LCH | 10 Paternoster Square | London EC4M 7LS | T: +44 (0)20 7426 7000 | F: +44 (0)20 7426 7001 | lch.com

LCH Group Holdings Limited | LCH Limited | Banque Centrale de Compensation | LCH.Clearnet LLC

LCH Limited. Registered in England No. 25932 Registered Office: 10 Paternoster Square, London, EC4M 7LS

CORPORATE

VIA CFTC PORTAL

January 9, 2024

Mr. Christopher Kirkpatrick

Commodity Futures Trading Commission

1155 21st Street NW

Three Lafayette Centre

Washington, DC 20581

LCH Limited self-certification: Variable elements of a swap

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 clarification to its rules (“LCH Rules”) related to variable elements of a swap.

Part I: Explanation and analysis

The current SwapClear contract terms provide that LCH will in all cases accept swap transactions 

with variable notional amounts, variable fixed rates and/or variable floating rate spreads. However, 

this is incorrect.

The proposal is to amend the SwapClear contract terms to provide that LCH will only accept swap 

transactions with one or more such variable features where this is stated in its additional eligibility 

criteria within the “SwapClear Product Characteristics Matrix” on the LCH portal.

To facilitate these changes, the Product Specific Contract Terms and Eligibility Criteria Manual and 

FCM Product Specific Contract Terms and Eligibility Criteria Manual (jointly, the “Product Terms”)

within the LCH Rules will be amended. 

Part II: Description of the rule changes

LCH will amend Schedule 2 of the Product Specific Contract Terms and Eligibility Criteria Manual and 

Schedule 1 of the FCM Product Specific Contract Terms and Eligibility Criteria Manual to clarify that 

LCH will only accept swap transactions with one or more variable features where this is stated in its 

additional eligibility criteria within the “SwapClear Product Characteristics Matrix” on the LCH portal.

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

be effective not earlier than January 24, 2024.

Part III: Core Principle Compliance

LCH has 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 
CORPORATE

rule change has potential relevance to Core Principles C (Participant and Product Eligibility) and L 

(Public Information).

The changes described in this filing meet the objectives of Core Principle C, including that LCH has

appropriate requirements for determining the eligibility of submitted transactions, taking into account 

LCH’s ability to manage the associated risks. In determining whether to accept variable swaps, LCH 

considered factors that included trading volume, liquidity, availability of pricing data and the ability for 

LCH to manage any associated risks within LCH’s existing operational, risk management and default 

management tools. LCH carefully considered these factors and determined that this clarification

meets LCH’s qualifications and the requirements of Core Principle C. 

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 CFTC Regulation §39.21, LCH makes

available any information that is relevant to participation in the clearing and settlement activities of 

LCH, including the terms and conditions of each contract. LCH considered its public information 

requirements and believes amending the Product Terms within LCH Rules to include this clarification

meets the requirements of Core Principle L. 

As such, LCH believes these changes are consistent with the requirements of Core Principle C on 

Participant and Product Eligibility under CFTC Regulation §39.12 and 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.mahalingam@lseg.com.

Yours sincerely,

Lavannyan Mahalingam

Regulatory Advisor

LCH Limited
CORPORATE

Appendix I

Product Specific Contract Terms and Eligibility Criteria Manual 

Changed Pages
CORPORATE

PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA 

MANUAL
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SCHEDULE 2

SWAPCLEAR 

PART A

SWAPCLEAR CONTRACT TERMS

The terms of a registered SwapClear Contract shall include these SwapClear Contract Terms which 

shall comprise:

(1) Interpretation; 

(2) Economic Terms; 

(3) Standard Terms; and

(4) if the SwapClear Contract is a SwapClear STM Contract, the SwapClear STM Terms.

In the event of any inconsistency between the Economic Terms and the Standard Terms, the Standard 

Terms will prevail. In the event of any inconsistency between the SwapClear STM Terms (where 

applicable) and either or both of the Economic Terms and the Standard Terms, the SwapClear STM 

Terms will prevail.

Subject to the Regulations and the Procedures, the Clearing House will use the SwapClear Contract 

Terms applicable to a SwapClear Contract to calculate the amounts due under the SwapClear Contract 

to, or from, the Clearing House in accordance with the Procedures.

1. Interpretation

1.1 "ISDA Definitions" means the 2021 ISDA Interest Rate Derivatives Definitions, as published 

by the International Swaps and Derivatives Association, Inc. ("ISDA") and as amended from 

time to time, and the same are incorporated by reference herein.

1.2 "ISDA 2008 Inflation Definitions" means the 2008 ISDA Inflation Derivatives Definitions,

as published by ISDA and as amended from time to time, and the same are incorporated by 

reference herein provided that the italicized sentence at the end of the first paragraph of page 

2 of the ISDA 2008 Inflation Definitions shall be replaced with the following: ‘Any capitalized 

term not herein defined, shall have the meaning given to that term in the ISDA Definitions’ 

and each reference in Section 1.14 of the ISDA 2008 Inflation Definitions to a ‘Floating Rate 

Payer’ shall be replaced with the words ‘Floating Amount Payer’.

