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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

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VIA CFTC PORTAL

May 17, 2023

Mr. Christopher Kirkpatrick

Commodity Futures Trading Commission

1155 21st Street NW

Three Lafayette Centre

Washington, DC 20581

LCH Limited Self-Certification: Benchmark Reform – SGD SOR and THB THBFIX 

conversion

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 related to converting trades linked to USD LIBOR subject to 

planned future cessation (30th June 2023). This is specifically for the Singapore Dollar Swap 

Offered Rate (SGD SOR) and Thai Baht Interest Rate Fixing (THB THBFIX) index which use

USD LIBOR as an input.

Part I: Explanation and Analysis

In line with the conversion processes delivered successfully for swaps linked to non-USD LIBORs 

in October and December 2021, LCH has announced its plans for conversion of SwapClear 

Contracts linked to SGD SOR and THB THBFIX over the weekend of June 9

th

, 2023. The 

conversion of SGD SOR and THB THBFIX will be into the market standard Risk Free Rate (RFR), 

namely Singapore Overnight Rate Average (SGD SORA) and Thai Overnight Repurchase Rate 

(THB THOR) respectively ahead of the actual cessation. In order to facilitate the conversion, LCH 

is creating new floating rate conversion annexes in its rules. 

These revisions are in Section 2C (SwapClear Clearing Service) of the LCH Procedures and 

Section 2.1 (SwapClear) of the LCH FCM Procedures (jointly the “Procedures”).

In connection with this conversion, LCH will be removing eligibility for certain cleared swaps

referencing SGD SOR and THB THBFIX at the same time. These changes are in the LCH Product 

Specific Contract Terms and Eligibility Manual and FCM Product Specific Contract Terms and 

Eligibility Manual.

In most respects, LCH’s conversion processes align with and rely on the fallback methodologies 

published by the International Swaps and Derivatives Association (“ISDA”) through Supplement 70 

to the 2006 ISDA Definitions and the equivalent provisions in the 2021 ISDA Definitions (jointly the 

“ISDA Fallbacks”), which have been incorporated in all SwapClear Contracts (including for the 

purposes of this self-certification, FCM SwapClear Contracts) prior to the conversion date.
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Part II: Description of Rule Changes

Procedures:

The following is a summary of the revisions to be made to the Procedures.

SGD SOR and THB THBFIX SwapClear Contracts

On the conversion date (June 10th 2023) stated in the Floating Rate Conversion Notice, LCH will 

amend SGD SOR and THB THBFIX Contracts such that the floating rate reference to SGD SOR 

and THB THBFIX will instead refer to SGD SORA and THB THOR respectively and will calculate 

the value of the converted SwapClear Contracts both prior to and following the conversion. A 

compensation payment will be called or paid on an account-by-account basis (House or Client) to 

compensate for this change in value.

In order to effect the conversion process, and due to certain systems limitations that restrict cleared 

contracts from having different Floating Rate Options for different periods of that contract, LCH will 

be required to make a number of operational bookings within the SwapClear system. These will not 

result in the registration of a new SwapClear Contract, unless a post conversion process, such as 

compression, is successfully effected with respect to those operational bookings. 

Additional legal protections for LCH for the purposes of the conversion exercise, including a 

limitation of liability, are also included.

SGD SOR and THB THBFIX SwapClear Contracts will no longer be eligible for clearing from the

conversion date.

Product Specific Contract Terms and Eligibility Criteria Manual

In connection with the changes described above, LCH will be removing eligibility for certain cleared 

swaps at the same time, namely:

• Fixed vs SGD-SOR-Reuters interest rate swaps;

• Fixed vs SGD-SOR-VWAP interest rate swaps;

• Fixed vs SGD-SOR interest rate swaps;

• THB-THBFIX-REUTERS non-deliverable interest rate swaps; and

• THB-THBFIX non-deliverable interest rate swaps;

The changes to the rules are included as Appendices I - IV in black line form. The changes will be 

effective not earlier than June 9th 2023.

Part III: Core Principle Compliance

LCH reviewed the proposed rule changes against the requirements of the Core Principles and 

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

this rule change has potential relevance to Core Principle C (Participant and Product Eligibility)

and Core Principle L (Public Information). 

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

including that LCH have appropriate requirements for determining the eligibility of agreements, 

contracts, or transactions submitted for clearing, taking into account LCH’s ability to manage the 

risks associated with such agreements, contracts, or transactions. The changes described in this 

filing provide for LCH’s ability to amend, maintain, and risk manage SwapClear contracts 
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referencing SGD SOR and THB THBFIX during the benchmark reform process. Core Principle C 

also requires LCH to have rules providing that all swaps with the same terms and conditions 

established under LCH’s rules are economically equivalent and may be offset with each other.

These rule changes provide for the maintenance of such economic equivalence throughout the 

conversion.

LCH considered its product eligibility requirements, specifically those related to the maintenance 

of product terms and conditions, and determined that the changes discussed in this filing will not 

impact LCH’s compliance with Core Principle C. As a result, LCH believes these changes are 

consistent with the requirements of Core Principle C on Participant and Product Eligibility under 

CFTC regulation §39.12.

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

L, including that, in addition to the specified requirements of §39.21, LCH make available any

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

considered its public information requirements and believes including rules related to these 

contract conversions in its publicly available Regulations and Procedures maintains its 

compliance with Core Principle L. 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.

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
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Appendix I

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

Changed Pages
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LCH LIMITED

PROCEDURES SECTION 2C

SWAPCLEAR CLEARING SERVICE
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SCHEDULE 6

SWAPCLEAR SCM SERVICE – FLOATING RATE CONVERSION ANNEX –

SGD SOR

13. 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

the In-Scope Floating Rate Option as the floating rate or use the 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 York on the applicable

Conversion Cut-Off Date (each such SwapClear Contract, a SGD SOR 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.

14. DEFINITIONS

For the purposes of this Annex:

Adjustment Spread means, in relation to the 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 SGD SOR Contract provided by the Association of

Banks in Singapore (“ABS”) and the Steering Committee for SOR & SIBOR Transition to

SORA (“SC-STS”) (or a successor provider).

Amended SGD SOR Contract means each SGD SOR Contract after giving effect to the

amendments made pursuant to Section 3 below.

Cash Compensation Amount means, in relation to all SGD SOR Contracts that specify the

In-Scope Floating Rate Option as the floating rate or use the 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 7 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 7 below.
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Conversion Cut-Off Date means, with respect to a SGD SOR Contract, the business day

immediately prior to the Conversion Date applicable to such SGD SOR Contract as

determined in accordance with the definition of “Conversion Date” below.

Conversion Date means June 10, 2023, 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.

Fallback RFR Value means, in relation to a SGD SOR Contract, the net present value,

determined by the Clearing House as of the applicable Conversion Date, of all future cash

flows under that SGD SOR Contract on the basis that such SGD SOR Contract is not

amended pursuant to this Annex. 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.

In-Scope Floating Rate Option means SGD-SOR (as defined in the ISDA Definitions).

ISDA Definitions means the ISDA 2021 Interest Rate Definitions, as published by the

International Swaps and Derivatives Association, Inc.

Operational Straddle Period SGD SOR Booking means an Operational Booking which has

a “Reset Date” (as defined in the ISDA Definitions) which 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 two Singapore Business Days (as defined in the

ISDA Definitions).

RFR Value means, in relation to a SGD SOR Contract, the net present value, determined by

the Clearing House as of the applicable Conversion Date, of all future cash flows under that

SGD SOR Contract on the basis that such SGD SOR Contract is an Amended SGD SOR

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 SGD SOR Contract means a SGD SOR Contract which has a “Reset Date”

(as defined in the ISDA Definitions) which 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 the In-Scope Floating Rate Option specified in that SGD SOR

Contract and relates to a Period End Date (as defined in the ISDA Definitions) that falls after

the applicable Conversion Date.

15. AMENDMENTS TO SGD SOR CONTRACTS

(a) Pursuant to Regulation 60C of the Regulations, with effect from, and including, the

applicable Conversion Date each SGD SOR Contract shall be amended in accordance

with this Section 3.
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Floating Rate Option:

(b) From and including the first Reset Date falling after the Relevant Number of Business

Days from the “Index Cessation Effective Date” (as defined in the ISDA Definitions)

in relation to the In-Scope Floating Rate Option, 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 SGD-SOR in the SwapClear Contract Terms shall be

deemed to be replaced for all purposes with SGD-SORA-OIS Compound.

Adjustment Spread:

(c) From and including the first Reset Date which 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

SGD SOR Contract, the “Floating Rate” under each SGD SOR Contract will, in

addition to any “Spread” (as defined in the ISDA Definitions) already existing under

the terms of the SGD SOR Contract, include the Adjustment Spread applicable to that

In-Scope Floating Rate Option.

Payment Date Delay:

(d) From and including the first Reset Date which 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

SGD SOR Contract, “Delayed Payment” (as defined in the ISDA Definitions) shall be

“Applicable” and the number of days specified for such purposes shall be two (2)

Business Days (with Business Days having the meaning specified in the terms of the

original relevant SGD SOR 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) Business Days (with Business Days having the meaning specified in the terms

of the original relevant SGD SOR Contract) after 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 SGD SOR 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 shall not apply to the

calculation of the "Floating Rate" under each SGD SOR Contract.

Consequential Amendments:

(f) The Clearing House shall make any consequential amendments to the terms of each

SGD SOR Contract as it deems necessary in connection with, and to give effect to,

the amendments in this Section 3.
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(g) Unless expressly referenced herein, all other terms of each SGD SOR 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).

16. 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 4. Any bookings referred to in this Section 4 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.

Main Operational Booking

(b) On the applicable Conversion Date in relation to each SGD SOR Contract, the

Clearing House shall record an Operational Booking (each an Operational RFR

Booking) that is on the same terms as the SGD SOR Contract to which it relates

except that, from the “Effective Date” of the Operational RFR Booking (which shall

be prior to the applicable 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 of this Annex. On the applicable Conversion Date in

relation to a SGD SOR Contract, the Clearing House shall terminate the operational

booking relating to that SGD SOR Contract that was recorded in the SwapClear

service immediately prior to the applicable Conversion Date. For the avoidance of

doubt, this paragraph (b) shall apply to all SGD SOR Contracts.

Operational Overlay Bookings

(c) In addition to the Operational RFR Bookings referred to in (b) above, with respect to

each Straddle Period SGD SOR Contract and Operational Straddle Period SGD SOR

Booking in relation to which the SwapClear Clearing Member would receive a

“Floating Amount” calculated using the In-Scope Floating Rate Option under the

Straddle Period SGD SOR Contract or Operational Straddle Period SGD SOR

Booking (such amount, the SGD SOR Amount), on the applicable Conversion Date

the Clearing House shall record the following Operational Bookings (each an

Operational Overlay Booking) in the SwapClear service:

(i) 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 SGD SOR

Amount it would be entitled to receive under the Straddle Period SGD

SOR Contract if it was not amended pursuant to Section 3 above (or, if
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applicable, as reflected in the Operational Straddle Period SGD SOR

Booking); and

(ii) 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.

