which the Clearing House determines the 

FXCCM’s ForexClear Contribution under Rule F2 on the relevant ForexClear 

Determination Date is the same as the amount of the FXCCM's ForexClear 

Contribution as so determined under Rule F2 as at close of business on that day, 

no sum shall then be payable by or to such FXCCM in respect of its Contribution; 

and

(c) if the amount of the ForexClear Contribution of an FXCCM immediately before 

the time at which the Clearing House determines the FXCCM’s ForexClear 

Contribution under Rule F2 close of business on the relevant ForexClear 

Determination Date is less than the amount of the FXCCM's ForexClear 
 

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Contribution as so determined under Rule F2 as at close of business on that day, 

the shortfall shall be paid by such FXCCM to the Clearing House in USD in 

accordance with the Procedures.

The provisions of this Rule do not apply to a Defaulting FXCCM, unless the 

Clearing House so permits in any particular case.

F6. On any day, interest shall accrue on the amount of each ForexClear Contribution held 

by the Clearing House, to the extent that it has not been applied under Rule 19 or Rule 

21 of the Default Rules, at such rate as determined by the Clearing House from time to 

time in light of market conditions and notified by the Clearing House to FXCCMs and 

in such manner as provided by the Procedures, provided that the rate of interest for any 

particular day shall be based on a short-term interest rate of the ForexClear Contribution 

currency, as applicable, plus or minus a spread. Interest shall be payable in arrears and 

shall be paid on the date or dates specified by the Procedures. In these Default Rules, 

any interest which has accrued under this Rule shall not be regarded as being part of 

the ForexClear Contribution.

F7.

(a) After a Default, unless and until the Clearing House has repaid a Defaulter's 

ForexClear Contribution (or the remaining part thereof, as applicable), the 

ForexClear Fund Amount shall be treated as having been reduced by the amount 

of the Defaulter's ForexClear Contribution (if any), regardless of whether the 

Clearing House has applied part or all of that ForexClear Contribution under the 

Default Rules.

(b) Where, after a Default, the Clearing House has applied part or all of the 

ForexClear Contributions of the Non-Defaulting FXCCMs under Rule 21 of the 

Default Rules, the ForexClear Fund Amount shall be reduced forthwith by the 

deduction of (i) the amount of the Defaulter's ForexClear Contribution (if any) 

in accordance with paragraph (a) of this Rule F7; and (ii) the aggregate amount 

of the ForexClear Contributions or parts of ForexClear Contributions of the 

Non-Defaulting FXCCMs so applied, and the amount of the ForexClear 

Contribution that each Non-Defaulting FXCCM must maintain with the 

Clearing House shall be reduced by the amount of its ForexClear Contribution 

which has been so applied, in each case, until the next ForexClear Determination 

Date and subject to (where applicable) the requirement under paragraph (c) of 

this Rule F7 and Rule F8. 

(c) Following the completion of a ForexClear Default Management Process, the 

Clearing House will deliver a notice to the FXCCMs confirming that the 

relevant ForexClear Default Management Process Completion Date has 

occurred. If, following the issuance of such notice, the value of the ForexClear 

Fund Amount determined in accordance with paragraph (b) of this Rule F7 is 

less than the ForexClear Fund Floor, the Clearing House may notify each NonDefaulting FXCCM that it is required to make a Supplementary Contribution, 

based on the proportion that the value of its ForexClear Contribution as at the 

last ForexClear Determination Date prior to the date when the relevant Default 

occurred bears to the value of the aggregate ForexClear Contributions of all 

Non-Defaulting FXCCMs as at such date, so as to reinstate the ForexClear Fund 
 

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Distribution Proposal, regardless of whether the trigger for such 

Revised Loss Distribution Proposal is (A) or (B) above.

(i) Subject to (iv) below, the Clearing House shall be required to make a 

Revised Loss Distribution Proposal where either (y) it makes the 

determination pursuant to (A) above on the Loss Distribution Cut-Off Date 

or (z) : a Loss Distribution Trigger Event has occurred, in each case during 

a Loss Distribution Period. 

(ii) If (x) more than 50% of the Non-Defaulting FXCCMs participate in a vote 

concerning the Revised Loss Distribution Proposal and (y) the Requisite 

Non-Defaulting FXCCMs vote in favour of the Revised Loss Distribution 

Proposal, the Loss Distribution Cut-Off Date shall be extended and the Loss 

Distribution Trigger Amount shall be increased for each Non-Defaulting 

FXCCM in accordance with the Revised Loss Distribution Proposal and

shall be applicable for the remainder of the relevant Loss Distribution 

Period or until further adjusted pursuant to this paragraph. If more than 50% 

of Non-Defaulting FXCCMs do not participate in such vote and/or if the 

Requisite Non-Defaulting FXCCMs do not vote in favour of the Revised 

Loss Distribution Proposal, the Loss Distribution Period shall not be 

extended and the Loss Distribution Trigger Amount shall not be increased 

in accordance with the Revised Loss Distribution Proposal. The Loss 

Distribution Cut-Off Date and Loss Distribution Trigger Amount may only

be adjusted up to five times in respect of the Loss Distribution Period in 

accordance with the processes set forth in this paragraph.

(iii) The Clearing House shall publish the terms of the voting process for the 

purposes of this paragraph (d) on or before the business day on which 

such vote is to be held.

(g) No Rebate

The payment to the Clearing House by any FXCCM of any Cash Gainer 

Payment Currency Adjustment to Cash Payment shall be final and shall not give 

rise to any obligation of the Clearing House to repay any such amount or to pay 

any interest thereon.