1.3 Words and expressions used in these SwapClear Contract Terms, which are not defined in the 

Regulations and the Procedures, but which are defined in the ISDA Definitions or the ISDA 

2008 Inflation Definitions shall have the same meaning herein as in the ISDA Definitions or 

the ISDA 2008 Inflation Definitions as the case may be, unless expressly provided otherwise.

1.4 In the event of an inconsistency between the Regulations and the Procedures, and any of the 

ISDA Definitions or the ISDA 2008 Inflation Definitions, the Regulations and Procedures 

will prevail. In the event of an inconsistency between the ISDA Definition and the ISDA 2008 

Inflation Definitions, the ISDA 2008 Inflation Definitions will (where they are applicable) 

prevail.
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1.5 For the avoidance of doubt, the ISDA Definitions are incorporated into the SwapClear 

Contract Terms of a SwapClear Contract and shall apply to such SwapClear Contract, 

regardless of whether the particulars of the SwapClear Transaction submitted to the Clearing 

House and corresponding to such SwapClear Contract identified the ISDA Definitions, the 

2006 ISDA Definitions as published by ISDA or the 2000 ISDA Definitions as published by 

ISDA within such particulars, or did not identify any of them within such particulars.

1.6 If the particulars of a SwapClear Transaction use or refer (or used or referred) to a Floating 

Rate Option that is: 

(a) not HKD-HIBOR-ISDC, NOK-NIBOR-NIBR, SGD-SOR-Reuters or CLP-TNA, and 

that is defined under the 2006 ISDA Definitions or 2000 ISDA Definitions (in each 

case) as published by ISDA, but not the ISDA Definitions, then the Clearing House 

will determine (in its discretion) the equivalent Floating Rate Option under the ISDA 

Definitions and such Floating Rate Option will apply for the purposes of such 

SwapClear Transaction and any corresponding SwapClear Contract; 

(b) CLP-TNA, then the Clearing House has determined that the equivalent Floating Rate 

Option under the ISDA Definitions is CLP-ICP and such Floating Rate Option will 

apply for the purposes of such SwapClear Transaction and any corresponding 

SwapClear Contract; or

(c) HKD-HIBOR-ISDC, NOK-NIBOR-NIBR or SGD-SOR-Reuters, then the Clearing 

House will determine (in its discretion) the equivalent Floating Rate Option under the 

ISDA Definitions and such Floating Rate Option will apply for the purposes of such 

SwapClear Transaction and any corresponding SwapClear Contract.

1.7 References in the ISDA Definitions to a "Transaction" and references in the ISDA 2008 

Inflation Definitions to an “Index Transaction” shall be deemed to be references to a 

"SwapClear Transaction" for the purposes of the SwapClear Service.

1.8 Except where expressly stated otherwise, all reference to "Section" means sections of the 

ISDA Definitions or the ISDA 2008 Inflation Definitions, as the case may be.

1.9 In relation to any amendments to the ISDA Definitions or the ISDA 2008 Inflation 

Definitions, such ISDA Definitions or ISDA 2008 Inflation Definitions, as amended, shall 

apply to SwapClear Contracts with immediate effect (without the need for any notice by the 

Clearing House to SwapClear Clearing Members), except where the Clearing House specifies 

otherwise by notice to SwapClear Clearing Members. Without limitation, any such notice may 

provide that an amendment to the ISDA Definitions or the ISDA 2008 Inflation Definitions 

may take effect so as to apply to SwapClear Contracts registered in a SwapClear Clearing 

Member's name at such time and in such manner, or not apply at all, as the Clearing House 

may determine in its discretion, and the accidental omission to give notice under this provision 

to, or the non-receipt of notice under this provision by, a SwapClear Clearing Member shall 

not invalidate the effectiveness of the matters specified in such notice.

2. Economic Terms

2.1 The Economic Terms of a SwapClear Contract shall be derived from the information 

presented to the Clearing House by the parties to the corresponding SwapClear Transaction 

in respect of the terms designated as Economic Terms in this Schedule.
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2.2 It is part of the eligibility criteria for registration as a SwapClear Contract that the particulars 

of a SwapClear Transaction presented to the Clearing House must include matched 

information in respect of such designated Economic Terms.