(d) In addition to the Operational RFR Bookings referred to in (b) above, with respect to

each Straddle Period SGD SOR Contract and Operational Straddle Period SGD SOR

Booking in relation to which the SwapClear Clearing Member would pay the SGD

SOR Amount, on the applicable Conversion Date the Clearing House shall record the

following Operational Overlay Bookings in the SwapClear service:

(i) 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 SGD SOR Amount it would be obliged to pay

under the Straddle Period SGD SOR Contract if it was not amended

pursuant to Section 3 above (or, if applicable, as reflected in the

Operational Straddle Period SGD SOR Booking); and

(ii) 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.

(e) The Operational Overlay Bookings in relation to a Straddle Period SGD SOR

Contract and Operational Straddle Period SGD SOR 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.

17. SUBSEQUENT ACTIONS WITH RESPECT TO OPERATIONAL

BOOKINGS

Subsequent Actions Generally

(a) 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 SGD SOR 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 4 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:
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(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 SGD SOR Contract to reflect the rights and obligations

remaining after giving effect to the instruction referred to above.

18. 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.

19. DETERMINATION OF THE CASH COMPENSATION AMOUNT AND THE

CASH COMPENSATION CONTRACTS FOLLOWING THE CONVERSION

(a) On the applicable Conversion Date the Clearing House shall calculate the following

amounts:

(i) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to

all of the SGD SOR Contracts registered in each Proprietary Account as of the

end of the business day in New York on the applicable Conversion Cut-Off

Date;

(ii) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to

all of the SGD SOR Contracts registered in each Individual Segregated

Account as of the end of the business day in New York on the applicable

Conversion Cut-Off Date; and

(iii) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to

all of the SGD SOR Contracts registered in each "position account" within

each Omnibus Segregated Account as of the end of the business day in New

York on the Conversion Cut-Off Date.

(b) On the applicable Conversion Date the Clearing House shall determine a single Cash

Compensation Amount separately in respect of all of the SGD SOR Contracts 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 SGD SOR Contracts exceeds the

aggregate Fallback RFR Value in relation to all SGD SOR Contracts then the

Cash Compensation Amount in relation to the SGD SOR 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
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(ii) the aggregate RFR Value in relation to all SGD SOR Contracts is less than the

aggregate Fallback RFR Value in relation to all SGD SOR Contracts then the

Cash Compensation Amount in relation to all SGD SOR 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 USD 1 , a "Termination Date" (as

defined in the SwapClear Contract Terms) falling two “business days” after the

applicable 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 SGD SOR

Contracts 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 7(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 7, 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

SGD SOR 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 SGD SOR 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
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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; 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 certain of the changes to the SGD SOR Contracts pursuant to this Annex.

20. DETERMINATIONS BINDING

Subject to Section 11, 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.

21. 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 SwapClear Clearing Members

regardless of anything to the contrary in any reports issued by the Clearing House.

22. 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 11.

(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.
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(d) Section 4 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.

23. LIMITATION OF LIABILITY

23.1 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;

(ii) the determination or publication of any price, curve, data, quote or other

information arising from, or in connection with, this Annex; or

(iii) any of the operational bookings made pursuant to Section 4 of 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.

23.2 Without prejudice to the generality of Regulation 52 and clause 12.1 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
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SGD-SOR

Product Type

SGD-SOR

SGD-SORA

SGD-SOR

SGD-SORA

Floating Leg 2

FRO Payment

Frequency

Basis Swap

1 month

SGD-SORA

3 months 6 months

Basis Swap

Floating Leg 1

FRO Payment

Frequency

wilful misconduct on the part of the Clearing House or any other member of the LCH

Group.

23.3 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.

23.4 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.

24. PROVISION OF CERTAIN DATA TO THE CLEARING HOUSE

24.1 In connection with the Clearing House’s determination of the Cash Compensation

Amounts, at 9am London time on the Conversion Cut-Off Date, or such other time 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, each

Major SGD SOR Swap Market Participant (as defined below) shall submit

non-executable two-way pricing (i.e. bid and offer) for each tenor of each of the basis

swaps identified in the table below:

1 year

Basis Swap

1 year 1 year

Floating Leg 2

FRO

Floating Leg 1

FRO
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1 Year, 2 Years, 3

Years, 4 Years and

5 Years

1 Year, 2 Years, 3

Years, 4 Years and

5 Years

Day Count Fraction

24.2 The pricing referred to in paragraph 12.1 shall be submitted via the SwapClear Portal

in accordance with the instructions set out on the SwapClear Portal and the terms

governing use of the SwapClear Portal. Each time a Major SGD SOR Swap Market

Participant submits pricing to the Clearing House it represents and warrants to the

Clearing House that all price submissions have been suitably verified by appropriate

members of its senior management prior to submission to the Clearing House.

24.3 The Clearing House shall establish representative market notional amounts for each

of the basis swaps set out in paragraph 12.1 and shall notify the Major SGD SOR

Market Participants of such amounts ahead of the Conversion Date via member

circular or such other method as the Clearing House shall determine is appropriate.

24.4 Once the Clearing House has received the submissions pursuant to paragraph 12.1,

the Clearing House shall take the following steps with respect to each tenor of each

basis swap listed in paragraph 12.1:

(a) first, it shall rank all prices received that are bids in descending order (i.e.

starting with the highest bid) and all prices received that are offers in

ascending order (i.e. starting with the lowest offer) (as applicable), provided

that, if two or more bids or offers are identical, the those bids or offers shall be

ranked in the order in which they were first received by the Clearing House;

(b) second, the Clearing House shall exclude the crossing side of any crossing

price submissions (meaning that if the highest bid is equal to or is greater than

the lowest offer then both shall be deemed as “crossing” and be excluded, and

the process repeated until all remaining bids are below all remaining offers);

(c) third, the Clearing House shall determine the mid-price for each tenor of each

basis swap by taking the arithmetic mean of (i) the highest quarter of the

remaining bids for that tenor of the relevant basis swap and (ii) the lowest

quarter of the remaining offers for that tenor of the relevant basis swap. To

determine the number of prices comprising the highest or lowest quarter of

bids or offers (as applicable), the Clearing House will round-up to the nearest

whole number of bids or offers (as applicable); and

(d) fourth, the Clearing House shall use the mid-prices determined pursuant to the

foregoing to construct the SOR curve which the Clearing House shall use to

determine the Fallback RFR Value of SGD SOR Contracts pursuant to

paragraph 7(a).

Price Quotation Leg 1 spread

Act/365 for both

legs

Leg 1 spread Leg 1 spread

Act/365 for both

legs

Required Tenors

Act/365 for both

legs

1 Year, 2 Years, 3

Years, 4 Years and

5 Years
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24.5 For purposes of this paragraph 12, a "Major SGD SOR Market Participant" is each

Clearing Member or SwapClear Clearing Client who, as of the Conversion Date,

satisfies the criteria to be published by the Clearing House ahead of the Conversion

Date via member circular or such other method as the Clearing House shall determine

is appropriate.
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SCHEDULE 7

SWAPCLEAR SCM SERVICE – FLOATING RATE CONVERSION ANNEX –

THB-THBFIX

25. 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

the In-Scope Floating Rate Option as the floating rate or use the 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 York on the applicable

Conversion Cut-Off Date (each such SwapClear Contract, a THB-THBFIX

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.

26. DEFINITIONS

For the purposes of this Annex:

Amended THB-THBFIX Contract means each THB-THBFIX Contract after giving effect

to the amendments made pursuant to Section 3 below.

Cash Compensation Amount means, in relation to all THB-THBFIX Contracts that specify

the In-Scope Floating Rate Option as the floating rate or use the 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 7 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 7 below.

Conversion Cut-Off Date means, with respect to a THB-THBFIX Contract, the business day

immediately prior to the Conversion Date applicable to such THB-THBFIX Contract as

determined in accordance with the definition of “Conversion Date” below.
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Conversion Date means June 10, 2023, 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.

Fallback RFR Value means, in relation to a THB-THBFIX Contract, the net present value,

determined by the Clearing House as of the applicable Conversion Date, of all future cash

flows under that THB-THBFIX Contract on the basis that such THB-THBFIX Contract is not

amended pursuant to this Annex. 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.

In-Scope Floating Rate Option means THB-THBFIX (as defined in the ISDA Definitions).

ISDA Definitions means the ISDA 2021 Interest Rate Definitions, as published by the

International Swaps and Derivatives Association, Inc.

Operational Straddle Period THB-THBFIX Booking means an Operational Booking

which has a “Reset Date” (as defined in the ISDA Definitions) which 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 two Bangkok Business Days (as defined in the

ISDA Definitions).

RFR Value means, in relation to a THB-THBFIX Contract, the net present value, determined

by the Clearing House as of the applicable Conversion Date, of all future cash flows under

that THB-THBFIX Contract on the basis that such THB-THBFIX Contract is an Amended

THB-THBFIX 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 THB-THBFIX Contract means a THB-THBFIX Contract which has a

“Reset Date” (as defined in the ISDA Definitions) which 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 the In-Scope Floating Rate Option specified in that THB-THBFIX

Contract and relates to a Period End Date (as defined in the ISDA Definitions) that falls after

the applicable Conversion Date.

27. AMENDMENTS TO THB-THBFIX CONTRACTS

(a) Pursuant to Regulation 60C of the Regulations, with effect from, and including, the

applicable Conversion Date each THB-THBFIX Contract shall be amended in

accordance with this Section 3.

Floating Rate Option:
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(b) From and including the first Reset Date falling after the Relevant Number of Business

Days from the “Index Cessation Effective Date” (as defined in the ISDA Definitions)

in relation to the In-Scope Floating Rate Option, 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 THB-THBFIX in the SwapClear Contract Terms shall

be deemed to be replaced for all purposes with THB-THOR-OIS Compound.

Payment Date Delay:

(c) From and including the first Reset Date which 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

THB-THBFIX Contract, “Delayed Payment” (as defined in the ISDA Definitions)

shall be “Applicable” and the number of days specified for such purposes shall be two

(2) Business Days (with Business Days having the meaning specified in the terms of

the original relevant THB-THBFIX 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) Business Days (with Business Days having the meaning specified in the terms

of the original relevant THB-THBFIX Contract) after the relevant Period End Date or

the Termination Date (each as defined in the ISDA Definitions), as applicable.

No Observation Period Shift:

(d) 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 THB-THBFIX 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 shall not apply

to the calculation of the "Floating Rate" under each THB-THBFIX Contract.

Consequential Amendments:

(e) The Clearing House shall make any consequential amendments to the terms of each

THB-THBFIX Contract as it deems necessary in connection with, and to give effect

to, the amendments in this Section 3.

