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

VIA CFTC Portal 

16 January 2024 

Mr Christopher J. Kirkpatrick 

Office of the Secretariat 

Commodity Futures Trading Commission 

1155 21st Street NW 

Three Lafayette Centre 

Washington DC 20581

CORPORATE

Re: Weekly Notification of Rule Amendments for the week ending 

January 12th, 2024 

Dear Mr. Kirkpatrick: 

Pursuant to Commodity Futures Trading Commission Regulation 40.6(d), LCH SA submits this 

Weekly Notification of the following CDS Clearing rule amendments made during the week ending 

January 12th, 2024: 

 Revised markup of Appendix A of the LCH SA self-certification filed on 9th November 2023 with respect 

to the LCH SA CDSClear Fee Grid for 2024.1

The CDSClear Fee Grid is available at: https://www.lch.com/services/cdsclear/fees. 

Should you have any questions regarding this submission, please contact me at the information 

below. 

Yours sincerely, 

Anne Favé 

Interim Chief Compliance Officer

+33 1 70 37 65 97

anne.fave@lseg.com

1

 The CFTC self-certification pertaining to the LCH SA CDSClear Fee Grid for 2024 is available here: Microsoft Word - 

LCHSA_CDSClear_Fees 2024_CFTC SelfCert_Draft_7 Nov 2023. 
 

 

CORPORATE

APPENDIX A

Proposed CDSClear Fee Grid effective from January 4, 2024*  

Self‐Clearing Tariff for Corporates, Financials and Sovereign Index and Single Name CDS

Membership Annual Fixed Fee Self‐Clearing/Variable Fees Details

EUR

Indices

EUR

Single

Names

US

Indices^

US

Single

Names^

General Member

Unlimited Tariff

€1,350,000 charged

1/12th for each

month the Member

Group is live (****)

No Variable Fee Covers all self‐clearing:

‐ Corporate and

Financials Index and

Single Name activity

‐ Sovereign Index

activityAll indices and

all non‐Sovereign

Single Names activity

for a Financial Group

of a Clearing Member  

General Member

Unlimited Tariff ‐ 

Single Name

Sovereign CDS

€180,000 charged

1/12th for each

month the Member

Group is live ( )

N/A

No

Variable

Fee

N/A

No

Variable

Fee

General Members –

Unlimited can choose

between the Fixed Fee

Tariff and the Variable

Fees for their Sovereign

Single Name CDS

clearing activity.

In‐year switches

permitted once per year

between the Fixed Fee

Tariff and the Variable

Fees one, and effective

from the start of the

next month following a

15 business days’ notice

period. The Fixed Fee

Tariff covers all self‐

clearing Sovereign

Single Name activity for

a Financial Group of a

Clearing Member.

Single Name

Sovereign CDS

Variable Fees

N/A

NA

€10

Per €

million

gross

notional

cleared

NA

$13

Per $

million

gross

notional

cleared

Full discount of Sovereign Single Names variable fees from 14‐Dec‐2022 to 14‐Dec‐2023

included

General Member

Introductory Tariff

€200,000 if the total

annual gross

notional cleared is

under €10billion

(** )€400,000 if the

total annual gross

notional cleared is

over €10billion

€3.5

Per

million

gross

notional

cleared

€10

Per

million

gross

notional

cleared

$4.5

Per

million

gross

notional

cleared

$13

Per

million

gross

notional

cleared

Covers all self‐clearing

Corporate, Financial

and Sovereign Index

and Single Names

activityThe fixed fee is

charged assuming more

than €10bn notional will

be cleared. Any amount
 

CORPORATE

(**)charged (**)

1/12th for each

month the Member

is live ( )

overdue (for GMs

having cleared less than

€10bn will be returned

to the Member in the

last bill of the year)

Full discount of variable fees for Sovereign Single Names from 14‐Dec‐2022 to 14‐Dec‐2023 included

Select Member €250,000 if the total

annual gross

notional cleared is

under €10billion

(** *)

€4

Per

million

gross

notional

cleared

€10

Per

million

gross

notional

cleared

$5

Per

million

gross

notional

cleared

$13

Per

million

gross

notional

cleared

Covers all self‐clearing

Corporate, Financials

and Sovereign Index

and Single Names

activity

The fixed fee is charged

at €450,000assuming

more than €10bn

notional will be cleared.  

Any amount overdue

(for SMs having cleared

less than €10bn and live

for the whole calendar

year (January 1st –

December 31st) will be

returned to the

Member in the last bill

of the year)

€450,000 if the total

annual gross

notional cleared is

strictly over

€10billion (***)

1/12th for each

month the Member

is live ( )

^ The fees will be calculated in USD and billed in EUR

Clearing Members can select General Membership (Unlimited and Introductory tariffs) or Select Membership.