2.3 The Economic Terms for vanilla interest rate swaps with constant notional principal and 

variable notional swaps (including non-deliverable interest rate swaps) comprise:

(a) Notional Amount (see Section 4.4.2 of the ISDA Definitions for definition and, for 

variable notional swaps, the Notional Amount can be set out in a Notional Amount 

schedule);

1

(b) currency (see the Currency/Business Day Matrix within the ISDA Definitions for 

certain defined currencies);

(c) Trade Date (see Section 3.1.1 of the ISDA Definitions for definition);

(d) Effective Date (see Section 3.1.2 of the ISDA Definitions for definition);

(e) Termination Date (see Section 3.1.3 of the ISDA Definitions for definition);

(f) Additional payments/fees:

(i) the payer of the additional payments/fees (if any);

(ii) the amount of the additional payments/fees (specify zero if none);

(g) Business Days (see Section 2.1.1 of the ISDA Definitions for definition);

(h) Business Day Convention (see Section 2.3.1 of the ISDA Definitions for definition);

(i) Where a Fixed Amount – Floating Amount swap2:

(i) Fixed Amount Payer (see Section 5.1.3 of the ISDA Definitions for definition);

(ii) Fixed Amount Payer Payment Dates (see Section 3.1.8 of the ISDA 

Definitions for definition);

1 The Clearing House SwapClear will accept IRS, Basis, OIS or zero coupon swaps with a Notional Amount which for 

each payment calculation period may remain unchanged, increase or decrease relative to its previous value, but only 

where the Clearing House specifies this is permitted in its additional eligibility criteria on the Clearing House portal 

within its “SwapClear Product Characteristics Matrix” (or such successor or other name, as determined by the Clearing 

House). The changes in notional can only take place at the calculation period start dates and must be pre-determined 

at the point of registration. The notional schedule will be applied at the start of the corresponding calculation period, 

adjusted (or unadjusted) with the calculation period calendar specified in the trade. Notional schedules need not be 

identical for the two legs of the trade.

2

If the particulars of a SwapClear Transaction use or refer (or used or referred) to the term “Fixed Rate Payer” or 

“Floating Rate Payer”, then such term shall be considered the equivalent of the term “Fixed Amount Payer” or 

“Floating Amount Payer”, respectively, for the purposes of such SwapClear Transaction and any corresponding 

SwapClear Contract.
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(iii) Fixed Amount (see Section 5.1.2 of the ISDA Definitions for definition) [or 

Fixed Rate and Fixed Rate Day Count Fraction][or Fixed Amount Payer 

schedule];

3

(iv) Floating Amount Payer (see Section 6.1.2 of the ISDA Definitions for 

definition);

(v) Floating Amount Payer Payment Dates (see Section 3.1.8 of the ISDA 

Definitions for definition);

(vi) Floating Amount Payer Compounding Dates (if applicable) (see Section 4.9.2 

of the ISDA Definitions for definition);

(vii) Floating Amount (see Section 6.1.3 of the ISDA Definitions for definition);

(viii) Floating Rate Option (see Section 6.5.1 of the ISDA Definitions for definition);

(ix) Designated Maturity (see Section 6.7.4 of the ISDA Definitions for definition), 

if applicable;

4

(x) Spread (see Section 6.5.4 of the ISDA Definitions for definition);

5

(xi) Reset Dates (see Section 6.5.5 of the ISDA Definitions for definition);

(xii) Floating Rate Day Count Fraction (see Section 6.5.3 of the ISDA Definitions 

for definition);

3 The Clearing HouseSwapClear will accept IRS, Basis, OIS or zero coupon variable notional swaps with a Fixed Rate 

on the fixed leg which for each calculation and/or compounding period may remain unchanged, increase or decrease 

relative to its previous value, but only where the Clearing House specifies this is permitted in its additional eligibility 

criteria on the Clearing House portal within its “SwapClear Product Characteristics Matrix” (or such successor or 

other name, as determined by the Clearing House).

4 Please note, in accordance with Section 2.1.3 of Part B of this Product Specific Contract Terms and Eligibility Criteria 

Manual, SwapClear Transactions that reference certain Designated Maturities, in respect of a Floating Rate Option, 

are not eligible for clearing with the Clearing House. Such eligible Designated Maturities change from time to time 

and are specified on the Clearing House website.

5 The Clearing HouseSwapClear will accept IRS, Basis, OIS or zero coupon variable notional swaps with a fFloating 

rRate sSpread on the floating leg which for each calculation and/or compounding period may remain unchanged, 

increase or decrease relative to its previous value, but only where the Clearing House specifies this is permitted in its 

additional eligibility criteria on the Clearing House portal within its “SwapClear Product Characteristics Matrix” (or 

such successor or other name, as determined by the Clearing House). The spread can be negative. Where such spread 

is variable it can be set out in a Spread schedule.
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(j) Where a Floating Amount – Floating Amount swap ("basis" swap):

6

(i) Floating Amount Payer 1 (see Section 6.1.2 of the ISDA Definitions for 

definition):

(a) Floating Amount Payer Payment Dates (see Section 3.1.8 of the ISDA 

Definitions for definition);

(b) Floating Amount Payer Compounding Dates (if applicable) (see 

Section 4.9.2 of the ISDA Definitions for definition);

(c) Floating Rate Option (see Section 6.5.1 of the Definitions for 

definition);

(d) Designated Maturity (see Section 6.7.4 of the ISDA Definitions for 

definition) if applicable;

7

(e) Spread (see Section 6.5.4 of the ISDA Definitions for definition);8

(f) Reset Dates (see Section 6.5.5 of the ISDA Definitions for definition);