(f) Unless expressly referenced herein, all other terms of each THB-THBFIX 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).

28. 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 4. Any bookings referred to in this Section 4 are

solely to facilitate and/or reflect the legal amendments made to each SwapClear
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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.

Main Operational Booking

(b) On the applicable Conversion Date in relation to each THB-THBFIX Contract, the

Clearing House shall record an Operational Booking (each an Operational RFR

Booking) that is on the same terms as the THB-THBFIX Contract to which it relates

except that, from the “Effective Date” of the Operational RFR Booking (which shall

be prior to the applicable 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 of this Annex. On the applicable Conversion Date in

relation to a THB-THBFIX Contract, the Clearing House shall terminate the

operational booking relating to that THB-THBFIX Contract that was recorded in the

SwapClear service immediately prior to the applicable Conversion Date. For the

avoidance of doubt, this paragraph (b) shall apply to all THB-THBFIX Contracts.

Operational Overlay Bookings

(c) In addition to the Operational RFR Bookings referred to in (b) above, with respect to

each Straddle Period THB-THBFIX Contract and Operational Straddle Period

THB-THBFIX Booking in relation to which the SwapClear Clearing Member would

receive a “Floating Amount” calculated using the In-Scope Floating Rate Option

under the Straddle Period THB-THBFIX Contract or Operational Straddle Period

THB-THBFIX Booking (such amount, the THB-THBFIX Amount), on the

applicable Conversion Date the Clearing House shall record the following

Operational Bookings (each an Operational Overlay Booking) in the SwapClear

service:

(i) 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

THB-THBFIX Amount it would be entitled to receive under the

Straddle Period THB-THBFIX Contract if it was not amended

pursuant to Section 3 above (or, if applicable, as reflected in the

Operational Straddle Period THB-THBFIX Booking); and

(ii) 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.

(d) In addition to the Operational RFR Bookings referred to in (b) above, with respect to

each Straddle Period THB-THBFIX Contract and Operational Straddle Period

THB-THBFIX Booking in relation to which the SwapClear Clearing Member would
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pay the THB-THBFIX Amount, on the applicable Conversion Date the Clearing

House shall record the following Operational Overlay Bookings in the SwapClear

service:

(i) in relation to a Straddle Period THB-THBFIX Contract or any Operational

Straddle Period THB-THBFIX Booking:

(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 THB-THBFIX Amount it would be obliged to

pay under the Straddle Period THB-THBFIX Contract if it was not

amended pursuant to Section 3 above (or, if applicable, as reflected in

the Operational Straddle Period THB-THBFIX 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,

(e) The Operational Overlay Bookings in relation to a Straddle Period THB-THBFIX

Contract and Operational Straddle Period THB-THBFIX 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.

29. SUBSEQUENT ACTIONS WITH RESPECT TO OPERATIONAL

BOOKINGS

Subsequent Actions Generally

(a) 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 THB-THBFIX 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 4 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 THB-THBFIX Contract to reflect the rights and

obligations remaining after giving effect to the instruction referred to above.
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30. 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.

31. DETERMINATION OF THE CASH COMPENSATION AMOUNT AND THE

CASH COMPENSATION CONTRACTS FOLLOWING THE CONVERSION

(a) On the applicable Conversion Date the Clearing House shall calculate the following

amounts:

(i) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to

all of the THB-THBFIX Contracts registered in each Proprietary Account as

of the end of the business day in New York on the applicable Conversion

Cut-Off Date;

(ii) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to

all of the THB-THBFIX Contracts registered in each Individual Segregated

Account as of the end of the business day in New York on the applicable

Conversion Cut-Off Date; and

(iii) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to

all of the THB-THBFIX Contracts registered in each "position account" within

each Omnibus Segregated Account as of the end of the business day in New

York on the Conversion Cut-Off Date.

(b) On the applicable Conversion Date the Clearing House shall determine a single Cash

Compensation Amount separately in respect of all of the THB-THBFIX Contracts 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 THB-THBFIX Contracts exceeds

the aggregate Fallback RFR Value in relation to all THB-THBFIX Contracts

then the Cash Compensation Amount in relation to the THB-THBFIX

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 THB-THBFIX Contracts is less

than the aggregate Fallback RFR Value in relation to all THB-THBFIX

Contracts then the Cash Compensation Amount in relation to all

THB-THBFIX 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).
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(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 USD 1 , a "Termination Date" (as

defined in the SwapClear Contract Terms) falling two “business days” after the

applicable 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

THB-THBFIX Contracts 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 7(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 7, 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

THB-THBFIX 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 THB-THBFIX 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);
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(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 certain of the changes to the THB-THBFIX Contracts pursuant to this

Annex.

32. DETERMINATIONS BINDING

Subject to Section 11, 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.

33. 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 SwapClear Clearing Members

regardless of anything to the contrary in any reports issued by the Clearing House.

34. 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 11.

(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 4 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.
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35. LIMITATION OF LIABILITY

35.1 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;

(ii) the determination or publication of any price, curve, data, quote or other

information arising from, or in connection with, this Annex; or

(iii) any of the operational bookings made pursuant to Section 4 of 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.

35.2 Without prejudice to the generality of Regulation 52 and clause 11.1 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.

35.3 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
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Act/365 for both legs

Product Type

Floating Leg 1 FRO Payment Frequency

Price Quotation Leg 1 spread

3 months

Basis Swap

Required Tenors 1 Year, 2 Years, 3 Years, 4 Years and 5

Years

36.2 The pricing referred to in paragraph 12.1 shall be submitted via the SwapClear Portal

in accordance with the instructions set out on the SwapClear Portal and the terms

governing use of the SwapClear Portal. Each time a Major THB-THBFIX Swap

Market Participant submits pricing to the Clearing House it represents and warrants to

Floating Leg 2 FRO THB-THBFIX

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.

35.4 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.

36. PROVISION OF CERTAIN DATA TO THE CLEARING HOUSE

36.1 In connection with the Clearing House’s determination of the Cash Compensation

Amounts, at 9am London time on the Conversion Cut-Off Date, or such other time 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, each

Major THB-THBFIX Swap Market Participant (as defined below) shall submit

non-executable two-way pricing (i.e. bid and offer) for each tenor of each of the basis

swaps identified in the table below:

Floating Leg 1 FRO

Floating Leg 2 FRO Payment Frequency 6 months

THB-THOR-OIS Compound

Day Count Fraction
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the Clearing House that all price submissions have been suitably verified by

appropriate members of its senior management prior to submission to the Clearing

House.

36.3 The Clearing House shall establish representative market notional amounts for each

of the basis swaps set out in paragraph 12.1 and shall notify the Major THB-THBFIX

Market Participants of such amounts ahead of the Conversion Date via member

circular or such other method as the Clearing House shall determine is appropriate.

36.4 Once the Clearing House has received the submissions pursuant to paragraph 12.1,

the Clearing House shall take the following steps with respect to each tenor of each

basis swap listed in paragraph 12.1:

(a) first, it shall rank all prices received that are bids in descending order (i.e.

starting with the highest bid) and all prices received that are offers in

ascending order (i.e. starting with the lowest offer) (as applicable), provided

that, if two or more bids or offers are identical, the those bids or offers shall be

ranked in the order in which they were first received by the Clearing House;

(b) second, the Clearing House shall exclude the crossing side of any crossing

price submissions (meaning that if the highest bid is equal to or is greater than

the lowest offer then both shall be deemed as “crossing” and be excluded, and

the process repeated until all remaining bids are below all remaining offers);

(c) third, the Clearing House shall determine the mid-price for each tenor of each

basis swap by taking the arithmetic mean of (i) the highest quarter of the

remaining bids for that tenor of the relevant basis swap and (ii) the lowest

quarter of the remaining offers for that tenor of the relevant basis swap. To

determine the number of prices comprising the highest or lowest quarter of

bids or offers (as applicable), the Clearing House will round-up to the nearest

whole number of bids or offers (as applicable); and

(d) fourth, the Clearing House shall use the mid-prices determined pursuant to the

foregoing to construct the THB-THBFIX curve which the Clearing House

shall use to determine the Fallback RFR Value of THB-THBFIX Contracts

pursuant to paragraph 7(a).

36.5 For purposes of this paragraph 12, a "Major THB-THBFIX Market Participant" is

each Clearing Member or SwapClear Clearing Client who, as of the Conversion Date,

satisfies the criteria to be published by the Clearing House ahead of the Conversion

Date via member circular or such other method as the Clearing House shall determine

is appropriate.
CORPORATE

Appendix II

Section 2 (SwapClear) of the LCH FCM Procedures

Changed Pages
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FCM PROCEDURES OF THE CLEARING HOUSE

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SCHEDULE 2.1F

FCM SWAPCLEAR SERVICE – FLOATING RATE CONVERSION ANNEX – SGD

SOR

13. 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 the In-Scope Floating Rate Option as the floating rate or use the 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 York

on the applicable Conversion Cut-Off Date (each such FCM SwapClear Contract, a

SGD SOR 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.

14. DEFINITIONS

For the purposes of this Annex:

Adjustment Spread means, in relation to the 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 SGD SOR Contract provided by the Association of

Banks in Singapore (“ABS”) and the Steering Committee for SOR & SIBOR Transition to

SORA (“SC-STS”) (or a successor provider).

Amended SGD SOR Contract means each SGD SOR Contract after giving effect to the

amendments made pursuant to Section 3 below.

Cash Compensation Amount means, in relation to all SGD SOR Contracts that specify the

In-Scope Floating Rate Option as the floating rate or use the In-Scope Floating Rate Option

to calculate the floating amount thereunder in a Proprietary Account or an FCM Client

Sub-Account, the amount determined in accordance with Section 7 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 7 below.
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Conversion Cut-Off Date means, with respect to a SGD SOR Contract, the business day

immediately prior to the Conversion Date applicable to such SGD SOR Contract as

determined in accordance with the definition of “Conversion Date” below.

Conversion Date means June 10, 2023, 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.

Fallback RFR Value means, in relation to a SGD SOR Contract, the net present value,

determined by the Clearing House as of the applicable Conversion Date, of all future cash

flows under that SGD SOR Contract on the basis that such SGD SOR Contract is not

amended pursuant to this Annex. 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.

In-Scope Floating Rate Option means SGD-SOR (as defined in the ISDA

Definitions).

ISDA Definitions means the ISDA 2021 Interest Rate Definitions, as published by the

International Swaps and Derivatives Association, Inc.

Operational Straddle Period SGD SOR Booking means an Operational Booking which has

a “Reset Date” (as defined in the ISDA Definitions) which 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 two Singapore Business Days (as defined in the

ISDA Definitions).