F10. Where, after the Default of one or more FXCCMs, the Clearing House determines in 

its sole discretion that, notwithstanding the availability of any resources remaining 

under Rules 15(a) to 15(h) of the Default Rules and the availability of the ForexClear 

Loss Distribution Process in accordance with the terms of Rule F9, it is clear that the 

Clearing House does not have sufficient resources to meet its obligations and liabilities 

arising in respect of those ForexClear Contracts to which it is party with NonDefaulting FXCCMs, the Clearing House will by notice in writing (a "ForexClear 

Voluntary Payment Notice"): (i) inform all Non-Defaulting FXCCMs that it has 

insufficient resources and that it is likely to invoke Rule F11; and (ii) invite each NonDefaulting FXCCM to make a payment of funds (a "ForexClear Voluntary 

Payment"), in accordance with Rule (15h) of the Default Rules, to make up for the 

relevant shortfall.
 

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ForexClear Voluntary Payments will be made on the following terms: 

(a) no FXCCM shall be obliged to make a ForexClear Voluntary Payment;

(b) any ForexClear Voluntary Payment will be made by an FXCCM by the close of 

business on the business day after receipt of the relevant ForexClear Voluntary 

Payment Notice;

(c) no ForexClear Voluntary Payment may be withdrawn once made; and

(d) the Clearing House shall have full discretion whether or not to accept a 

particular ForexClear Voluntary Payment.

Any failure by the Clearing House to deliver a ForexClear Voluntary Payment Notice 

pursuant to this Rule F10 will not invalidate any action taken by the Clearing House 

pursuant to Rule F11 nor give rise to any liability whatsoever on the part of the Clearing 

House.

Any ForexClear Voluntary Payments remaining unused at the time of the expiry of the 

relevant ForexClear Default Period will be accounted for rateably by the Clearing 

House as if they were amounts paid in respect of the ForexClear Contributions by those 

FXCCMs from whom ForexClear Voluntary Payments were accepted.

F11. Where, following the process for inviting ForexClear Voluntary Payments in 

accordance with Rule F10, the Clearing House makes a determination (an "Insufficient 

Resources Determination") that it is clear that the Clearing House does not have 

sufficient resources to meet its obligations and liabilities arising in respect of those 

ForexClear Contracts to which it is party with Non-Defaulting FXCCMs, the following 

provisions shall have effect:

(a) All outstanding ForexClear Contracts shall be closed out as of the clearing day 

following the date the Insufficient Resources Determination was made and any 

further obligations to make any payments under or in respect of such ForexClear 

Contracts shall cease. The closing prices used shall be mid prices calculated by 

the Clearing House in accordance with the methodology used by it to carry out 

end of day margin runs in respect of the outstanding ForexClear Contracts. 

Where such data is not available to the Clearing House, the closing price shall 

be the last price used by the Clearing House to calculate the variation margin or 

Variation Settlement requirement for the position to be closed out.

(b) On the basis of the close out values established for each outstanding ForexClear 

Contract, an account shall be taken (as at the time of close out) of what is due 

in respect of each FXCCM, from that FXCCM to the Clearing House and from 

the Clearing House to that FXCCM, as well as all other amounts owing under 

or in respect of ForexClear Contracts and any other amounts that may be due in 

respect of the ForexClear Service (including for these purposes, a proportionate 

share of any amounts owed generally to or from the Clearing House), and the 

sums due from the FXCCM shall be set off against the sums due from the 

Clearing House and only the balance of the account shall be payable. For the 

avoidance of doubt, amounts in respect of ForexClear Contracts shall include, 

but shall not be limited to, returns of cash Collateral provided in respect of 
 

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SCHEDULE 6

RATES SERVICE DEFAULT FUND SUPPLEMENT

CS1. Rates Service Fund Amount

(a) The Rates Service Default Fund is denominated in GBP, and all amounts 

referable to it shall be denominated, calculated, called and payable in GBP.

(b) On each business day, the Clearing House will determine a "Combined Loss 

Value" in respect of each of the 60 preceding business days. The Combined 

Loss Value for a particular business day will be the sum of: (1) the largest and 

the second largest daily stress-testing losses incurred during the preceding 60 

business days in relation to the SwapClear Contracts and Eligible Listed Interest 

Rates Contracts of a Rates Service Clearing Member (the "Combined Loss 

Value – Limb (1)"); plus (2) the largest and the second largest daily stresstesting losses incurred during the preceding 60 business days in relation to the 

Non-Eligible Listed Interest Rates Contracts of a Rates Service Clearing 

Member (the "Combined Loss Value - Limb (2)"), in respect of a given 

scenario.

(c) The "Rates Service Fund Amount" shall be determined by the Clearing House 

at the close of business on the first business day of each calendar month and at 

the time on such day determined by the Clearing House, and otherwise in 

accordance with paragraph (d) below (each a "Rates Service Determination 

Date") and shall be the sum of: (1) the largest of the 60 Combined Loss Values 

determined under Rule CS1(b); plus (2) an amount equal to 10 per cent of the 

value referred to in (1); plus (3) the SwapClear Tolerance Amount. The Rates 

Service Fund Amount shall not be less than £1 billion pounds (the "Rates 

Service Fund Floor") and shall not be more than £6 billion pounds.

Notwithstanding the foregoing, following a Default, any determinations on a 

Rates Service Determination Date and any such Rates Service Determination 

Date which might otherwise have occurred under this Rule CS1 shall be 

suspended for the duration of the period (the "Rates Service Default Period") 

commencing on the date of such Default and terminating on the later to occur 

of the following times:

(i) the time, as determined by the Clearing House, on the day falling 30 

calendar days after the Rates Service Default Management Process 

Completion Date in relation to such Default (or, if such day is not a 

business day, the next succeeding business day); and

(ii) where, prior to the end of the period referred to in sub-paragraph (i) 

above (or such period as has already been extended pursuant to this subparagraph (ii)) one or more subsequent Defaults (each a "Relevant 

Default") occur, the time, as determined by the Clearing House, on the 

day falling 30 calendar days after the Rates Service Default Management 

Process Completion Date in relation to a Relevant Default which falls 

latest in time (or, if such day is not a business day, the next succeeding 

business day).
 