(g) Floating Rate Day Count Fraction (see Section 6.5.3 of the ISDA 

Definitions for definition);

(ii) Floating Amount Payer 2 (see Section 6.1.2 of the ISDA Definitions for 

definition):

(a) Floating Amount Payer Payment Dates (see Section 3.1.8 of the ISDA 

Definitions for definition);

(b) Floating Amount Payer Compounding Dates (if applicable) (see 

Section 4.9.2 of the ISDA Definitions for definition);

(c) Floating Rate Option (see Section 6.5.1 of the ISDA Definitions for 

definition);

6

If the particulars of a SwapClear Transaction use or refer (or used or referred) to the term “Floating Rate Payer”, then 

such term shall be considered the equivalent of the term “Floating Amount Payer” for the purposes of such SwapClear 

Transaction and any corresponding SwapClear Contract.

7

 Please note, in accordance with Section 2.1.3 of Part B of this Product Specific Contract Terms and Eligibility Criteria 

Manual, SwapClear Transactions that reference certain Designated Maturities, in respect of a Floating Rate Option, 

are not eligible for clearing with the Clearing House. Such eligible Designated Maturities change from time to time 

and are specified on the Clearing House website.

8 The Clearing HouseSwapClear will accept IRS, Basis, OIS or zero coupon variable notional swaps with a fFloating 

rRate sSpread on the floating leg which for each calculation and/or compounding period may remain unchanged, 

increase or decrease relative to its previous value, but only where the Clearing House specifies this is permitted in its 

additional eligibility criteria on the Clearing House portal within its “SwapClear Product Characteristics Matrix” (or 

such successor or other name, as determined by the Clearing House). The spread can be negative. Where such spread 

is variable it can be set out in a Spread schedule.
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(d) Designated Maturity (see Section 6.7.4 of the ISDA 2006 Definitions 

for definition), if applicable9;

(e) Spread (see Section 6.5.4 of the ISDA Definitions for definition);10

(f) Reset Dates (see Section 6.5.5 of the ISDA Definitions for definition);

and

(g) Floating Rate Day Count Fraction (see Section 6.5.3 of the ISDA 

Definitions for definition).

SwapClear Contracts registered by the Clearing House in respect of such vanilla interest rate 

swaps with constant notional principal or in respect of such variable notional swaps (including 

non-deliverable interest rate swaps) constitute "IRS SwapClear Contracts".

2.4 The Economic Terms for Forward Rate Agreements comprise:

11

(a) Notional Amount (see Section 4.4.2 of the ISDA Definitions for definition);

(b) currency (see the Currency/Business Day Matrix within the ISDA Definitions for 

certain defined currencies);

(c) Trade Date (see Section 3.1.1 of the ISDA Definitions for definition);

(d) Effective Date (see Section 3.1.2 of the ISDA Definitions for definition);

(e) Termination Date (see Section 3.1.3 of the ISDA Definitions for definition);

(f) Additional payments/fees:

(i) the payer of the additional payments/fees (if any);

(ii) the amount of the additional payments/fees (specify zero if none);

(g) Business Days (see Section 2.1.1 of the ISDA Definitions for definition);

(h) Business Day Convention (see Section 2.3.1 of the ISDA Definitions for definition);

9 Please note, in accordance with Section 2.1.3 of Part B of this Product Specific Contract Terms and Eligibility Criteria 

Manual, SwapClear Transactions that reference certain Designated Maturities, in respect of a Floating Rate Option, 

are not eligible for clearing with the Clearing House. Such eligible Designated Maturities change from time to time 

and are specified on the Clearing House website.

10 The Clearing HouseSwapClear will accept IRS, Basis, OIS or zero coupon variable notional swaps with a fFloating 

rRate sSpread on the floating leg which for each calculation and/or compounding period may remain unchanged, 

increase or decrease relative to its previous value, but only where the Clearing House specifies this is permitted in its 

additional eligibility criteria on the Clearing House portal within its “SwapClear Product Characteristics Matrix” (or 

such successor or other name, as determined by the Clearing House). The spread can be negative. Where such spread 

is variable it can be set out in a Spread schedule.

11 If the particulars of a SwapClear Transaction use or refer (or used or referred) to the term “Fixed Rate Payer” or 

“Floating Rate Payer”, then such term shall be considered the equivalent of the term “Fixed Amount Payer” or 

“Floating Amount Payer”, respectively, for the purposes of such SwapClear Transaction and any corresponding 

SwapClear Contract.
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(i) Fixed Amount Payer (see Section 5.1.3 of the ISDA Definitions for definition);

(j) Fixed Amount Payer Payment Dates;

(k) Fixed Rate and Fixed Rate Day Count Fraction;

(l) Floating Amount Payer (see Section 6.1.2 of the ISDA Definitions for definition);

(m) Floating Amount Payer Payment Dates;

(n) Floating Rate Option (see Section 6.5.1 of the ISDA Definitions for definition);