RFR Value means, in relation to a SGD SOR Contract, the net present value, determined by

the Clearing House as of the applicable Conversion Date, of all future cash flows under that

SGD SOR Contract on the basis that such SGD SOR Contract is an Amended SGD SOR

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 SGD SOR Contract means a SGD SOR Contract which has a “Reset Date”

(as defined in the ISDA Definitions) which 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 the In-Scope Floating Rate Option specified in that SGD SOR

Contract and relates to a Period End Date (as defined in the ISDA Definitions) that falls after

the applicable Conversion Date.

15. AMENDMENTS TO SGD SOR CONTRACTS

(a) Pursuant to Regulation 48B of the FCM Regulations, with effect from, and including,

the applicable Conversion Date each SGD SOR Contract shall be amended in

accordance with this Section 3.
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Floating Rate Option:

(b) From and including the first Reset Date falling after the Relevant Number of Business

Days from the “Index Cessation Effective Date” (as defined in the ISDA Definitions)

in relation to the In-Scope Floating Rate Option, 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 SGD-SOR in the FCM SwapClear Contract

Terms shall be deemed to be replaced for all purposes with SGD-SORA-OIS

Compound.

Adjustment Spread:

(c) From and including the first Reset Date which 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

SGD SOR Contract, the “Floating Rate” under each SGD SOR Contract will, in

addition to any “Spread” (as defined in the ISDA Definitions) already existing under

the terms of the SGD SOR Contract, include the Adjustment Spread applicable to that

In-Scope Floating Rate Option.

Payment Date Delay:

(d) From and including the first Reset Date which 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

SGD SOR Contract, “Delayed Payment” (as defined in the ISDA Definitions) shall be

“Applicable” and the number of days specified for such purposes shall be two (2)

Business Days (with Business Days having the meaning specified in the terms of the

original relevant SGD SOR 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)

Business Days (with Business Days having the meaning specified in the terms of the

original relevant SGD SOR Contract) after 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 SGD SOR 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 shall not apply to the

calculation of the "Floating Rate" under each SGD SOR Contract.

Consequential Amendments:
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(f) The Clearing House shall make any consequential amendments to the terms of each

SGD SOR 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 SGD SOR 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).

16. 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

Operational Booking) in the manner described in this Section 4. Any bookings

referred to in this Section 4 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.

Main Operational Booking

(b) On the applicable Conversion Date in relation to each SGD SOR Contract, the

Clearing House shall record an Operational Booking (each an Operational RFR

Booking) that is on the same terms as the SGD SOR Contract to which it relates

except that, from the “Effective Date” of the Operational RFR Booking (which shall

be prior to the applicable 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 of this Annex. On the applicable Conversion Date in

relation to a SGD SOR Contract, the Clearing House shall terminate the operational

booking relating to that SGD SOR Contract that was recorded in the FCM SwapClear

Service immediately prior to the applicable Conversion Date. For the avoidance of

doubt, this paragraph (b) shall apply to all SGD SOR Contracts.

Operational Overlay Bookings

(c) In addition to the Operational RFR Bookings referred to in (b) above, with respect to

each Straddle Period SGD SOR Contract and Operational Straddle Period SGD SOR

Booking in relation to which the FCM Clearing Member would receive a “Floating

Amount” calculated using the In-Scope Floating Rate Option under the Straddle

Period SGD SOR Contract or Operational Straddle Period SGD SOR Booking (such

amount, the SGD SOR Amount), on the applicable Conversion Date the Clearing

House shall record the following Operational Bookings (each an Operational

Overlay Booking) in the FCM SwapClear Service:

(i) 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
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payable to the FCM Clearing Member equal to the SGD SOR Amount

it would be entitled to receive under the Straddle Period SGD SOR

Contract if it was not amended pursuant to Section 3 above (or, if

applicable, as reflected in the relevant Operational Straddle Period

SGD SOR Booking); and

(ii) 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,

(d) In addition to the Operational RFR Bookings referred to in (b) above, with respect to

each Straddle Period SGD SOR Contract and Operational Straddle Period SGD SOR

Booking in relation to which the FCM Clearing Member would pay the SGD SOR

Amount, on the applicable Conversion Date the Clearing House shall record the

following Operational Overlay Bookings in the FCM SwapClear Service:

(i) an Operational Overlay Booking reflecting (X) the Overlay Fixed

Amount that would be payable to the FCM Member and (Y) an amount

that would be payable by the FCM Member equal to the SGD SOR

Amount it would be obliged to pay under the Straddle Period SGD

SOR Contract if it was not amended pursuant to Section 3 above (or, if

applicable, as reflected in the Operational Straddle Period SGD SOR

Booking); and

(ii) 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 Clearing Member as reflected under the related Operational RFR

Booking,

(e) The Operational Overlay Bookings in relation to a Straddle Period SGD SOR

Contract and Operational Straddle Period SGD SOR 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.

17. SUBSEQUENT ACTIONS WITH RESPECT TO OPERATIONAL

BOOKINGS

Subsequent Actions Generally

(a) 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 SGD SOR 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 4 and not terminated, then
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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 SGD SOR Contract to reflect the rights and obligations

remaining after giving effect to the instruction referred to above.

18. OBLIGATIONS TO MAKE CERTAIN CALCULATIONS AND ENTER INTO

CERTAIN CONTRACTS

Pursuant to FCM 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 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.

19. DETERMINATION OF THE CASH COMPENSATION AMOUNT AND THE

CASH COMPENSATION CONTRACTS FOLLOWING THE CONVERSION

(a) On the applicable Conversion Date the Clearing House shall calculate the following

amounts:

(i) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to

all of the SGD SOR Contracts registered in each Proprietary Account as of the

end of the business day in New York on the applicable Conversion Cut-Off

Date; and

(ii) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to

all of the SGD SOR Contracts registered in each FCM Client Sub-Account as

of the end of the business day in New York on the applicable Conversion

Cut-Off Date.

(b) On the applicable Conversion Date the Clearing House shall determine a single Cash

Compensation Amount separately in respect of all of the SGD SOR Contracts in each

Proprietary Account, and each FCM Client Sub-Account as follows. If:

(i) the aggregate RFR Value in relation to all SGD SOR Contracts exceeds the

aggregate Fallback RFR Value in relation to all SGD SOR Contracts then the

Cash Compensation Amount in relation to the SGD SOR 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 SGD SOR Contracts is less than the

aggregate Fallback RFR Value in relation to all SGD SOR Contracts then the

Cash Compensation Amount in relation to all SGD SOR 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).
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(c) The Clearing House shall, pursuant to FCM Regulation 48B, register a separate Cash

Compensation Contract in each Proprietary Account and each FCM Client

Sub-Account 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 USD 1 , a "Termination Date" (as defined

in the FCM SwapClear Contract Terms) falling two “business days” after the

applicable Conversion Cut-Off Date, and an obligation on the Clearing House or the

FCM 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

SGD SOR Contracts in the relevant Proprietary Account or FCM Client Sub-Account

in each case as determined pursuant to Section 7(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 7, which shall, when registered, constitute

an FCM Contract between the Clearing House and the relevant FCM Clearing

Member that has arisen by reason of the application of the FCM Regulations to the

SGD SOR 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 SGD SOR Contracts pursuant to the terms of

FCM Regulation 48B and this Annex, and (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. 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 FCM 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

(iv) that each Cash Compensation Contract is being registered in the relevant

account in connection with the matters specified in this Annex and the
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obligations thereunder are for the sole purpose of addressing the value impact

of certain of the changes to the SGD SOR Contracts pursuant to this Annex.

20. DETERMINATIONS BINDING

Subject to Section 11, 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.

21. 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.

22. 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 11.

(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 4 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.

23. LIMITATION OF LIABILITY

23.1 Without prejudice to the generality of FCM Regulation 44, each FCM Clearing

Member agrees:

(i) 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,
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cost or expense (whether direct, indirect, general, special, consequential,

punitive or otherwise); and

(ii) 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;

(ii) the determination or publication of any price, curve, data, quote or other

information arising from, or in connection with, this Annex; or

(iii) any of the operational bookings made pursuant to Section 4 of 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.

23.2 Without prejudice to the generality of FCM Regulation 44 and clause 12.1 above,

each FCM Clearing Member further agrees:

(i) 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

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

(ii) 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.

23.3 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
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Floating Leg

1 FRO

Payment

Frequency

Day Count

Fraction

Basis Swap

Act/365 for

both legs

1 year

Act/365 for

both legs

Act/365 for

both legs

1 year

Price

Quotation

1 year

Leg 1

spread

Product

Type

Leg 1

spread

Leg 1

spread

Floating Leg

1 FRO

Floating Leg

2 FRO

Required

Tenors

1 Year, 2

Years, 3

Years, 4

Years and 5

Years

SGD-SOR

1 Year, 2

Years, 3

Years, 4

Years and 5

Years

SGD-SORA

1 Year, 2

Years, 3

Years, 4

Years and 5

Years

SGD-SOR

24.2 The pricing referred to in paragraph 12.1 shall be submitted via the SwapClear Portal

in accordance with the instructions set out on the SwapClear Portal and the terms

Basis Swap

SGD-SOR

SGD-SORA

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.

23.4 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.

24. PROVISION OF CERTAIN DATA TO THE CLEARING HOUSE

24.1 In connection with the Clearing House’s determination of the Cash Compensation

Amounts, at 9am London time on the Conversion Cut-Off Date, or such other time 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, each

Major SGD SOR Swap Market Participant (as defined below) shall submit

non-executable two-way pricing (i.e. bid and offer) for each tenor of each of the basis

swaps identified in the table below:

Floating Leg

2 FRO

Payment

Frequency

SGD-SORA

1 month

Basis Swap

3 months 6 months
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governing use of the SwapClear Portal. Each time a Major SGD SOR Swap Market

Participant submits pricing to the Clearing House it represents and warrants to the

Clearing House that all price submissions have been suitably verified by appropriate

members of its senior management prior to submission to the Clearing House.

24.3 The Clearing House shall establish representative market notional amounts for each

of the basis swaps set out in paragraph 12.1 and shall notify the Major SGD SOR

Market Participants of such amounts ahead of the Conversion Date via member

circular or such other method as the Clearing House shall determine is appropriate.

24.4 Once the Clearing House has received the submissions pursuant to paragraph 12.1,

the Clearing House shall take the following steps with respect to each tenor of each

basis swap listed in paragraph 12.1:

(i) first, it shall rank all prices received that are bids in descending order (i.e.

starting with the highest bid) and all prices received that are offers in

ascending order (i.e. starting with the lowest offer) (as applicable), provided

that, if two or more bids or offers are identical, the those bids or offers shall be

ranked in the order in which they were first received by the Clearing House;

(ii) second, the Clearing House shall exclude the crossing side of any crossing

price submissions (meaning that if the highest bid is equal to or is greater than

the lowest offer then both shall be deemed as “crossing” and be excluded, and

the process repeated until all remaining bids are below all remaining offers);

(iii) third, the Clearing House shall determine the mid-price for each tenor of each

basis swap by taking the arithmetic mean of (i) the highest quarter of the

remaining bids for that tenor of the relevant basis swap and (ii) the lowest

quarter of the remaining offers for that tenor of the relevant basis swap. To

determine the number of prices comprising the highest or lowest quarter of

bids or offers (as applicable), the Clearing House will round-up to the nearest

whole number of bids or offers (as applicable); and

(iv) fourth, the Clearing House shall use the mid-prices determined pursuant to the

foregoing to construct the SOR curve which the Clearing House shall use to

determine the Fallback RFR Value of SGD SOR Contracts pursuant to

paragraph 7(a).