New CDSClear Clearing Members will be billed the first fixed tariff installmentinstalment and variable fees starting the

month following their go‐livego live.

(1)Unlimited Tariff

 One twelfth of this fee (EUR 112 500) is charged each month

 General Members ‐ Unlimited can choose between the Fixed Fee Tariff and the Variable Fees for their

Sovereign Single Name CDS clearing activity. The Clearing House defaults General Members Unlimited to the

Annual Fixed Fee tariff. In‐year switch is permitted once per year between the Fixed Fee Tariff and the

Variable Fees one

(** ) Introductory Tariff

 An annual Membership and clearing fixed fee of €400,000 is charged by the Clearing House to cover all self‐

clearing Corporate, Financials and Sovereign Index and Single Names activity, if the total annual gross notional

cleared is over €10bn.

 One twelfth of this fee will be charged each month in addition to the variable fee


 

CORPORATE

1. An annual Membership and clearing fixed fee of EUR 200,000 is charged by the Clearing House to cover all self‐

clearing Corporate, Financials and Sovereign Index and Single Names activity, if the total annual gross notional

cleared is under €10bn.The annual EUR fixed fee is charged assuming that more than €10bn notional will be

cleared within the year. Any amount overdue (for General Members having cleared less than €10bn) will be

returned to the Member in the last bill of the year.



(***) Select Membership

 An annual Membership and clearing fixed fee of €450,000 is charged by the Clearing House to cover all self‐

clearing Corporate, Financials and Sovereign Index and Single Names activity if the total annual gross notional

cleared is over €10bn, charged 1/12th for each month the Member is live .

 An annual Membership and clearing fixed fee of EUR 250,000 is charged by the Clearing House to cover all self‐

clearing Corporate, Financials and Sovereign Index and Single Names activity iIf the total annual gross notional

cleared is under €10bn and the Member is live for the whole calendar year (January 1st – December 31st), the

Clearing House will provide a €200,000 rebate in the December bill.

 The annual EUR fixed fee is charged assuming that more than €10bn notional will be cleared within the year.

Any amount overdue (for Select Members having cleared less than €10bn) will be returned to the Member in

the last bill of the year.One twelfth of this fee will be charged each month in addition to the variable fee



(** **) Live Members

 A Member is considered live for the whole month regardless of the go‐live date or the membership

termination date within the considered month.

High Turnover Fee Plan

 Variable fee grid based on notional cleared to make clearing more attractive by decreasing the marginal

variable fee past predefined notional thresholds as detailed below.

 Credit index option trades are excluded from the Plan.

 CCP Switch trades and trades subject to credit notes as part of the CCP Switch Programme are excluded from

the Plan.

 This Plan is not subject to registration : Select Members automatically benefit from it.

 When a Select Member reaches a new threshold, the new variable fees apply from the following month.The

HTFP applies on the notional cleared in a calendar year but excludes from the determination of the total

cleared notional:

o the notional cleared for which a CCP Switch credit note was used to zero out the clearing fees  

o the notional cleared part of a CCP Switch that thus did not attract any clearing fees

o the trades not charged under the CCP Switch Programme

 Options are excluded from the High Turnover Fee plan

 The High Turnover Fee plan does not apply to General Members



Client Clearing Tariff for Corporate, Financials and Sovereign Index and Single Names CDS

Client Clearing Self‐Clearing / Variable Fees   

EUR Indices EUR Single

Names

USD

Indices

USD

Single

Names
 

CORPORATE

Variable Fees €4

Per million gross notional

cleared

€12

Per million

gross notional

cleared

$5

Per

million

gross

notional

cleared

$17

Per

million

gross

notional

cleared

Covers all self‐

clearing

Corporate,

Financials and

Sovereign Index

and Single

Names activity.

Intraday Trading Fee Plan Only the maximum

notional of buys and sells

per contract per day per

trading account will be

charged and where.

trade date is equal to

clearing date . (excludes

backloads and options

exercises).

Annual Account Fees

A yearly fee is charged for each ISA or OSA account as indicated in the table below.

ISA OSA Net OSA Gross LSOC

Fee €3,500 €3,500 €3,5001 $0

1.    CDSClear Account Charges

1

Gross OSA account charges:

 Main value segregated collateral account operated by the Clearing Member, only one per Clearing

Member. The main Gross OSA1 is charged at €0/€0.

 Each additional Gross OSA will be charged at €1,750 for each 6‐month period (comparison annual

cost €3,500)

Onboarding Fees

A €15k one‐off onboarding fee will be charged per Clearing Member applicable for new onboardings

starting in 2024 (application file received after January 1st, 2024).