(o) Designated Maturity (see Section 6.7.4 of the ISDA Definitions for definition), if 

applicable;

12

(p) Spread (see Section 6.5.4 of the ISDA Definitions for definition);

(q) Reset Dates (see Section 6.5.5 of the ISDA Definitions for definition);

(r) Floating Rate Day Count Fraction (see Section 6.5.3 of the ISDA Definitions for 

definition);

(s) FRA Discounting (see Section 4.7.2 of the ISDA Definitions for definition);

(t) Discounting Rate (see Section 4.7.3 of the ISDA Definitions for definition); and

(u) Discounting Rate Day Count Fraction (see Section 4.7.4 of the ISDA Definitions for 

definition); and

(v) FRA Yield Discounting (see Section 4.7.5 of the ISDA Definitions for definition).

In respect of forward rate agreements either (s) or (v) but not both should be selected.

SwapClear Contracts registered by the Clearing House in respect of such forward rate 

agreements constitute "IRS SwapClear Contracts". 

2.5 The Economic Terms for vanilla inflation swaps with constant notional principal comprise:

(a) Notional Amount (see Section 4.4.2 of the ISDA Definitions for definition);

(b) currency (see the Currency/Business Day Matrix within of the ISDA Definitions for 

definition);

(c) Trade Date (see Section 3.1.1 of the ISDA Definitions for certain defined currencies);

(d) Effective Date (see Section 3.1.2 of the ISDA Definitions for definition);

12 Please note, in accordance with Section 2.1.3 of Part B of this Product Specific Contract Terms and Eligibility Criteria 

Manual, SwapClear Transactions that reference certain Designated Maturities, in respect of a Floating Rate Option, 

are not eligible for clearing with the Clearing House. Such eligible Designated Maturities change from time to time 

and are specified on the Clearing House website.
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(e) Termination Date (see Section 3.1.3 of the ISDA Definitions for definition);

(f) Additional payments/fees:

(i) the payer of the additional payments/fees (if any);

(ii) the amount of the additional payments/fees (specify zero if none);

(g) Business Days (see Section 2.1.1 of the ISDA Definitions for definition);

(h) Business Day Convention (see Section 2.3.1 of the ISDA Definitions for definition);

(i) Where a Fixed Amount - Floating Amount swap:

13

(i) Fixed Amount Payer (see Section 5.1.3 of the ISDA Definitions for definition);

(a) Fixed Amount Payer Payment Date;

(b) Fixed Amount (see Section 5.1.2 of the ISDA Definitions for definition) 

[or Fixed Rate and Fixed Rate Day Count Fraction][or Fixed Amount

Payer schedule];

(ii) Floating Amount Payer (see Section 6.1.2 of the ISDA Definitions for 

definition);

(a) Floating Amount Payer Payment Date;

(b) Index (see Section 1.4 of the ISDA 2008 Inflation Definitions for 

definition);

(c) Index Initial (being the Index level for the specified Reference Month 

(see Section 1.7 of the ISDA 2008 Inflation Definitions for definition) 

or the specified Index level);

(d) Index Final (being the Index level for the specified Reference Month 

(see Section 1.7 of the ISDA 2008 Inflation Definitions for definition));

(e) Information source (if applicable); and

(f) interpolated index (if applicable).

Provided, however, that, as set out more particularly in Regulation 16, where the SwapClear 

Transaction specifies a SwapClear Dealer as the party paying Rate X (the "First SwapClear 

Dealer"), with the other SwapClear Dealer as the party paying Rate Y (the "Second 

SwapClear Dealer"), the Clearing House, in respect of each SwapClear Contract it is party 

to pursuant to the corresponding SwapClear Transaction, shall be (i) the party paying Rate Y 

to the First SwapClear Dealer, or its SwapClear Clearing Member, as applicable, under the

13 If the particulars of a SwapClear Transaction use or refer (or used or referred) to the term “Fixed Rate Payer” or 

“Floating Rate Payer”, then such term shall be considered the equivalent of the term “Fixed Amount Payer” or 

“Floating Rate Payer”, respectively, for the purposes of such SwapClear Transaction and any corresponding 

SwapClear Contract.
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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), (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. 
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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 

OIS ILS Fixed ILS-SHIR-OIS Compound 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

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-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

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

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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OIS PLN Fixed PLN-WIRON-OIS 

Compound 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

(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
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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:

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

23

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

swap.
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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

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
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2. Additional SwapClear Product Eligibility Criteria

2.1 A SwapClear Transaction must also meet the following additional criteria to be eligible for 

clearing with the Clearing House:

2.1.1 Day Count Fractions

(See Section 4.6 of the ISDA Definitions for definition)

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 detail.

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

The Clearing House will only accept the following day count fractions for Forward 

Rate Agreements. Day Count Fractions are applied to each deal leg independently, as 

communicated via the affirmed trade detail.