24.5 For purposes of this paragraph 12, a "Major SGD SOR Market Participant" is each

FCM Clearing Member or FCM Client who, as of the Conversion Date, satisfies the

criteria to be published by the Clearing House ahead of the Conversion Date via

member circular or such other method as the Clearing House shall determine is

appropriate.
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SCHEDULE 2.1G

FCM SWAPCLEAR SERVICE – FLOATING RATE CONVERSION ANNEX –

THB-THBFIX

25. 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 the In-Scope Floating Rate Option as the floating rate or use the 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 York

on the applicable Conversion Cut-Off Date (each such FCM SwapClear Contract, a

THB-THBFIX 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.

26. DEFINITIONS

For the purposes of this Annex:

Amended THB-THBFIX Contract means each THB-THBFIX Contract after giving effect

to the amendments made pursuant to Section 3 below.

Cash Compensation Amount means, in relation to all THB-THBFIX Contracts that specify

the In-Scope Floating Rate Option as the floating rate or use the In-Scope Floating Rate

Option to calculate the floating amount thereunder in a Proprietary Account or an FCM

Client Sub-Account, the amount determined in accordance with Section 7 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 7 below.

Conversion Cut-Off Date means, with respect to a THB-THBFIX Contract, the business day

immediately prior to the Conversion Date applicable to such THB-THBFIX Contract as

determined in accordance with the definition of “Conversion Date” below.
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Conversion Date means June 10, 2023, 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.

Fallback RFR Value means, in relation to a THB-THBFIX Contract, the net present value,

determined by the Clearing House as of the applicable Conversion Date, of all future cash

flows under that THB-THBFIX Contract on the basis that such THB-THBFIX Contract is not

amended pursuant to this Annex. 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.

In-Scope Floating Rate Option means THB-THBFIX (as defined in the ISDA

Definitions).

ISDA Definitions means the ISDA 2021 Interest Rate Definitions, as published by the

International Swaps and Derivatives Association, Inc.

Operational Straddle Period THB-THBFIX Booking means an Operational Booking

which has a “Reset Date” (as defined in the ISDA Definitions) which 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 two Bangkok Business Days (as defined in the

ISDA Definitions).

RFR Value means, in relation to a THB-THBFIX Contract, the net present value, determined

by the Clearing House as of the applicable Conversion Date, of all future cash flows under

that THB-THBFIX Contract on the basis that such THB-THBFIX Contract is an Amended

THB-THBFIX 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 THB-THBFIX Contract means a THB-THBFIX Contract which has a

“Reset Date” (as defined in the ISDA Definitions) which 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 the In-Scope Floating Rate Option specified in that THB-THBFIX

Contract and relates to a Period End Date (as defined in the ISDA Definitions) that falls after

the applicable Conversion Date.

27. AMENDMENTS TO THB-THBFIX CONTRACTS

(a) Pursuant to Regulation 48B of the FCM Regulations, with effect from, and including,

the applicable Conversion Date each THB-THBFIX Contract shall be amended in

accordance with this Section 3.
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Floating Rate Option:

(b) From and including the first Reset Date falling after the Relevant Number of Business

Days from the “Index Cessation Effective Date” (as defined in the ISDA Definitions)

in relation to the In-Scope Floating Rate Option, 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 THB-THBFIX in the FCM SwapClear

Contract Terms shall be deemed to be replaced for all purposes with THB-THOR-OIS

Compound.

Payment Date Delay:

(c) From and including the first Reset Date which 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

THB-THBFIX Contract, “Delayed Payment” (as defined in the ISDA Definitions)

shall be “Applicable” and the number of days specified for such purposes shall be two

(2) Business Days (with Business Days having the meaning specified in the terms of

the original relevant THB-THBFIX 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) Business Days (with Business Days having the meaning specified in the terms

of the original relevant THB-THBFIX Contract) after the relevant Period End Date or

the Termination Date (each as defined in the ISDA Definitions), as applicable.

No Observation Period Shift:

(d) 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 THB-THBFIX 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 shall not apply

to the calculation of the "Floating Rate" under each THB-THBFIX Contract.

Consequential Amendments:

(e) The Clearing House shall make any consequential amendments to the terms of each

THB-THBFIX Contract as it deems necessary in connection with, and to give effect

to, the amendments in this Section 3.

(f) Unless expressly referenced herein, all other terms of each THB-THBFIX 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).

28. 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 4. Any bookings

referred to in this Section 4 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.

Main Operational Booking

(b) On the applicable Conversion Date in relation to each THB-THBFIX Contract, the

Clearing House shall record an Operational Booking (each an Operational RFR

Booking) that is on the same terms as the THB-THBFIX Contract to which it relates

except that, from the “Effective Date” of the Operational RFR Booking (which shall

be prior to the applicable 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 of this Annex. On the applicable Conversion Date in

relation to a THB-THBFIX Contract, the Clearing House shall terminate the

operational booking relating to that THB-THBFIX Contract that was recorded in the

FCM SwapClear Service immediately prior to the applicable Conversion Date. For

the avoidance of doubt, this paragraph (b) shall apply to all THB-THBFIX Contracts.

Operational Overlay Bookings

(c) In addition to the Operational RFR Bookings referred to in (b) above, with respect to

each Straddle Period THB-THBFIX Contract and Operational Straddle Period

THB-THBFIX Booking in relation to which the FCM Clearing Member would

receive a “Floating Amount” calculated using the In-Scope Floating Rate Option

under the Straddle Period THB-THBFIX Contract or Operational Straddle Period

THB-THBFIX Booking (such amount, the THB-THBFIX Amount), on the

applicable Conversion Date the Clearing House shall record the following

Operational Bookings (each an Operational Overlay Booking) in the FCM

SwapClear Service:

(i) 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 THB-THBFIX

Amount it would be entitled to receive under the Straddle Period

THB-THBFIX Contract if it was not amended pursuant to Section 3

above (or, if applicable, as reflected in the relevant Operational

Straddle Period THB-THBFIX Booking); and

(ii) 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,
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(d) In addition to the Operational RFR Bookings referred to in (b) above, with respect to

each Straddle Period THB-THBFIX Contract and Operational Straddle Period

THB-THBFIX Booking in relation to which the FCM Clearing Member would pay

the THB-THBFIX Amount, on the applicable Conversion Date the Clearing House

shall record the following Operational Overlay Bookings in the FCM SwapClear

Service:

(i) 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 THB-THBFIX Amount it would be obliged to pay under the

Straddle Period THB-THBFIX Contract if it was not amended

pursuant to Section 3 above (or, if applicable, as reflected in the

Operational Straddle Period THB-THBFIX Booking); and

(ii) 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 Clearing Member as reflected under the related Operational RFR

Booking,

(e) The Operational Overlay Bookings in relation to a Straddle Period THB-THBFIX

Contract and Operational Straddle Period THB-THBFIX 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.

29. SUBSEQUENT ACTIONS WITH RESPECT TO OPERATIONAL

BOOKINGS

Subsequent Actions Generally

(a) 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 THB-THBFIX 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 4 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 THB-THBFIX Contract to reflect the rights and

obligations remaining after giving effect to the instruction referred to above.
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30. OBLIGATIONS TO MAKE CERTAIN CALCULATIONS AND ENTER INTO

CERTAIN CONTRACTS

Pursuant to FCM 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.

31. DETERMINATION OF THE CASH COMPENSATION AMOUNT AND THE

CASH COMPENSATION CONTRACTS FOLLOWING THE CONVERSION

(a) On the applicable Conversion Date the Clearing House shall calculate the following

amounts:

(i) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to

all of the THB-THBFIX Contracts registered in each Proprietary Account as

of the end of the business day in New York on the applicable Conversion

Cut-Off Date; and

(ii) the aggregate Fallback RFR Value and the aggregate RFR Value in relation to

all of the THB-THBFIX Contracts registered in each FCM Client

Sub-Account as of the end of the business day in New York on the applicable

Conversion Cut-Off Date.

(b) On the applicable Conversion Date the Clearing House shall determine a single Cash

Compensation Amount separately in respect of all of the THB-THBFIX Contracts in

each Proprietary Account, and each FCM Client Sub-Account as follows. If:

(i) the aggregate RFR Value in relation to all THB-THBFIX Contracts exceeds

the aggregate Fallback RFR Value in relation to all THB-THBFIX Contracts

then the Cash Compensation Amount in relation to the THB-THBFIX

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 THB-THBFIX Contracts is less

than the aggregate Fallback RFR Value in relation to all THB-THBFIX

Contracts then the Cash Compensation Amount in relation to all

THB-THBFIX 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

Sub-Account 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
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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 USD 1 , a "Termination Date" (as defined

in the FCM SwapClear Contract Terms) falling two “business days” after the

applicable 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 THB-THBFIX

Contracts in the relevant Proprietary Account or FCM Client Sub-Account, in each

case as determined pursuant to Section 7(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 7, 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 FCM Regulations

to the THB-THBFIX 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 THB-THBFIX Contracts pursuant to the

terms of FCM Regulation 48B and this Annex, and (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. 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 FCM 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

(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 THB-THBFIX Contracts pursuant to this

Annex.

32. DETERMINATIONS BINDING

Subject to Section 11, 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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33. 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.

34. 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 11.

(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 4 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.

35. LIMITATION OF LIABILITY

35.1 Without prejudice to the generality of FCM Regulation 44, each FCM Clearing

Member agrees:

(i) 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

(ii) 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; or

(iii) any of the operational bookings made pursuant to Section 4 of 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.

35.2 Without prejudice to the generality of FCM Regulation 44 and clause 11.1 above,

each FCM Clearing Member further agrees:

(i) 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

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

(ii) 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.

35.3 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.
FCM Procedures FCM SwapClear

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Act/365 for both legs

Floating Leg 1 FRO Payment

Frequency

Basis Swap

Price Quotation

3 months

Leg 1 spread

35.4 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.