Options Tariff  

General

Member

Introductory Tariff Can cover either one or multiple legal entities under conditions below

(no Affiliate coverage)

In‐year switches are not permitted

No EEP usage fees in 20232024
 

CORPORATE

    Clearing Fees $8   per million of option notional on US Indices

€8 per million of option notional on European

Indices

Floor on clearing fees,

charged 1/12th for each

month a Member

Group is live ( )

€115k Per calendar year (no pro‐rating) for 1 entity

€150k Per calendar year (no pro‐rating) for 2 entities of

the same Financial Group of a Clearing Member  

€190k Per calendar year (no pro‐rating) for 3 or more

entities of the same Financial Group of a Clearing

Member  

Unlimited Tariff Cover all Affiliates of a given Financial Group of a Clearing Member   

Cover all clearing fees for Credit Option House activity for both iTraxx®

and CDXTM.NA underlying index families  

In‐year switches are not permitted

No EEP usage fees in 20232024

Fixed fee (annual),

charged 1/12th for each

month a Member

Group is live (** **)

€375k Per calendar year (no pro‐rating)

Discounted Rates €115k if notionals cleared strictly above €15bn and the Member Group

is live for the whole calendar year (January 1st – December 31st), the

Clearing House will provide a €260k rebate in the December bill

New Market

Participant Tariff

Can apply to either one or multiple legal entities under conditions

below (no affiliate coverage)

Available for new joiners only (i.e., no entity of the same Financial

Group of a Clearing Member registered to the Option clearing service

under the Introductory or the Unlimited tariff in the last 3 calendar

years), for 1 calendar year, renewable once only

In‐year switches are not permitted

No EEP usage fees in 2024

€10 Per million notional on European Indices

$10 Per million notional on US Indices

Onboarding Fees

(both Introductory &

unlimited)

€30k 15k One‐off fee per Legal Entity under the

Introductory tariff or per Financial Group of a

Clearing Member under the Unlimited tariff.

Select Member Introductory Tariff Cover only one legal entity (no affiliate coverage)  
 

CORPORATE

Client Options Clearing Fees   $4 per million of option notional on US Indices  

    €4 per million of option notional on European

Indices  

    20232024: Full discount of client variable fees

( ) Live Members

 A Member is considered live for the whole month regardless of the go‐live date or the membership

termination date within the considered month.

In‐year switches are not permitted

No EEP usage fees in 20232024

Clearing Fees $10 per million of option notional on US Indices

€10   per million of option notional on European

Indices

Unlimited Tariff Cover all Affiliates of a given Financial Group of a Clearing Member  

Cover all clearing fees for Credit Option House activity for both iTraxx®

and CDXTM.NA underlying index families

In‐year switches are not permitted

No EEP usage fees in 20232024

Fixed fee (annual),  

charged 1/12th for each

month a Member is live

(** **)

€400k Per calendar year (no pro‐rating)

Discounted Rates €115k if notionals cleared strictly above €15bn and if the Member is

live for the whole calendar year (January 1st – December 31st), the

Clearing House will provide a €285k rebate in the December bill

Onboarding Fees (both

Introductory & unlimited

€30k 15k One‐off fee per Legal Entity under the

Introductory tariff or per Financial Group of a

Clearing Member under the Unlimited tariff  
 

CORPORATE

CCP switch Incentive Programme  CCP switch programme now available to market participants

and applicable to live CCP trades only from January 4, 2024,

onwards.

 Members and Clients can benefit from the programme by

closing out existing CDS transactions at their current CDS CCP

and clearing new transactions at LCH SA CDSClear.

 After registration, no variable fees will be charged for new

transactions cleared at LCH SA CDSClear under the Programme

during a 6‐month period and a credit note will be applied to

Members’ and Clients’ clearing accounts, covering the fees

associated with closing out positions at another CDS CCP. The

credit note will be applicable towards fees associated with

future transactions cleared at LCH SA CDSClear.

 The amount of the credit notes issued will be calculated using

the published variable fees at the Clients’ current CDS CCP.

 To benefit from CDSClear’s CCP switch programme, please

contact CDSClear@lch.com for more information.

High Turnover Fee plan

 Variable fee grid based on notional cleared to make clearing

more attractive by decreasing the marginal variable fee past

predefined notional thresholds as detailed below.

 Credit index option trades are excluded from the Plan.

 CCP Switch trades and trades subject to credit notes as part of

the CCP Switch Programme are excluded from the Plan.

 This Plan is not subject to registration : Select Members

automatically benefit from it.