Day Count Fraction

MarkitWire/ 

FpML Code Currency

Actual/365 (Fixed) ....................... ACT/365.FIXED PLN, GBP

Actual/360 .................................... ACT/360 USD, EUR, CHF, 

DKK, JPY, NOK, 

SEK, CZK, HUF

Day Count Fraction SWIFT Code

Actual/365 (Fixed) .......................................................... AFI/365

Actual/360 ....................................................................... ACT/360

30/360, 360/360, Bond Basis.......................................... 360/360

30E/360 ........................................................................... 30E/360

2.1.2 Business Day Conventions

The Business Day Convention specified in the Economic Terms must be one of the 

following:
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(a) “Following” or “Following Business Day Convention” (see Section 2.3.2 of 

the ISDA Definitions for definition);

(b) “Modified Following” or “Modified Following Business Day Convention” (see 

Section 2.3.3 of the ISDA Definitions for definition); or

(c) “Preceding” or “Preceding Business Day Convention” (see Section 2.3.4 of the 

ISDA Definitions for definition).

For inflation swaps and vanilla interest rate swaps with constant notional principal,

SwapClear does not support trades where a different business day convention is used 

for:

(a) fixed period end dates and the termination date; or

(b) float period end dates and the termination date.

2.1.3 Additional Criteria 

A SwapClear Transaction must also meet the additional criteria that is specified on the 

Clearing House websiteportal within its “SwapClear Product Characteristics Matrix” 

(or such successor or other name, as determined by the Clearing House), in respect of 

a minimum residual term of the transaction, designated maturities, fixing dates,

calculation periods, and whether zero coupon swaps are permitted and whether 

variable Notional Amounts, variable Fixed Rates and/or variable Floating Rate 

Spreads are permitted, to be eligible for clearing with the Clearing House.
CORPORATE

Appendix II

FCM Product Specific Contract Terms and Eligibility Criteria Manual

Changed Pages
FCM PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA 

MANUAL
FCM Product Specific Manual

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SCHEDULE 1

FCM SWAPCLEAR

PART A

FCM SWAPCLEAR CONTRACT TERMS

The terms of a registered FCM SwapClear Contract shall include these FCM SwapClear 

Contract Terms which shall comprise:

(1) Interpretation; and

(2) Economic Terms; and

(3) Standard Terms.

In the event of any inconsistency between the Economic Terms and the Standard Terms, the 

Standard Terms will prevail.

Subject to the FCM Regulations and the FCM Procedures, the Clearing House will use the 

FCM SwapClear Contract Terms applicable to an FCM SwapClear Contract to calculate the 

amounts due under the FCM SwapClear Contract to, or from, the Clearing House in accordance 

with the FCM Procedures.

1. Interpretation

1.1 "ISDA Definitions" means the 2021 ISDA Interest Rate Derivatives Definitions, as 

published by the International Swaps and Derivatives Association, Inc. ("ISDA") and 

as amended from time to time, and the same are incorporated by reference herein. 

1.2 "ISDA 2008 Inflation Definitions” means the 2008 ISDA Inflation Derivatives 

Definitions, as published by ISDA and as amended from time to time, and the same are 

incorporated by reference herein, provided that the italicized sentence at the end of the 

first paragraph of page 2 of the ISDA 2008 Inflation Definitions shall be replaced with 

the following: ‘Any capitalized term not herein defined, shall have the meaning given 

to that term in the ISDA Definitions’ and each reference in Section 1.14 of the ISDA 

2008 Inflation Definitions to a ‘Floating Rate Payer’ shall be replaced with the words 

‘Floating Amount Payer’.

1.3 Words and expressions used in these FCM SwapClear Contract Terms, which are not 

defined in the FCM Regulations and the FCM Procedures, but which are defined in the 

ISDA Definitions or the ISDA 2008 Inflation Definitions, shall have the same meaning 

herein as in the ISDA Definitions or the ISDA 2008 Inflation Definitions as the case 

may be, unless expressly provided otherwise. 

1.4 In the event of an inconsistency between the FCM Regulations and the FCM Procedures 

and any of the ISDA Definitions or the ISDA 2008 Inflation Definitions, the FCM 

Regulations and FCM Procedures will prevail. In the event of an inconsistency between 

the ISDA Definitions and the ISDA 2008 Inflation Definitions, the ISDA 2008 Inflation 

Definitions will (where applicable) prevail.

1.5 For the avoidance of doubt, the ISDA Definitions are incorporated into the FCM 

SwapClear Contract Terms of an FCM SwapClear Contract and shall apply to such 
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FCM SwapClear Contract, regardless of whether the particulars of the FCM SwapClear 

Transaction submitted to the Clearing House and corresponding to such FCM 

SwapClear Contract identified the ISDA Definitions, the 2006 ISDA Definitions as 

published by ISDA or the 2000 ISDA Definitions as published by ISDA within such 

particulars, or did not identify any of them within such particulars.