36. PROVISION OF CERTAIN DATA TO THE CLEARING HOUSE

36.1 In connection with the Clearing House’s determination of the Cash Compensation

Amounts, at 9am London time on the Conversion Cut-Off Date, or such other time 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, each

Major THB-THBFIX Swap Market Participant (as defined below) shall submit

non-executable two-way pricing (i.e. bid and offer) for each tenor of each of the basis

swaps identified in the table below:

Required Tenors 1 Year, 2 Years, 3 Years, 4 Years and

5 Years

Floating Leg 2 FRO

36.2 The pricing referred to in paragraph 12.1 shall be submitted via the SwapClear Portal

in accordance with the instructions set out on the SwapClear Portal and the terms

governing use of the SwapClear Portal. Each time a Major THB-THBFIX Swap

Market Participant submits pricing to the Clearing House it represents and warrants to

the Clearing House that all price submissions have been suitably verified by

appropriate members of its senior management prior to submission to the Clearing

House.

36.3 The Clearing House shall establish representative market notional amounts for each

of the basis swaps set out in paragraph 12.1 and shall notify the Major THB-THBFIX

Market Participants of such amounts ahead of the Conversion Date via member

circular or such other method as the Clearing House shall determine is appropriate.

36.4 Once the Clearing House has received the submissions pursuant to paragraph 12.1,

the Clearing House shall take the following steps with respect to each tenor of each

basis swap listed in paragraph 12.1:

THB-THBFIX

Floating Leg 1 FRO

Floating Leg 2 FRO Payment

Frequency

THB-THOR-OIS Compound

6 months

Product Type

Day Count Fraction
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(i) first, it shall rank all prices received that are bids in descending order (i.e.

starting with the highest bid) and all prices received that are offers in

ascending order (i.e. starting with the lowest offer) (as applicable), provided

that, if two or more bids or offers are identical, the those bids or offers shall be

ranked in the order in which they were first received by the Clearing House;

(ii) second, the Clearing House shall exclude the crossing side of any crossing

price submissions (meaning that if the highest bid is equal to or is greater than

the lowest offer then both shall be deemed as “crossing” and be excluded, and

the process repeated until all remaining bids are below all remaining offers);

(iii) third, the Clearing House shall determine the mid-price for each tenor of each

basis swap by taking the arithmetic mean of (i) the highest quarter of the

remaining bids for that tenor of the relevant basis swap and (ii) the lowest

quarter of the remaining offers for that tenor of the relevant basis swap. To

determine the number of prices comprising the highest or lowest quarter of

bids or offers (as applicable), the Clearing House will round-up to the nearest

whole number of bids or offers (as applicable); and

(iv) fourth, the Clearing House shall use the mid-prices determined pursuant to the

foregoing to construct the THB-THBFIX curve which the Clearing House

shall use to determine the Fallback RFR Value of THB-THBFIX Contracts

pursuant to paragraph 7(a).

36.5 For purposes of this paragraph 12, a "Major THB-THBFIX Market Participant" is

each FCM Clearing Member or FCM Client who, as of the Conversion Date, satisfies

the criteria to be published by the Clearing House ahead of the Conversion Date via

member circular or such other method as the Clearing House shall determine is

appropriate.

12.4
CORPORATE

Appendix III

Product Specific Contract Terms and Eligibility Criteria Manual 

Changed Pages
CORPORATE

PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA 

MANUAL
Product Specific Contract Terms and Eligibility Criteria Manual

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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-

99,999,999,999.9914

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-

99,999,999,999.9915

Interest rate 

swap

USD Fixed USD-LIBOR Yes 18,675 days

0.01-

99,999,999,999.9916

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

14

 This transaction will only be eligible as a SwapClear Transaction if it is a Legacy LIBOR Transaction as defined in 

Schedule 4 of Procedure 2C.

15

 This transaction will only be eligible as a SwapClear Transaction if it is a Legacy LIBOR Transaction as defined in 

Schedule 5 of the Procedure 2C.

16

 This transaction will only be eligible as a SwapClear Transaction if it is a Legacy LIBOR Transaction as defined in 

Schedule 5 of Procedure 2C
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Basis swap USD USD-SOFROIS Compound USD-SOFR-OIS Compound No 18,675 days 0.01-99,999,999,999.99

Interest rate 

swap

USD Fixed USD-BSBY17 Yes 4,050 days 0.01-99,999,999,999.99

Basis swap USD

USDFEDERAL 

FUNDS-H.15-

OISCOMPOUND

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

Basis swap USD

USD-Federal 

Funds-OIS 

Compound

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

Basis swap USD USD-Federal 

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

Basis swap USD USD-BSBY18 USD-SOFR-COMPOUND No 4,050 days 0.01-99,999,999,999.99

Basis swap USD USD-BSBY19 USD-SOFR-OIS Compound No 4,050 days 0.01-99,999,999,999.99

Basis swap USD USD-BSBY USD-BSBY20 No 4,050 days 0.01-99,999,999,999.99

OIS USD Fixed USD-Federal Funds H.15-

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

OIS USD Fixed USD-Federal Funds-OIS 

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

Interest rate 

swap

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

Interest rate 

swap

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

Basis swap EUR

EUREURIBORReuters

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

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

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

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

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

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

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

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

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

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

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

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

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

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

from their negligence or otherwise

18

 Ibid footnote 17. 

19

 Ibid footnote 17. 

20

 Ibid footnote 17. 
Product Specific Contract Terms and Eligibility Criteria Manual

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

OIS EUR Fixed EUR-EuroSTR-OIS 

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

Basis swap EUR

EUREURIBORReuters

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

Basis swap EUR EUREURIBOR

EUR-EuroSTR-OIS 

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

Interest rate 

swap

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

Interest rate 

swap

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

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

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

Basis swap AUD

AUD-AONIAOISCOMPOUND

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

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

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

OIS AUD Fixed AUD-AONIA-OIS 

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

Interest rate 

swap

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

Interest rate 

swap

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

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

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

Basis swap CAD CAD-BACDOR

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

Basis swap CAD CAD-CDOR CAD-CORRA-OIS 

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

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

OIS CAD Fixed CAD-CORRA-OIS 

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

Interest rate 

swap

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

Interest rate 

swap

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

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

Interest rate 

swap

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

Interest rate 

swap

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

Interest rate 

swap

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

Interest rate 

swap

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

OIS DKK Fixed DKK-DESTR-OIS 

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

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

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

Basis swap DKK DKK-CIBOR2-

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

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

Interest rate 

swap

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

Interest rate 

swap

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

Interest rate 

swap

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

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

OIS HKD Fixed HKD-HONIA-OIS

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

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

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

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

Basis swap HKD

HKD-HONIXOISCOMPOUND

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

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

Interest rate 

swap

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

Interest rate 

swap

HUF Fixed HUF-BUBOR Yes 7,700 days 1-10,000,000,000,000 
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Basis swap HUF HUF-BUBORReuters HUF-BUBOR-Reuters Yes 4,050 days 1-10,000,000,000,000 

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

Interest rate 

swap

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

99,999,999,999.99 

Interest rate 

swap

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

99,999,999,999.99 

Interest rate 

swap

JPY Fixed JPY-LIBOR-BBA No 15,025 days 1-10,000,000,000,00021

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

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

Interest rate 

swap

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

Interest rate 

swap

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

Interest rate 

swap

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

Interest rate 

swap

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

Interest rate 

swap

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

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

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

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

OIS NOK Fixed NOK-NOWA-OIS 

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

Interest rate 

swap

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

Interest rate 

swap

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

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

OIS NZD Fixed NZD-NZIONA-OIS 

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

Basis swap NZD NZD-BBRFRA

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

21

 This transaction will only be eligible as a SwapClear Transaction if it is a Legacy LIBOR Transaction as defined in 

Schedule 4 of Procedure 2C. 
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Basis swap NZD NZD-BKBM 

FRA

NZD-NZIONA-OIS 

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

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

Basis swap NZD NZD-BKBM 

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

Interest rate 

swap

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

Interest rate 

swap

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

Interest rate 

swap

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

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

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

Interest rate 

swap

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

Interest rate 

swap

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

OIS SEK Fixed SEK-SWESTR-OIS 

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

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

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

Interest rate 

swap

CHF Fixed CHF-LIBOR-BBA No 11,375 days

0.01-

99,999,999,999.9922

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

OIS CHF Fixed CHF-SARON-OIS 

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

Interest rate 

swap

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

Interest rate 

swap

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

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

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

Interest rate 

swap

ZAR Fixed ZAR-JIBAR-SAFEX Yes 11,375 days 0.01-99,999,999,999.99

22

 This transaction will only be eligible as a SwapClear Transaction if it is a Legacy LIBOR Transaction as defined in 

Schedule 4 of the Procedure 2C. 
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Interest rate 

swap

ZAR Fixed ZAR-JIBAR Yes 11,375 days 0.01-99,999,999,999.99

(b) Forward interest rate agreements having the characteristics set out in the table below:

Instrument Currency Leg 1 Leg 2 Maximum Tenor Notional Amount

FRA CZK Fixed CZK-PRIBOR-PRBO 1,225 days 0.01-99,999,999,999.99

FRA CZK Fixed CZK-PRIBOR 1,225 days 0.01-99,999,999,999.99

FRA DKK Fixed DKK-CIBOR2-DKNA13 1,225 days 0.01-99,999,999,999.99

FRA DKK Fixed DKK-CIBOR2 1,225 days 0.01-99,999,999,999.99

FRA EUR Fixed EUR-EURIBOR-Reuters 1,225 days 0.01-99,999,999,999.99

FRA EUR Fixed EUR-EURIBOR 1,225 days 0.01-99,999,999,999.99

FRA HUF Fixed HUF-BUBOR-Reuters 1,225 days 0.01-99,999,999,999.99

FRA HUF Fixed HUF-BUBOR 1,225 days 0.01-99,999,999,999.99

FRA ILS Fixed ILS-TELBOR01-Reuters 1,225 days 0.01-99,999,999,999.99 

FRA ILS Fixed ILS-TELBOR 1,225 days 0.01-99,999,999,999.99 

FRA NOK Fixed NOK-NIBOR-NIBR 1, 225 days 0.01-99,999,999,999.99

FRA NOK Fixed NOK-NIBOR-OIBOR 1, 225 days 0.01-99,999,999,999.99

FRA NOK Fixed NOK-NIBOR 1, 225 days 0.01-99,999,999,999.99

FRA PLN Fixed PLN-WIBOR-WIBO 1, 225 days 0.01-99,999,999,999.99

FRA PLN Fixed PLN-WIBOR 1, 225 days 0.01-99,999,999,999.99

FRA SEK Fixed SEK-STIBOR-SIDE 1, 225 days 0.01-99,999,999,999.99

FRA SEK Fixed SEK-STIBOR 1, 225 days 0.01-99,999,999,999.99

FRA USD Fixed USD-LIBOR-BBA 1, 225 days 0.01-99,999,999,999.99

FRA USD Fixed USD-LIBOR 1, 225 days 0.01-99,999,999,999.99
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(c) Inflation rate swaps with constant notional principal having the characteristics set out 

in the table below:

Instrument Currency Leg 1 Leg 2 Maximum Tenor Notional Amount

Zero coupon inflation 

indexed swap

EUR Fixed EUR-EXT-CPI 50 years 0.01-99,999,999,999.99

Standard coupon inflation 

indexed swap23

EUR Fixed EUR-EXT-CPI 50 years 0.01-99,999,999,999.99

Zero coupon inflation 

indexed swap

EUR Fixed FRC-EXT-CPI 30 years 0.01-99,999,999,999.99

Standard coupon inflation 

indexed swap

EUR Fixed FRC-EXT-CPI 30 years 0.01-99,999,999,999.99

Zero coupon inflation 

indexed swap

GBP Fixed UK-RPI 50 years 0.01-99,999,999,999.99

Standard coupon inflation 

indexed swap

GBP Fixed UK-RPI 50 years 0.01-99,999,999,999.99

Zero coupon inflation 

indexed swap

USD Fixed USA-CPI-U 30 years 0.01-99,999,999,999.99

Standard coupon inflation 

indexed swap

USD Fixed USA-CPI-U 30 years 0.01-99,999,999,999.99

(d) Non-deliverable 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 BRL Fixed BRL-CDI No 4,050 days 0.01-

99,999,999,999.99

OIS CLP Fixed CLP-TNA No 5,700 days 1.0-

10,000,000,000,000

OIS CLP Fixed CLP-ICP No 5,700 days 1.0-

10,000,000,000,000

OIS COP Fixed COP-IBR-OISCOMPOUNDNo 5,700 days 1.0-

10,000,000,000,000

OIS COP Fixed COP-IBR-OIS 

Compound

No 5,700 days 1.0-

10,000,000,000,000

Interest rate swap KRW Fixed KRW-CD-KSDABLOOMBERGNo 7,700 days 1.0-

10,000,000,000,000

Interest rate swap KRW Fixed KRW-CD 91D No 7,700 days 1.0-

10,000,000,000,000

23

 A “standard coupon inflation swap” is an inflation vs. fixed swap, which pays out regular coupons on both legs of the 

swap.
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2023 - 44 - JuneMay 2023

COR

OIS INR Fixed INR-FBIL-MIBOROIS-COMPOUNDNo 4,050 days 0.01-

99,999,999,999.99

OIS INR Fixed INR-MIBOR-OIS 

Compound

No 4,050 days 0.01-

99,999,999,999.99

Interest rate swap CNY Fixed CNYCNREPOFIX=CFXSREUTERSNo 2,025 days 0.01-

99,999,999,999.99

Interest rate swap CNY Fixed CNY-Fixing Repo 

Rate

No 2,025 days 0.01-

99,999,999,999.99

Interest rate swap THB Fixed THB-THBFIXREUTERSNo 4,050 days 0.01-

99,999,999,999.99

Interest rate swap THB Fixed THB-THBFIX No 4,050 days 0.01-

99,999,999,999.99

OIS THB Fixed THB-THORCOMPOUNDNo 4,050 days 0.01-

99,999,999,999.99

OIS THB Fixede THB-THOR-OIS 

Compound

No 4,050 days 0.01-

99,999,999,999.99

Interest rate swap TWD Fixed TWD-TAIBORREUTERSNo 4,050 days 0.01-

99,999,999,999.99

Interest rate swap TWD Fixed TWD-TAIBOR No 4,050 days 0.01-

99,999,999,999.99
CORPORATE

Appendix IV

FCM Product Specific Contract Terms and Eligibility Criteria Manual

Changed Pages
FCM PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA 

MANUAL
FCM Product Specific Manual

LCH Limited © 2023 - 12 - MayJune 2023

PART B

PRODUCT ELIGIBILITY CRITERIA FOR REGISTRATION OF AN FCM 

SWAPCLEAR CONTRACT

1. FCM SwapClear Transaction

Without prejudice to the FCM Regulations and the FCM Procedures, the Clearing 

House will only register an FCM SwapClear Contract pursuant to receipt of particulars 

of a transaction where at the time of the particulars being presented:

(a) the transaction meets the FCM SwapClear Product Eligibility Criteria for 

registration as an FCM SwapClear Transaction; and

(b) each party to the transaction is an Executing Party;

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

1.1 FCM SwapClear Product Eligibility Criteria for an FCM 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-

99,999,999,999.9914

OIS GBP Fixed GBP-SONIACOMPOUND 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-

99,999,999,999.9915

Interest rate 

swap

USD Fixed USD-LIBOR Yes 18,675 days

0.01-

99,999,999,999.9916

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-SOFROIS Compound 

USD-SOFR-OIS 

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

14

 This transaction will only be eligible as an FCM SwapClear Transaction if it is a Legacy LIBOR Transaction 

as defined in Schedule 2.1D of the FCM Procedures. 

15

 This transaction will only be eligible as an FCM SwapClear Transaction if it is a Legacy LIBOR Transaction 

as defined in Schedule 2.1E of the FCM Procedures. 

16

 This transaction will only be eligible as an FCM SwapClear Transaction if it is a Legacy LIBOR Transaction 

as defined in Schedule 2.1E of the FCM Procedures. 
FCM Product Specific Manual

LCH Limited © 2023 - 13 - MayJune 2023

Interest rate 

swap

USD Fixed USD-BSBY17 Yes 4,050 days 0.01-

99,999,999,999.99

Basis swap USD

USDFEDERAL 

FUNDS-H.15-

OISCOMPOUND

USD-SOFR-COMPOUND No 18,675 days 0.01-

99,999,999,999.99

Basis swap USD

USD-Federal 

Funds-OIS 

Compound

USD-SOFR-OIS 

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

Basis swap USD USD-Federal 

Funds

USD-SOFR-OIS 

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

Basis swap USD USD-BSBY18 USD-SOFR-COMPOUND No 4,050 days 0.01-

99,999,999,999.99

Basis swap USD USD-BSBY19 USD-SOFR-OIS 

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

Basis swap USD USD-BSBY USD-BSBY20 No 4,050 days 0.01-

99,999,999,999.99

OIS USD Fixed USD-Federal Funds H.15-

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

OIS USD Fixed USD-Federal Funds-OIS 

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

Interest rate 

swap

EUR Fixed EUR-EURIBOR-Reuters Yes 18,675 days 0.01-

99,999,999,999.99

Interest rate 

swap

EUR Fixed EUR-EURIBOR Yes 18,675 days 0.01-

99,999,999,999.99

Basis swap EUR

EUREURIBORReuters

EUR-EURIBOR-Reuters Yes 18,675 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

OIS EUR Fixed EUR-EuroSTRCOMPOUND Yes 18,675 days 0.01-

99,999,999,999.99

17

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

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

been licensed for use for certain purposes by LCH Group. Bloomberg is not affiliated with LCH Group and 

does not approve, endorse, review, or recommend any financial instrument. Bloomberg or its licensors own 

all proprietary rights in the Bloomberg Short-Term Bank Yield Index. Bloomberg does not guarantee the 

timeliness, accurateness, or completeness of any data or information relating to Bloomberg Short-Term Bank 

Yield Index. Bloomberg makes no warranty, express or implied, as to the Bloomberg Short-Term Bank Yield 

Index or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all 

warranties of merchantability and fitness for a particular purpose with respect thereto. To the maximum extent 

allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers, 

and vendors shall have no liability or responsibility whatsoever for any injury or damages-whether direct, 

indirect, consequential, incidental, punitive, or otherwise-arising in connection with the Bloomberg Short 

Term Bank Yield Index or any data or values relating thereto-whether arising from their negligence or 

otherwise

18

 Ibid footnote 17. 

19

 Ibid footnote 17.

20

 Ibid footnote 17.
FCM Product Specific Manual

LCH Limited © 2023 - 14 - MayJune 2023

OIS EUR Fixed EUR-EuroSTR-OIS 

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

Basis swap EUR

EUREURIBORReuters

EUR-EuroSTRCOMPOUND No 18,675 days 0.01-

99,999,999,999.99

Basis swap EUR EUREURIBOR

EUR-EuroSTR-OIS 

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

Interest rate 

swap

AUD Fixed AUD-BBR-BBSW Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

AUD Fixed AUD-BBSW Yes 11,375 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

Basis swap AUD AUD-BBSW AUD-BBSW Yes 11,375 days 0.01-

99,999,999,999.99

Basis swap AUD

AUD-AONIAOISCOMPOUND

AUD-BBR-BBSW No 11,375 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

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

99,999,999,999.99

OIS AUD Fixed AUD-AONIA-OIS 

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

Interest rate 

swap

CAD Fixed CAD-BA-CDOR Yes 15,025 days 0.01-

99,999,999,999.99

Interest rate 

swap

CAD Fixed CAD-CDOR Yes 15,025 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

Basis swap CAD CAD-CDOR CAD-CDOR Yes 15,025 days 0.01-

99,999,999,999.99

Basis swap CAD CAD-BACDOR

CAD-CORRA-OISCOMPOUND Yes 15,025 days 0.01-

99,999,999,999.99

Basis swap CAD CAD-CDOR CAD-CORRA-OIS 

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

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

99,999,999,999.99

OIS CAD Fixed CAD-CORRA-OIS 

Compound Yes 15,025 days

0.01-

99,999,999,999.99

Interest rate 

swap

CZK Fixed CZK-PRIBOR-PRBO Yes 5,875 days 0.01-

99,999,999,999.99

Interest rate 

swap

CZK Fixed CZK-PRIBOR Yes 5,875 days 0.01-

99,999,999,999.99

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

99,999,999,999.99
FCM Product Specific Manual

LCH Limited © 2023 - 15 - MayJune 2023

Basis swap CZK CZK-PRIBOR CZK-PRIBOR Yes 5,875 days 0.01-

99,999,999,999.99

Interest rate 

swap

DKK Fixed DKK-CIBOR-DKNA13 Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

DKK Fixed DKK-CIBOR Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

DKK Fixed DKK-CIBOR2-DKNA13 Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

DKK Fixed DKK-CIBOR2 Yes 11,375 days 0.01-

99,999,999,999.99

OIS DKK Fixed DKK-DESTR-OIS 

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

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

99,999,999,999.99

Basis swap DKK DKK-CIBOR DKK-CIBOR Yes 11,375 days 0.01-

99,999,999,999.99

Basis swap DKK DKK-CIBOR2-

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

Basis swap DKK DKK-CIBOR2 DKK-CIBOR2 Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

HKD Fixed HKD-HIBOR-HKAB Yes 5,700 days 0.01-

99,999,999,999.99

Interest rate 

swap

HKD Fixed HKD-HIBOR Yes 5,700 days 0.01-

99,999,999,999.99

Interest rate 

swap

HKD Fixed HKD-HIBOR-ISDC Yes 5,700 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