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(c)(d) The Clearing House may recalculate the Rates Service Fund Amount on any 

business day if the largest of the 60 Combined Loss Values determined under 

paragraph (b) above on that day differs by more than 25 per cent. from the 

Combined Loss Value on which the previous Rates Service Contribution 

determination was based and, on such business day, the Clearing House shall 

be entitled to require those Clearing Members whose portfolios have caused the 

increase in the Combined Loss Value to pay an additional amount in respect of 

their Contributions.

CS2. Rates Service Fund Amount Allocation

On each Rates Service Determination Date, the Clearing House shall calculate:

(a) The "SwapClear Tolerance Amount" which shall be the value of that portion 

of the Rates Service Fund Amount which relates to those default fund resources 

which the Clearing House determines as being required in relation to SwapClear 

Tolerance.

(b) The "Non-Tolerance Amount" which shall be the sum of: (1) the Combined 

Loss Value - Limb (1); plus (2) an amount equal to 10 per cent of the Combined 

Loss Value - Limb (1).

(c) The "SwapClear Combined Loss Value" in respect of each of the 60 preceding 

business days. The SwapClear Combined Loss Value in respect of a particular 

day will be the sum of the largest and the second largest stress-testing loss 

incurred on that day in relation to SwapClear Business (which includes, for the 

avoidance of doubt, Portfolio Margined Contracts) (for a given scenario).

(d) The "Listed Rate Combined Loss Value" in respect of each of the 60 

preceding business days. The Listed Interest Rates Combined Loss Value in 

respect of a particular day will be the sum of the STLIEOMs for the Listed 

Interest Rates Clearing Members which have the largest and the second largest 

STLIEOM on that day. For this purpose, the "STLIEOM" means, in respect of 

each Listed Interest Rates Clearing Member and in respect of any day, the 

stress-tested loss in excess of initial margin (determined for a given scenario 

determined by the Clearing House) which could be incurred by the Clearing 

House in respect of the Eligible Listed Interest Rates Contracts (excluding, for 

the avoidance of doubt, any Portfolio Margined Contracts) of a Listed Interest 

Rates Clearing Member if that Listed Interest Rates Clearing Member became 

a Defaulter on that day.

(e) The "Total Combined Loss Value" which shall be the sum of the SwapClear 

Combined Loss Value and the Listed Rate Combined Loss Value.

(f) The "Rates Service Fund Amount - SwapClear" which shall be calculated as 

follows :

(g) The "Rates Service Fund Amount - Listed Interest Rates" which shall be the 

greater of:
 

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(i) the "Weighted Rates Service Fund Amount", which shall be the 

amount calculated as follows:

; and

(ii) or the Default Fund Floor (as defined in Rule L2).

(h) The "SwapClear Tolerance" which shall be the aggregate amount of temporary 

initial margin forbearance provided by the Clearing House to SwapClear 

Clearing Members to enable registration of SwapClear Contracts.

(i) In the event that the Rates Service Fund Amount - Listed Interest Rates equals 

the Default Fund Floor, then the Rates Service Fund Amount - SwapClear shall 

be reduced by the amount by which the Default Fund Floor is greater than the 

Weighted Rates Service Fund Amount.

CS3. Contributions to the Rates Service Fund

A Rates Service Clearing Member's Contributions to the Rates Service Default Fund 

shall be calculated in accordance with Part A of this Rates Service Fund Supplement 

(in respect of SwapClear Contributions) and Part B of this Rates Service Fund 

Supplement (in respect of Listed Interest Rates Contributions) (as applicable). 

CS4. Rates Service Loss Distribution Process

Where, after a Default, the Clearing House determines that the Rates Service Excess 

Loss resulting from the Default will exceed the amounts to be applied to it under Rules 

15(a) to 15(h) of the Default Rules, the Clearing House may implement the process (the 

"Rates Service Loss Distribution Process") described in this Rule CS4.

(a)(b) For the purposes of this Rule CS4 and for Rule CS5 the following definitions 

will apply:

"Actual Base Currency Gains, Losses and Realised Cash Flows by Cash 

Payment" means, in respect of each Cash Payment and any business day, the 

sum of the Pre Haircut Base Currency Gains, Losses and Realised Cash Flows 

by Cash Payment and any Cash Gainer Base Currency Adjustment to Cash 

Payment or Cash Loser Base Currency Adjustment to Cash Payment.

"Auction Portfolio" has the meaning assigned to it in the Rates Service DMP 

Annex.

"Available Resources" means, in respect of any Loss Distribution Period, the 

amounts available to the Clearing House for application in meeting any loss 

suffered or incurred by the Clearing House in accordance with Rules 15(a) to 

15(h) of the Default Rules as at the relevant Last Call Prior to Default.

"Cash Gain" means, in respect of any Cash Gainer and any Loss Distribution 

Day, the amount of positive Cumulative Pre Haircut Base Currency Gains 
 

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(v) The Clearing House shall publish the terms of the voting process for the 

purposes of this paragraph (d) on or before the business day on which 

such vote is to be held.

(e)(f) No Rebate

The payment to the Clearing House by any Rates Service Clearing Member of 

any Cash Gainer Payment Currency Adjustment to Cash Payment shall be final 

and shall not give rise to any obligation of the Clearing House to repay any such 

amount or to pay any interest thereon.