1.6 If the particulars of an FCM SwapClear Transaction use or refer (or used or referred) 

to a Floating Rate Option that is:

(a) not HKD-HIBOR-ISDC, NOK-NIBOR-NIBR, SGD-SOR-Reuters or CLPTNA, and that is defined under the 2006 ISDA Definitions or 2000 ISDA 

Definitions (in each case) as published by ISDA, but not the ISDA Definitions, 

then the Clearing House will determine (in its discretion) the equivalent 

Floating Rate Option under the ISDA Definitions and such Floating Rate Option 

will apply for the purposes of such FCM SwapClear Transaction and any 

corresponding FCM SwapClear Contract;

(b) CLP-TNA, then the Clearing House has determined that the equivalent Floating 

Rate Option under the ISDA Definitions is CLP-ICP and such Floating Rate 

Option will apply for the purposes of such FCM SwapClear Transaction and 

any corresponding FCM SwapClear Contract; or

(c) HKD-HIBOR-ISDC, NOK-NIBOR-NIBR or SGD-SOR-Reuters, then the 

Clearing House will determine (in its discretion) the equivalent Floating Rate 

Option under the ISDA Definitions and such Floating Rate Option will apply 

for the purposes of such FCM SwapClear Transaction and any corresponding 

FCM SwapClear Contract.

1.7 References in the ISDA Definitions to a "Transaction" and references in the ISDA 

2008 Inflation Definitions to an “Index Transaction” shall be deemed to be references 

to an "FCM SwapClear Transaction" for the purposes of the FCM SwapClear service.

1.8 Except where expressly stated otherwise, all reference to "Section" means sections of 

the ISDA Definitions or the ISDA 2008 Inflation Definitions, as the case may be.

1.9 In relation to any amendments to the ISDA Definitions or the ISDA 2008 Inflation 

Definitions, such ISDA Definitions or ISDA 2008 Inflation Definitions, as amended, 

shall apply to FCM SwapClear Contracts with immediate effect (without the need for 

any notice by the Clearing House to FCM Clearing Members), except where the 

Clearing House specifies otherwise by notice to FCM Clearing Members. Without 

limitation, any such notice may provide that an amendment to the ISDA Definitions or 

the ISDA 2008 Inflation Definitions may take effect so as to apply to FCM SwapClear 

Contracts registered in an FCM Clearing Member's name at such time and in such 

manner, or not apply at all, as the Clearing House may determine in its discretion, and

the accidental omission to give notice under this provision to, or the non-receipt of 

notice under this provision by, a FCM Clearing Member shall not invalidate the 

effectiveness of the matters specified in such notice.

2. Economic Terms
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LCH Limited © 2023 - 3 - NovemberJuly 2023

2.1 The Economic Terms of an FCM SwapClear Contract shall be derived from the 

information presented to the Clearing House by the parties to the corresponding FCM 

SwapClear Transaction in respect of the terms designated as Economic Terms in this 

Schedule.

2.2 It is part of the eligibility criteria for registration as an FCM SwapClear Contract that 

the particulars of an FCM SwapClear Transaction presented to the Clearing House must 

include matched information in respect of such designated Economic Terms.

2.3 The Economic Terms for vanilla interest rate swaps with constant notional principal 

and variable notional swaps (including non-deliverable interest rate swaps) comprise:

(a) Notional Amount (see Section 4.4.2 of the ISDA Definitions for definition and 

for variable notional swaps, the Notional Amount can be set out in a Notional 

Amount schedule);1

(b) currency (see the Currency/Business Day Matrix within the ISDA Definitions 

for certain defined currencies);

(c) Trade Date (see Section 3.1.1 of the ISDA Definitions for definition);

(d) Effective Date (see Section 3.1.2 of the ISDA Definitions for definition);

(e) Termination Date (see Section 3.1.3 of the ISDA Definitions for definition);

(f) Additional payments/fees:

(i) the payer of the additional payments/fees (if any);

(ii) the amount of the additional payments/fees (specify zero if none);

(g) Business Days (see Section 2.1.1 of the ISDA Definitions for definition);

(h) Business Day Convention (see Section 2.3.1 of the ISDA Definitions for 

definition);

(i) Where a Fixed Amount – Floating Amount swap:

2

1 The Clearing HouseSwapClear will accept IRS, Basis, OIS or zero coupon swaps with a Notional Amount 

which for each payment calculation period may remain unchanged, increase or decrease relative to its 

previous value, but only where the Clearing House specifies this is permitted in its additional eligibility 

criteria on the Clearing House website within its “SwapClear Product Characteristics Matrix” (or such 

successor or other name, as determined by the Clearing House). The changes in notional can only take place 

at the calculation period start dates and must be pre-determined at the point of registration. The notional 

schedule will be applied at the start of the corresponding calculation period, adjusted (or unadjusted) with the 

calculation period calendar specified in the trade. Notional schedules need not be identical for the two legs of 

the trade.