OIS HKD Fixed HKD-HONIA-OIS 

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

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

99,999,999,999.99

Basis swap HKD HKD-HIBOR HKD-HIBOR Yes 5,700 days 0.01-

99,999,999,999.99

Basis swap HKD HKD-HIBORISDC HKD-HIBOR-ISDC Yes 5,700 days 0.01-

99,999,999,999.99

Basis swap HKD

HKD-HONIXOISCOMPOUND

HKD-HIBOR-HKAB Yes 4,050 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

Interest rate 

swap

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

Interest rate 

swap

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

Basis swap HUF HUF-BUBORReuters HUF-BUBOR-Reuters Yes 4,050 days 1-10,000,000,000,000 
FCM Product Specific Manual

LCH Limited © 2023 - 16 - MayJune 2023

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

Interest rate 

swap

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

99,999,999,999.99 

Interest rate 

swap

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

99,999,999,999.99 

Interest rate 

swap

JPY Fixed JPY-LIBOR-BBA No 15,025 days

1-

10,000,000,000,00021

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

OIS JPY Fixed JPY-TONA-OIS 

Compound Yes 15,025 days 1-10,000,000,000,000

Interest rate 

swap

MXN Fixed MXN-TIIE-Banxico No 7,700 days 0.01-

99,999,999,999.99

Interest rate 

swap

MXN Fixed MXN-TIIE No 7,700 days 0.01-

99,999,999,999.99

Interest rate 

swap

NOK Fixed NOK-NIBOR-OIBOR Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

NOK Fixed NOK-NIBOR Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

NOK Fixed NOK-NIBOR-NIBR Yes 11,375 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

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

99,999,999,999.99

Basis swap NOK NOK-NIBOR NOK-NIBOR Yes 11,375 days 0.01-

99,999,999,999.99

OIS NOK Fixed NOK-NOWA-OIS 

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

Interest rate 

swap

NZD Fixed NZD-BBR-FRA Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

NZD Fixed NZD-BKBM FRA Yes 11,375 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

OIS NZD Fixed NZD-NZIONA-OIS 

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

Basis swap NZD NZD-BBRFRA

NZD-NZIONIA-OISCOMPOUND No 4,050 days 0.01-

99,999,999,999.99

Basis swap NZD NZD-BKBM 

FRA

NZD-NZIONA-OIS 

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

21

 This transaction will only be eligible as an FCM SwapClear Transaction if it is a Legacy LIBOR Transaction 

as defined in Schedule 2.1D of the FCM Procedures. 
FCM Product Specific Manual

LCH Limited © 2023 - 17 - MayJune 2023

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

99,999,999,999.99

Basis swap NZD NZD-BKBM 

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

Interest rate 

swap

SGD Fixed SGD-SOR-Reuters Yes 7,700 days 0.01-

99,999,999,999.99

Interest rate 

swap

SGD Fixed SGD-SOR-VWAP Yes 7,700 days 0.01-

99,999,999,999.99

Interest rate 

swap

SGD Fixed SGD-SOR Yes 7,700 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

OIS SGD Fixed SGD-SORA-OIS 

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

Interest rate 

swap

SEK Fixed SEK-STIBOR-SIDE Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

SEK Fixed SEK-STIBOR Yes 11,375 days 0.01-

99,999,999,999.99

OIS SEK Fixed SEK-SWESTR-OIS 

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

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

99,999,999,999.99

Basis swap SEK SEK-STIBOR SEK-STIBOR Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

CHF Fixed CHF-LIBOR-BBA No 11,375 days

0.01-

99,999,999,999.9922

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

99,999,999,999.99

OIS CHF Fixed CHF-SARON-OIS 

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

Interest rate 

swap

PLN Fixed PLN-WIBOR-WIBO Yes 5,875 days 0.01-

99,999,999,999.99

Interest rate 

swap

PLN Fixed PLN-WIBOR Yes 5,875 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

Basis swap PLN PLN-WIBOR PLN-WIBOR Yes 5,875 days 0.01-

99,999,999,999.99

Interest rate 

swap

ZAR Fixed ZAR-JIBAR-SAFEX Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

ZAR Fixed ZAR-JIBAR Yes 11,375 days 0.01-

99,999,999,999.99

22

 This transaction will only be eligible as an FCM SwapClear Transaction if it is a Legacy LIBOR Transaction 

as defined in Schedule 2.1D of the FCM Procedures. 
FCM Product Specific Manual

LCH Limited © 2023 - 18 - MayJune 2023

(b) Forward interest rate agreements having the characteristics set out in the table 

below:

Instrument Currency Leg 1 Leg 2 Maximum Tenor Notional Amount

FRA CZK Fixed CZK-PRIBOR-PRBO 1,225 days 0.01-99,999,999,999.99

FRA CZK Fixed CZK-PRIBOR 1,225 days 0.01-99,999,999,999.99

FRA DKK Fixed DKK-CIBOR2-DKNA13 1,225 days 0.01-99,999,999,999.99

FRA DKK Fixed DKK-CIBOR2 1,225 days 0.01-99,999,999,999.99

FRA EUR Fixed EUR-EURIBOR-Reuters 1,225 days 0.01-99,999,999,999.99

FRA EUR Fixed EUR-EURIBOR 1,225 days 0.01-99,999,999,999.99

FRA HUF Fixed HUF-BUBOR-Reuters 1,225 days 0.01-99,999,999,999.99

FRA HUF Fixed HUF-BUBOR 1,225 days 0.01-99,999,999,999.99

FRA ILS Fixed ILS-TELBOR01-Reuters 1,225 days 0.01-99,999,999,999.99 

FRA ILS Fixed ILS-TELBOR 1,225 days 0.01-99,999,999,999.99 

FRA NOK Fixed NOK-NIBOR-NIBR 1, 225 days 0.01-99,999,999,999.99

FRA NOK Fixed NOK-NIBOR-OIBOR 1, 225 days 0.01-99,999,999,999.99

FRA NOK Fixed NOK-NIBOR 1, 225 days 0.01-99,999,999,999.99

FRA PLN Fixed PLN-WIBOR-WIBO 1, 225 days 0.01-99,999,999,999.99

FRA PLN Fixed PLN-WIBOR 1, 225 days 0.01-99,999,999,999.99

FRA SEK Fixed SEK-STIBOR-SIDE 1, 225 days 0.01-99,999,999,999.99

FRA SEK Fixed SEK-STIBOR 1, 225 days 0.01-99,999,999,999.99

FRA USD Fixed USD-LIBOR-BBA 1, 225 days 0.01-99,999,999,999.99

FRA USD Fixed USD-LIBOR 1, 225 days 0.01-99,999,999,999.99

(c) Inflation rate swaps with constant notional principal having the characteristics 

set out in the table below:
FCM Product Specific Manual

LCH Limited © 2023 - 19 - MayJune 2023

Instrument Currency Leg 1 Leg 2 Maximum Tenor Notional Amount

Zero coupon 

inflation 

indexed swap

EUR Fixed EUR-EXT-CPI 50 years 0.01-99,999,999,999.99

Standard 

coupon 

inflation 

indexed 

swap23

EUR Fixed EUR-EXT-CPI 50 years 0.01-99,999,999,999.99

Zero coupon 

inflation 

indexed swap

EUR Fixed FRC-EXT-CPI 30 years 0.01-99,999,999,999.99

Standard 

coupon 

inflation 

indexed swap

EUR Fixed FRC-EXT-CPI 30 years 0.01-99,999,999,999.99

Zero coupon 

inflation 

indexed swap

GBP Fixed UK-RPI 50 years 0.01-99,999,999,999.99

Standard 

coupon 

inflation 

indexed swap

GBP Fixed UK-RPI 50 years 0.01-99,999,999,999.99

Zero coupon 

inflation 

indexed swap

USD Fixed USA-CPI-U 30 years 0.01-99,999,999,999.99

Standard 

coupon 

inflation 

indexed swap

USD Fixed USA-CPI-U 30 years 0.01-99,999,999,999.99

(d) Non-deliverable 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

BRL Fixed BRL-CDI No 4,050 days 0.01-

99,999,999,999.99

OIS CLP Fixed CLP-TNA No 5,700 days 1.0-

10,000,000,000,000

OIS CLP Fixed CLP-ICP No 5,700 days 1.0-

10,000,000,000,000

OIS COP Fixed COP-IBR-OISCOMPOUNDNo 5,700 days 1.0-

10,000,000,000,000

OIS COP Fixed COP-IBR-OIS 

Compound

No 5,700 days 1.0-

10,000,000,000,000

Interest rate 

swap

KRW Fixed KRW-CD-KSDABLOOMBERGNo 7,700 days 1.0-

10,000,000,000,000

23

 A “standard coupon inflation swap” is an inflation vs. fixed swap, which pays out regular coupons on both 

legs of the swap.
FCM Product Specific Manual

LCH Limited © 2023 - 20 - MayJune 2023

Interest rate 

swap

KRW Fixed KRW-CD 91D No 7,700 days 1.0-

10,000,000,000,000

OIS INR Fixed INR-FBIL-MIBOROIS-COMPOUNDNo 4,050 days 0.01-

99,999,999,999.99

OIS INR Fixed INR-MIBOR-OIS 

Compound

No 4,050 days 0.01-

99,999,999,999.99

Interest rate 

swap

CNY Fixed CNYCNREPOFIX=CFXSREUTERSNo 2,025 days 0.01-

99,999,999,999.99

Interest rate 

swap

CNY Fixed CNY-Fixing Repo 

Rate

No 2,025 days 0.01-

99,999,999,999.99

Interest rate 

swap

THB Fixed THB-THBFIXREUTERSNo 4,050 days 0.01-

99,999,999,999.99

Interest rate 

swap

THB Fixed THB-THBFIX No 4,050 days 0.01-

99,999,999,999.99

OIS THB Fixed THB-THORCOMPOUNDNo 4,050 days 0.01-

99,999,999,999.99

OIS THB Fixed THB-THOR-OIS 

Compound

No 4,050 days 0.01-

99,999,999,999.99

Interest rate 

swap

TWD Fixed TWD-TAIBORREUTERSNo 4,050 days 0.01-

99,999,999,999.99

Interest rate 

swap

TWD Fixed TWD-TAIBOR No 4,050 days 0.01-

99,999,999,999.99

2. Additional FCM SwapClear Product Eligibility Criteria

2.1 An FCM SwapClear Transaction must also meet the following additional criteria to be 

eligible or clearing with the Clearing House:

(a) Day Count Fractions

(See Section 4.6 of the ISDA Definitions for definition)

(i) The Clearing House will only accept the following Day Count Fractions 

for vanilla interest rate swaps with constant notional principal and 

variable notional swaps. Day Count Fractions are applied to each deal 

leg independently, as communicated via the affirmed trade details.

Day Count Fraction MarkitWire/FpML Code

30/360 (or Bond Basis) 30/360

30E/360 (or Eurobond Basis) 30E/360

Actual/360 ACT/360

Actual/365 (Fixed) ACT/365.FIXED

Actual/Actual ACT/365.ISDA

Actual/Actual ACT/ACT.ISDA

30E/360 (ISDA) 30E/360.ISDA

Actual/Actual (ICMA) ACT/ACT.ICMA