PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA 

MANUAL
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2022 - 36 - June July 2022

PART B

PRODUCT ELIGIBILITY CRITERIA FOR REGISTRATION OF A SWAPCLEAR 

CONTRACT

1. SwapClear Transaction

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

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

the particulars being presented:

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

(d) below for a SwapClear Transaction; and

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

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

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

House.

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

1.2 SwapClear Product Eligibility Criteria for a SwapClear Transaction

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

set out in the table below:

Instrument Currency Leg 1 Leg 2 Variable 

Notional Maximum Tenor Notional Amount

Interest rate 

swap

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

Interest rate 

swap

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

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

OIS GBP Fixed GBP-SONIA-OIS 

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

Interest rate 

swap

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

Interest rate 

swap

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

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

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

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

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

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

LCH Limited © 2022 - 41 - June July 2022

Basis swap NZD NZD-BKBM 

FRA

NZD-NZIONA-OIS 

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

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

Basis swap NZD NZD-BKBM 

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

Interest rate 

swap

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

Interest rate 

swap

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

Interest rate 

swap

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

Basis swap SGD SGD-SORReuters SGD-SOR-Reuters Yes 7,700 days 0.01-99,999,999,999.99

Basis swap SGD SGD-SORVWAP SGD-SOR-VWAP Yes 7,700 days 0.01-99,999,999,999.99

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

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

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

Basis swap SGD SGD-SORACOMPOUND SGD-SOR-VWAP No 7,700 days 0.01-99,999,999,999.99

Basis swap SGD SGD-SORAOIS Compound SGD-SOR No 7,700 days 0.01-99,999,999,999.99

Interest rate 

swap

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

Interest rate 

swap

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

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

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

Interest rate 

swap

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

Interest rate 

swap

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

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

OIS CHF Fixed CHF-SARON-OIS 

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

Interest rate 

swap

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

Interest rate 

swap

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