CS5. Voluntary Payments

Where, after the Default of one or more Rates Service Clearing Members, the Clearing 

House determines in is sole discretion that, notwithstanding the availability of any 

resources remaining under Rules 15(a) to 15(h) of the Default Rules and the availability 

of the Rates Service Loss Distribution Process in accordance with the terms of Rule

CS4, it is clear that the Clearing House does not have sufficient resources to meet its 

obligations and liabilities arising in respect of those Rates Service Contracts to which 

it is party with Non-Defaulting Rates Service Clearing Members, the Clearing House 

will by notice in writing (a "Rates Service Voluntary Payment Notice"): (i) inform 

all Non-Defaulting Rates Service Clearing Members that it has insufficient resources 

and that it is likely to invoke Rule CS5; and (ii) invite each Non-Defaulting Rates 

Service Clearing Member to make a payment of funds (a "Rates Service Voluntary 

Payment"), in accordance with Rule 15(h) of the Default Rules, to make up for the 

relevant shortfall.

Rates Service Voluntary Payments will be made on the following terms:

(a) no Rates Service Clearing Member shall be obliged to make a Rates Service 

Voluntary Payment;

(b) any Rates Service Voluntary Payment will be made by a Rates Service 

Clearing Member by the close of business on the business day after receipt 

of the relevant Rates Service Voluntary Payment Notice;

(c) no Rates Service Voluntary Payment may be withdrawn once made; and

(d) the Clearing House shall have full discretion as to whether or not to accept a 

particular Rates Service Voluntary Payment.

Any failure by the Clearing House to deliver a Rates Service Voluntary Payment Notice 

pursuant to this Rule CS5 will not invalidate any action taken by the Clearing House 

pursuant to Rule CS5 nor give rise to any liability whatsoever on the part of the Clearing 

House.

Any Rates Service Voluntary Payments remaining unused at the time of the expiry of 

the relevant Rates Service Default Period will be accounted for rateably by the Clearing 

House as if they were amounts paid in respect of the Rates Service Contributions of 

those Rates Service Clearing Members from which Rates Service Voluntary Payments 

were accepted.
 

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PART A

RATES SERVICE DEFAULT FUND SUPPLEMENT – SWAPCLEAR

S1. SwapClear Contributions to the Rates Service Fund 

Each SCM's SwapClear Contribution (other than any SwapClear Unfunded 

Contribution or any Supplementary Contribution) shall be determined by the Clearing 

House in accordance with the following provisions:

(a) determinations will be made by the Clearing House at the close of business on 

the first business day of each month and at the time on such day determined by 

the Clearing House, and otherwise in accordance with paragraph (n) below 

(each, a "SwapClear Determination Date") on the basis of information 

available as at close of business on the immediately preceding business day, and 

notified to such Member as soon as practicable after such determination in 

accordance with the Procedures. In addition, the amount payable in respect of 

the SwapClear Contribution of an SCM which is a New Member will be 

determined on the date that the relevant New Member joins the SwapClear 

Service. Notwithstanding the foregoing, following a Default, any 

determinations on a SwapClear Determination Date and any such SwapClear 

Determination Date which might otherwise have occurred under this Rule S1 

shall be suspended for the duration of the period (the "SwapClear Default 

Period") commencing on the date of such Default and terminating on the later 

to occur of the following datestimes:

(i) the time, as determined by the Clearing House, date which is the close 

of business on the day falling 30 calendar days after the Rates Service 

Default Management Process Completion Date in relation to such 

Default (or, if such day is not a business day, the next succeeding 

business day); and

(ii) where, prior to the end of the period referred to in sub-paragraph (i) 

above (or such period as has already been extended pursuant to this subparagraph (ii)) one or more subsequent Defaults (each a "Relevant 

Default") occur, the time, as determined by the Clearing House, date 

which is the close of business on the day falling 30 calendar days after 

the Rates Service Default Management Process Completion Date in 

relation to a Relevant Default which falls latest in time (or, if such day 

is not a business day, the next succeeding business day).

(b) the "SwapClear Tolerance Weight" of an SCM (other than an SCM which is 

a New Member) shall be calculated by dividing (x) the average SwapClear 

Tolerance Utilisation of the relevant SCM during the 20 business day period 

preceding the relevant SwapClear Determination Date in respect of all 

SwapClear Contracts to which such SCM is a party, which average shall be 

calculated by adding together the peak SwapClear Tolerance Utilisation of such 

SCM for each relevant business day and then dividing such sum by 20, provided 

that for SCMs where the peak SwapClear Tolerance Utilisation does not yet 

exist or is otherwise unavailable in respect of a business day the Clearing House 

shall estimate the relevant peak SwapClear Tolerance Utilisation by reference 
 

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to the actual or expected level of clearing activity of the relevant SCM in 

relation to SwapClear Contracts; by (y) the total of such average SwapClear 

Tolerance Utilisations of all Non-Defaulting SCMs other than SCMs which are 

New Members;

(c) the value of the "SwapClear Tolerance Contribution Amount" of: (x) an 

SCM (other than an SCM which is a New Member) shall be calculated by 

multiplying the SwapClear Tolerance Amount by the SCM's SwapClear 

Tolerance Weight, provided that (i) where that calculation results in a value 

which is less than or equal to £4 million pounds, or in the case of a New Member, 

the value of the relevant SCM's SwapClear Tolerance Contribution Amount 

shall be £4 million pounds; and (ii) where that calculation results in a value 

which is greater than or equal to £30 million pounds, the value of the relevant 

SCM's SwapClear Tolerance Contribution Amount shall be £30 million pounds; 

and (y) a New Member shall be £4 million pounds PROVIDED FURTHER that 

where, as a result of the adjustments in individual SCM SwapClear Tolerance 

Contribution Amounts as described in this paragraph, the aggregate of the 

SwapClear Tolerance Contribution Amounts is greater or less than the 

SwapClear Tolerance Amount the Clearing House will adjust SCMs individual 

SwapClear Tolerance Contribution Amounts such that the aggregate of the 

SwapClear Tolerance Contributions equals the SwapClear Tolerance Amount;