 When a client reaches a new threshold, the new variable fees

apply from the following month

The HTFP applies on the notional cleared in a calendar year but

excludes from the determination of the total cleared notional:

‐ the notional cleared for which a CCP Switch credit note was

used to zero out the clearing fees  

‐ the notional cleared part of a CCP Switch that thus did n’ot

attract any clearing fees

‐ the trades not charged under the Intraday Trading Fee Plan

or the CCP Switch Programme

Options are excluded from the High Turnover Fee plan

The High Turnover Fee plan does not apply to General Members

Bucket 1 Standard fee for EUR Indices if the total annual gross notional

cleared of EUR Indices is strictly below €60billion

Standard fee for EUR Single Names if the total annual gross notional

cleared of EUR Single Names is strictly below €5billion

Standard fee for USD Indices if the total annual gross notional

cleared of USD Indices is strictly below $60billion

Standard fee for USD Single Names if the total annual gross notional

cleared of USD Single Names is strictly below $5billion
 

CORPORATE

Bucket 2 €3 per million of EUR Indices gross notional cleared if the total

annual gross notional cleared of EUR Indices is above €60billion and

strictly below €120billion

€9 per million of EUR Single Names gross notional cleared if the

total annual gross notional cleared of EUR Single Names is above

€5billion and strictly below €10billion

$4 per million of USD Indices gross notional cleared if the total

annual gross notional cleared of USD Indices is above $60billion and  

strictly below $120billion

$12 per million of USD Single Names gross notional cleared if the

total annual gross notional cleared of USD Single Names is above

$5billion and strictly below $10billion

Bucket 3 €2 per million of EUR Indices gross notional cleared if the total

annual gross notional cleared of EUR Indices is above €120billion

and strictly below €240billion

€6 per million of EUR Single Names gross notional cleared if the

total annual gross notional cleared of EUR Single Names is above

€10billion and strictly below €20billion

$3 per million of USD Indices gross notional cleared if the total

annual gross notional cleared of USD Indices is above $120billion

and strictly below $240billion

$7 per million of USD Single Names gross notional cleared if the

total annual gross notional cleared of USD Single Names is above

$10billion and strictly below $20billion

Bucket 4 €1 per million of EUR Indices gross notional cleared if the total

annual gross notional cleared of EUR Indices is above €240billion

and strictly below €480billion

€3 per million of EUR Single Names gross notional cleared if the

total annual gross notional cleared of EUR Single Names is above

€20billion and strictly below €40billion

$2 per million of USD Indices gross notional cleared if the total

annual gross notional cleared of USD Indices is above $240billion

and  strictly below $480billion

$2 per million of USD Single Names gross notional cleared if the

total annual gross notional cleared of USD Single Names is above

$20billion and strictly below $40billion

Bucket 5 Free of charge if the total annual EUR Indices gross notional cleared

of EUR Indices is above €480billion

Free of charge if the total annual EUR Single Names gross notional

cleared of EUR Single Names is above €40billion

Free of charge if the total annual USD Indices gross notional cleared

of USD Indices is above $480billion
 

CORPORATE

Free of charge if the total annual USD Single Names gross notional

cleared of USD Single Names is above $40billion

Affiliates clearing as Client (all products)

Affiliates

clearing as

Clients

Full rebate on variable clearing fees for the Affiliate of a Clearing Member onboarded as client of

such Clearing Member under the following conditions:

 The Clearing Member is a General Member under the Unlimited Tariff;

 The Affiliate is a legal entity part of the same Financial Group as the Clearing Member;

 The rebate applies to 1 trade account per affiliate and for all clearing services for which

the Clearing Member is under the Unlimited Tariff (i.e.i.e., Index & Single Names and/or

Options);

 The rebate cannot apply to any account opened for CCM Indirect Clients; and

A fixed annual account fee of €100,000 is charged per affiliate of a Clearing Member

onboarded as a client and benefiting from the full rebate on variable fees.

* Subject to any appropriate regulatory review and/or approval process duly completed

Fees for retrieving Archived Files

‐ Any request for archived production files should be addressed to the clearing member's account manager; an

estimate will be drawn up; it will need to be agreed and signed by the member before any further investigation.

‐ A. Archived Production file charges

‐ For illustration purposes, archived production file transfer requests are charged as follows *:

1st file retrieval € 500

2nd and each additional daily file € 250 each

‐ * For large requests (>50 files), the quote will depend on the size of request (Price on Request).

‐ B. Ancillary request charges

‐ All other ad‐hoc request related to investigation, analysis and data & analytics are charged as follows **:

Time spent on the request Fee

1/2 day € 500

1 day € 1000

Each additional 1/2 day € 500

** A more tailored estimate will be provided for each request received