(d) the "SwapClear Non-Tolerance Amount" shall be the value of that portion of 

the Rates Service Fund Amount – SwapClear after deducting the SwapClear 

Tolerance Amount;

(e) the value of the “SwapClear Non-Tolerance Contribution Amount” for a 

given SCM (other than an SCM that is a New Member) shall be calculated by

multiplying the SwapClear Non-Tolerance Amount by the SCM’s SwapClear 

Non-Tolerance Weight;

(f) the “SwapClear Non-Tolerance Weight” of an SCM shall be calculated by 

dividing (i) the Uncovered Stress Loss associated with such SCM’s SwapClear 

Contracts by (ii) the total Uncovered Stress Loss applied to all Non-Defaulting 

SCMs with respect to their SwapClear Contracts, in each case where the 

SwapClear Contracts are (A) entered into on the SCM’s own behalf or with 

respect to a SwapClear Clearing Client or an FCM Client and (B) open and 

outstanding during the 20 business day period preceding the relevant SwapClear 

Determination Date. An SCM’s “Uncovered Stress Loss,” as determined in 

accordance with the foregoing, shall be determined by the Clearing House (and 

notified to each SCM) from time to time by, inter alia, deducting the amount of 

eligible margin held by the Clearing House with respect to the relevant 

SwapClear Contracts from the stress loss associated with such SwapClear 

Contracts, provided that the Clearing House may, in determining the 

Uncovered Stress Loss of an SCM, take into account, inter alia, the number of 

alternative SwapClear Clearing Members that clear SwapClear Contracts with 

respect to that SCM’s SwapClear Clearing Clients or FCM Clients. The 

provisions of this sub-paragraph (f) shall not apply to New Members and, for 

the avoidance of doubt, New Members shall not constitute Non-Defaulting 

SCMs for the purposes of limb (ii) of this sub-paragraph;
 

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(g) the “SwapClear Contribution” of: (x) an SCM (other than an SCM that is a 

New Member) shall be the sum of (i) that SCM’s SwapClear Non-Tolerance 

Contribution Amount adjusted, where applicable, in accordance with paragraph 

(h) or (m) below, and (ii) that SCM’s Tolerance Contribution Amount; and (y) 

an SCM that is a New Member shall be calculated in accordance with S3;

(h) if an SCM's SwapClear Non-Tolerance Contribution Amount (calculated in 

accordance with paragraph (e) above) is below the Minimum Non-Tolerance 

SwapClear Contribution for the time being, the SCM's SwapClear NonTolerance Contribution Amount shall be adjusted so as to equal the Minimum 

Non-Tolerance SwapClear Contribution; provided that where, as a result of the 

adjustments in individual SCM SwapClear Non-Tolerance Contribution 

Amounts as described in this paragraph, the aggregate of the SwapClear NonTolerance Contribution Amounts is greater than the SwapClear Non-Tolerance 

Amount, the Clearing House will adjust individual SwapClear Non-Tolerance 

Contribution Amounts such that the aggregate of the SwapClear Non-Tolerance 

Contributions equals the SwapClear Non-Tolerance Amount;

(i) the "SwapClear Actual Total" shall be calculated by adding together (i) the 

amount which is the product of the Minimum Non-Tolerance SwapClear 

Contribution (as defined in the General Regulations) and the number of 

Minimum SwapClear Contribution Members; and (ii) the aggregate SwapClear 

Non-Tolerance Contribution Amounts (calculated in accordance with paragraph 

(e) above) of those SCMs which are not Minimum SwapClear Contribution 

Members; (iii) the aggregate SwapClear Tolerance Contribution Amounts of all 

SCMs other than SCMs which are New Members; and (iv) the aggregate 

SwapClear Contributions of all SCMs which are New Members;

(j) where the SwapClear Actual Total is greater than the Rates Service Fund 

Amount - SwapClear, the "SwapClear Excess" shall be the arithmetical 

difference between the SwapClear Actual Total and the Rates Service Fund 

Amount - SwapClear;

(k) [reserved];

(l) for each SCM other than a Minimum SwapClear Contribution Member or a 

New Member, the SCM's "SwapClear Discount" (if any) shall be such SCM's 

pro rata share of the SwapClear Excess calculated as the proportion of such 

SCM's SwapClear Non-Tolerance Contribution Amount relative to the 

aggregate SwapClear Non-Tolerance Contribution Amounts of all SCMs other 

than Minimum SwapClear Contribution Members and New Members;

(m) for each SCM other than a Minimum SwapClear Contribution Member or a 

New Member, the SCM's SwapClear Non-Tolerance Contribution Amount 

shall be adjusted by the subtraction of any SwapClear Discount applicable to 

the SCM; provided that if the application of any SwapClear Discount would 

result in a SwapClear Non-Tolerance Contribution Amount of an SCM that is 

less than the Minimum Non-Tolerance SwapClear Contribution, such SCM 

shall pay the Minimum Non-Tolerance SwapClear Contribution in respect of 

the SwapClear Non-Tolerance Contribution Amount applicable to it, 

notwithstanding that the arithmetical sum of SwapClear Contributions paid by 
 

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all SCMs may thereby exceed the Rates Service Fund Amount - SwapClear; 

and

(n) the Clearing House may recalculate the SwapClear Contributions due from each 

SCM on any business day if the largest of the 60 Combined Loss Values 

determined under Rule CS1 on that day differs by more than 25 per cent. from 

the Combined Loss Value on which the previous SwapClear Contribution 

determination was based and, on such business day, the Clearing House shall 

be entitled to require those SCMs whose portfolios have caused the increase in 

the Combined Loss Value to pay an additional amount in respect of their 

SwapClear Contributions.

S2. For the purposes of the calculations under Rule CS1:

(a) references to "SwapClear Clearing Members" or to "SCMs" do not include 

references to Defaulting SCMs (apart from any Defaulting SCM in respect of 

which the Clearing House permits the application of Rule CS1) or persons 

which were formerly SCMs but are not SCMs at the SwapClear Determination 

Date at which the relevant determination is made;

(b) contributions shall be rounded upwards, if not already such a multiple, to the 

next integral multiple of one thousand pounds, notwithstanding that the 

arithmetical sum of SwapClear Contributions paid by all SCMs may thereby 

exceed the SwapClear Fund Cap;

(c) no account shall be taken, in calculating initial margin or SwapClear NonTolerance Weight under Rule S1 of this part A of any offsets applied in 

calculating initial margin obligations imposed on an SCM in respect of 

SwapClear Contracts, which may otherwise be permissible under the 

Procedures or other arrangements applicable;

(d) provided that the SCM is not a Defaulter, the amount of its SwapClear 

Contribution shall be calculated in accordance with and subject to Rule S1 of 

this Part A. The provisions of Rule S1 of this Part A and this Rule do not apply 

to a Defaulting SCM, unless the Clearing House so permits in any particular 

case; and

(e) if (i) an SCM (other than an FCM Clearing Member) notifies the Clearing House 

on the Rates Service Default Management Process Completion Date or the 

business day occurring immediately after such date that it wishes to resign from 

the SwapClear Service, (ii) the SwapClear AET Requirement in respect of such 

proposed resignation has been satisfied by the SwapClear Determination Date 

occurring immediately after such Rates Service Default Management Process 

Completion Date, (iii) the SCM is not a Defaulter, and (iv) no Default has 

occurred from and including the SwapClear Determination Date referred to in 

Rule S2(e)(ii) to and including the fourth business day occurring after such 

SwapClear Determination Date (“SwapClear Contribution Payment Date”), 

then the SCM shall cease to be an SCM on and from such SwapClear 

Contribution Payment Date and the Clearing House shall repay the SwapClear 

Contribution that it holds for such SCM (to the extent it has not been applied 

under these Default Rules) in accordance with the Procedures and the SCM shall 
 

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not be obliged to make any payment to the Clearing House under Rule S4(c). If 

an SCM notifies the Clearing House in accordance with Rule S2(e)(i), but the 

requirements under Rules S2(e)(ii), (iii) and/or (iv) are not satisfied, then such 

SCM will cease to be a Resigning Member in respect of the SwapClear Service.

S3. Without prejudice to any other requirements which the Clearing House may impose, 

the amount of the SwapClear Contribution of a New Member shall be the sum of (a) 

the Minimum Non-Tolerance SwapClear Contribution; (b) the SwapClear Tolerance 

Contribution Amount; and (c) any supplementary sum determined by the Clearing 

House in its discretion and notified to the New Member. The Clearing House shall 

determine the amount of such supplementary sum by reference to the actual or expected 

level of clearing activity of the New Member.

S4. Upon determination of the amount of a SwapClear Contribution in accordance with 

Rule S1 of this Ppart A:

(a) if the amount of the SwapClear Contribution of an SCM immediately before 

close of businessthe time at which the Clearing House determines the SCM’s 

SwapClear Contribution under Rule S1 on the relevant SwapClear 

Determination Date exceeds the amount of the SCM's SwapClear Contribution 

as so determined under Rule S1 as at close of business on that day, the excess 

shall be paid by the Clearing House to such SCM in accordance with the 

Procedures;

(b) if the amount of the SwapClear Contribution of an SCM immediately before the 

time at which the Clearing House determines the SCM’s SwapClear 

Contribution under Rule S1 close of business on the relevant SwapClear 

Determination Date is the same as the amount of the SCM's SwapClear 

Contribution as so determined, no sum shall then be payable by or to such SCM 

in respect of its Contribution; and

(c) if the amount of the SwapClear Contribution of an SCM immediately before the 

time at which the Clearing House determines the SCM’s SwapClear 

Contribution under Rule S1 close of business on the relevant SwapClear 

Determination Date is less than the amount of the SCM's SwapClear 

Contribution as so determined, the shortfall shall be paid by such SCM to the 

Clearing House in accordance with the Procedures.

The provisions of this Rule do not apply to a Defaulting SCM, unless the Clearing 

House so permits in any particular case.

S5. On any day interest shall accrue on the amount of each SwapClear Contribution held 

by the Clearing House, to the extent that it has not been applied under Rules 19 or 21 

of the Default Rules, in such manner as provided by the Procedures and at a SONIAlinked rate determined, in light of market conditions at such time, by the Clearing House 

from time to time and notified by the Clearing House to SwapClear Clearing Members. 

Interest shall be payable in arrear and shall be paid on the date or dates specified by the 

Procedures. In these Default Rules any interest which has accrued under this Rule shall 

not be regarded as part of the SwapClear Contribution. For the avoidance of doubt, if 

the rate of interest payable on SwapClear Contributions is negative, interest shall be 

payable by SwapClear Clearing Members to the Clearing House.
 

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PART B

RATES SERVICE DEFAULT FUND SUPPLEMENT – LISTED INTEREST RATES

L1. In this Part B to the Rates Service Default Fund Supplement, subject to any contrary 

indication or where the context otherwise requires, references to:

the "Business" means the Listed Interest Rates Business of a Member

a "Contract" means a Listed Interest Rates Contract, a contract cleared pursuant to a 

Service and such other listed interest rate derivative contract as the Clearing House may 

from time to time specify by notice to the Members

a "Contribution" means a Listed Interest Rates Contribution

the “Default Fund Excess” means the amount by which the Total Fund Amount 

exceeds the greater of the Weighted Rates Service Fund Amount or the Default Fund 

Floor

the “Default Fund Floor” means the sum of the Minimum Contributions

a "Determination Date" means a Listed Interest Rates Determination Date

the "Excess Loss" means the Listed Interest Rates Excess Loss

the "Listed Interest Rates AET Requirement" means, in respect of a Member, that all of 

the Contracts (other than Portfolio Margined Contracts) in the name of such Member have 

been closed out or transferred to another Clearing Member

a "Member" means a Listed Interest Rates Clearing Member and a Clearing Member 

approved to clear a Specified Market

a "Minimum Contribution" means either (i) GBP 500,000 for a Listed Rates Clearing 

Member that is not a Joint Rates Service Clearing Member; or (ii) GBP 7,500,000 for 

a Joint Rates Service Clearing Member

a "Non-Defaulting Clearing Member" means a Member that is not a Defaulter under 

Rule 4 of the Default Rules

"Service" means the listed interest rate derivatives and listed interest rate derivativesrelated services provided by the Clearing House pursuant to its rules governing the 

clearing of the Specified Markets and includes the Listed Interest Rates Service

"Specified Markets" means the Rates Exchanges and any other markets from time to 

time specified by the Clearing House

“Total Fund Amount” means the sum of all Members’ Contributions

“Weighted Contributions Amount” means the sum of all Weighted Contributions
 

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“Weighted Contribution Reallocation Percentage” means for each Weighted

Contribution Member, the proportion of such Member’s Weighted Contribution to the

Weighed Contributions Amount

a “Weighted Member” means a Member that is required to pay a Weighted

Contribution pursuant to Rule L2 (c) below

and calculations of "End of Day Margin Weight", "Peak Intra-Day Margin Weight" 

and "Weight Factor" are carried out in accordance with this Part B of the Rates Service 

Default Supplement only.

Capitalised terms not otherwise defined in this Part B of the Rates Service Default Fund 

Supplement shall have the meanings assigned to them in the General Regulations or the 

Default Rules, as applicable.

L2. Listed Interest Rates Contributions to the Rates Service Fund

(a) The amount of each Member's Contribution shall be determined by the Clearing 

House at the close of business on the first business day of each month and at the 

time on such day determined by the Clearing House, and otherwise in 

accordance with paragraph (d) below (each, a “Listed Interest Rates 

Determination Date”) on the basis of information available as at close of 

business on the immediately preceding business day and notified to such 

Member as soon as practicable after such determination in accordance with the 

Procedures. However, determinations of Contributions under the methodology 

of this Rule are suspended for the duration of the period (the "Listed Interest 

Rates Default Period") commencing on the date of such Default and 

terminating on the later to occur of the following datestimes:

(i) the time, as determined by the Clearing House, date which is the close 

of business on the day falling 30 calendar days after the Rates Service 

Default Management Process Completion Date in relation to such 

Default (or, if such day is not a business day, the next succeeding 

business day); and

(ii) where, prior to the end of the period referred to in sub-paragraph (i) 

above (or such period as has already been extended pursuant to this subparagraph (ii)) one or more subsequent Defaults (each a "Relevant 

Default") occur, the time, as determined by the Clearing House, date 

which is the close of business on the day falling 30 calendar days after 

the Rates Service Default Management Process Completion Date in 

relation to a Relevant Default which falls latest in time (or, if such day 

is not a business day, the next succeeding business day).

(b) A Member's Contribution shall be determined with reference to business 

conducted by it on the Specified Markets in Contracts as follows:

(i) the Member’s "End of Day Margin Weight" shall be calculated by 

dividing the average daily initial margin obligation at the end of each 

day (as calculated under the Procedures or other arrangements 

applicable) which has applied to the Member during the Reference 
 

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Period in respect of all Contracts by the total of such average daily 

obligations applied to all Members other than Defaulters;

(ii) the Member's "Peak Intra-Day Margin Weight" shall be calculated by 

dividing the average maximum intra-day initial margin obligation 

arising at any point during each day during the Reference Period (as 

calculated under the Procedures or other arrangements applicable) 

which has applied to the Member in respect of all Contracts by the total 

of such average maximum intra-day obligations applied to all Members 

other than Defaulters;

(iii) the Member's "Weight Factor" shall be calculated by adding one-half 

of its End of Day Margin Weight to one-half of its Peak Intra-Day 

Margin Weight,

(c) The Member’s Contribution shall be the greater of:

(i) the amount arrived at by multiplying the Weighted Rates Service Fund 

Amount by the Member’s Weight Factor (the “Weighted 

Contribution”); and

(ii) the Member’s Minimum Contribution,

provided that, if a Default Fund Excess would arise pursuant to the foregoing, 

then the Clearing House shall recalculate each Weighted Member’s 

Contributions by reducing each Weighted Member’s Contribution by an amount 

equal to each Weighted Member’s Weighted Contribution Reallocation 

Percentage multiplied by the Default Fund Excess, provided further that, if

pursuant to the foregoing any Weighted Member’s Contribution would be less 

than their Minimum Contribution, then such Weighted Member’s Contribution 

shall be increased to the Minimum Contribution. Where such increase gives rise 

to a Default Fund Excess, then the Clearing House shall iteratively carry out the 

process described in this paragraph, with the each Weighted Contribution and 

the Total Fund Amount revised accordingly until the Total Fund Amount is 

equal to either the Default Fund Floor or the Weighted Rates Service Fund 

Amount (as applicable).

For the purposes of these calculations:

(i) "Reference Period" means the period of three calendar months 

immediately before the Determination Date;

(ii) references to "Members" do not include references to Defaulters (apart 

from any Defaulter in respect of which the Clearing House permits the 

application of this Rule) or persons which were formerly Members but 

are not Members on the date on which the relevant calculation is made;

(iii) Contributions shall be rounded upwards, if not already such a multiple, 

to the next integral multiple of one thousand pounds; and

(iv) no account shall be taken, in calculating initial margin or Margin Weight 

under this paragraph (b) of any offsets applied in calculating the initial 
 

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margin obligations imposed on Members in respect of Contracts, which 

may otherwise be permissible under the Procedures or other 

arrangements applicable.

(c) Without prejudice to any other requirements which the Clearing House may 

impose, the amount of the Contribution of a New Member shall be the sum of:

(i) the Minimum Contribution; and

(ii) any supplementary sum determined by the Clearing House in its 

discretion and notified to the New Member. The Clearing House shall 

determine the amount of such supplementary sum by reference to the 

actual or expected level of clearing activity of the New Member.

(d) Except to the extent that the cap specified in paragraph (c) of Rule L5 would be 

exceeded, the Clearing House may recalculate the Contributions due from 

certain Members on any business day other than one falling between the date of 

a Default and the later of the two dates set out in paragraph (a) of this Rule L2, 

in the following circumstances:

(i) if the Combined Loss Value determined under paragraph (b) of Rule 

CS1 on that day deviates by more than 25 per cent. upwards or 

downwards from the Combined Loss Value on which the previous 

Contribution determination was based, on such business day, the 

Clearing House shall be entitled to make an adjustment upwards or 

downwards to the Rates Service Fund Amount - Listed Interest Rates

commensurate with the deviation;

(ii) where the Risk Committee considers (for any reason) that a recalculation 

is warranted between Determination Dates.

L3. Interest on Listed Interest Rates Contributions

On each day interest shall accrue on the amount of each Contribution held by the 

Clearing House, to the extent that it has not been applied under Rule 26 or Rule 28 of 

the Default Rules, at such rate and in such manner as provided by the Procedures, 

provided that the rate of interest for any particular day shall be based on a marketrecognised benchmark rate plus or minus a spread. Such rate and such spread shall be 

determined, in light of market conditions at such time, by the Clearing House from time 

to time and notified by the Clearing House to Members. Interest on Contributions shall 

be payable in arrears and shall be paid on the date or dates specified by the Procedures. 

Any interest which has accrued under this Rule shall not be regarded as part of a 

Contribution.

L4. Payment of Listed Interest Rates Contributions

(a) Upon determination of the amount of a Contribution on a Determination Date:

(i) if the amount of the Contribution of a Member at close of business on 

the business day immediately before the time at which the Clearing

House determines the Member’s Contribution under Rule L2 on the

Determination Date exceeds the amount of the Member's Contribution 
 

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June May 20221

as so determined on the Determination Date, the excess shall be paid by 

the Clearing House to the Member in accordance with the Procedures;

(ii) if the amount of the Contribution of a Member at close of business on 

the business day immediately before the time at which the Clearing 

House determines the Member’s Contribution under Rule L2 on the

Determination Date is the same as the amount of the Member's 

Contribution as so determined on the Determination Date, no sum shall 

then be payable by or to the Member in respect of its Contribution; and

(iii) if the amount of the Contribution of a Member at close of business on 

the business day immediately before the time at which the Clearing 

House determines the Member’s Contribution under Rule L2 on the

Determination Date is less than the amount of the Member's 

Contribution as so determined on the Determination Date, the shortfall 

shall be paid by the Member to the Clearing House in accordance with

the Procedures.

(b) The provisions of this Rule do not apply to a Member which is a Defaulter, 

unless the Clearing House so requires in any particular case.

L5. Unfunded Contributions

(a) On any business day after the occurrence of a Default, if the Clearing House 

determines that by reason of reduction in accordance with Rule L6 of this Part 

B, (i) the Rates Service Fund Amount - Listed Interest Rates (minus any 

Contribution of the Defaulter) has been reduced by at least 25 per cent., or (ii) 

by the time of issue of a Default Management Completion Notice in relation to 

that Default the Rates Service Fund Amount - Listed Interest Rates will have 

been so reduced, the Clearing House may, by notice in writing (each an 

"Unfunded Contribution Notice"), require each Non-Defaulting Clearing 

Member to deposit and maintain an amount (each an "Unfunded 

Contribution") in accordance with this Rule.

(b) Unfunded Contributions will only be payable in circumstances where the 

relevant Unfunded Contribution Notice is delivered by the Clearing House to 

Members before a Default Management Completion Notice in relation to the 

relevant Default.

(c) The amount of an Unfunded Contribution payable by a Member in respect of a 

Default shall be payable pro rata by reference to the proportion which that 

Member's Contribution bears to the aggregate of Contributions of all NonDefaulting Clearing Members, and shall not exceed the value of the 

Contribution of that Member as calculated on the last Determination Date prior 

to the date when the relevant Default occurred.

(d) Following the payment of an Unfunded Contribution in accordance with 

paragraphs (a), (b) and (c) of Rule L6 of this Part B, the Clearing House may, 

by the delivery of one or more further Unfunded Contribution Notices, require 

each Non-Defaulting Clearing Member to pay one or more further Unfunded 

Contributions in respect of the same Default, provided that the total value of the