2

If the particulars of an FCM SwapClear Transaction use or refer (or used or referred) to the term “Fixed Rate 

Payer” or “Floating Rate Payer”, then such term shall be considered the equivalent of the term “Fixed Amount 

Payer” or “Floating Amount Payer”, respectively, for the purposes of such FCM SwapClear Transaction and 

any corresponding FCM SwapClear Contract.
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LCH Limited © 2023 - 4 - NovemberJuly 2023

(i) Fixed Amount Payer (see Section 5.1.3 of the ISDA Definitions for 

definition);

(ii) Fixed Amount Payer Payment Dates (see Section 3.1.8 of the ISDA 

Definitions for definition);

(iii) Fixed Amount (see Section 5.1.2 of the ISDA Definitions for definition) 

[or Fixed Rate and Fixed Rate Day Count Fraction] [or Fixed Amount 

Payer schedule];

3

(iv) Floating Amount Payer (see Section 6.1.2 of the ISDA Definitions for 

definition);

(v) Floating Amount Payer Payment Dates (see Section 3.1.8 of the ISDA

Definitions for definition);

(vi) Floating Amount Payer Compounding Dates (if applicable) (see Section 

4.9.2 of the ISDA Definitions for definition);

(vii) Floating Amount (see Section 6.1.3 of the ISDA Definitions for 

definition);

(viii) Floating Rate Option (see Section 6.5.1 of the ISDA Definitions for 

definition);

(ix) Designated Maturity (see Section 6.7.4 of the ISDA Definitions for 

definition), if applicable4;

(x) Spread (see Section 6.5.4 of the ISDA Definitions for definition);

5

(xi) Reset Dates (see Section 6.5.5 of the ISDA Definitions for definition);

(xii) Floating Rate Day Count Fraction (see Section 6.5.3 of the ISDA 

Definitions for definition);

3 The Clearing HouseSwapClear will accept IRS, Basis, OIS or zero coupon variable notional swaps with a 

Fixed Rate on the fixed leg which for each calculation and/or compounding period may remain unchanged, 

increase or decrease relative to its previous value, but only where the Clearing House specifies this is 

permitted in its additional eligibility criteria on the Clearing House portal within its “SwapClear Product 

Characteristics Matrix” (or such successor or other name, as determined by the Clearing House).

4 Please note, in accordance with Section 2.1.3 of Part B of this FCM Product Specific Contract Terms and 

Eligibility Criteria Manual, FCM SwapClear Transactions that reference certain Designated Maturities, in 

respect of a Floating Rate Option, are not eligible for clearing with the Clearing House. Such eligible 

Designated Maturities change from time to time and are specified on the Clearing House website.

5 The Clearing HouseSwapClear will accept IRS, Basis, OIS or zero coupon variable notionalswaps with a 

Ffloating Rrate Sspread on the floating leg which for each calculation and/or compounding period may remain 

unchanged, increase or decrease relative to its previous value, but only where the Clearing House specifies 

this is permitted in its additional eligibility criteria on the Clearing House portal within its “SwapClear Product 

Characteristics Matrix” (or such successor or other name, as determined by the Clearing House). The spread 

can be negative. Where such spread is variable it can be set out in a Spread schedule.
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LCH Limited © 2023 - 5 - NovemberJuly 2023

(j) Where a Floating Amount – Floating Amount swap ("basis" swap):

6

(i) Floating Amount Payer 1 (see Section 6.1.2 of the ISDA Definitions for 

definition):

(a) Floating Amount Payer Payment Dates (see Section 3.1.8 of the 

ISDA Definitions for definition);

(b) Floating Amount Payer Compounding Dates, if applicable (see 

Section 4.9.2 of the ISDA Definitions for definition);

(c) Floating Rate Option (see Section 6.5.1 of the ISDA Definitions 

for definition);

(d) Designated Maturity (see Section 6.7.4 of the ISDA Definitions 

for definition), if applicable;

7

(e) Spread (see Section 6.5.4 of the ISDA Definitions for 

definition);

8

(f) Reset Dates (see Section 6.5.5 of the ISDA Definitions for 

definition);

(g) Floating Rate Day Count Fraction (see Section 6.5.3 of the 

ISDA Definitions for definition);

(ii) Floating Amount Payer 2 (see Section 6.1.2 of the ISDA Definitions for 

definition):

(a) Floating Amount Payer Payment Dates (see Section 3.1.8 of the 

ISDA Definitions for definition);

(b) Floating Amount Payer Compounding Dates (if applicable) (see 

Section 4.9.2 of the ISDA Definitions for definition);

(c) Floating Rate Option (see Section 6.5.1 of the ISDA Definitions 

for definition);

6

If the particulars of an FCM SwapClear Transaction use or refer (or used or referred) to the term “Floating 

Rate Payer”, then such term shall be considered the equivalent of the term “Floating Amount Payer” for the 

purposes of such FCM SwapClear Transaction and any corresponding FCM SwapClear Contract.

7 Please note, in accordance with Section 2.1.3 of Part B of this FCM Product Specific Contract Terms and 

Eligibility Criteria Manual, FCM SwapClear Transactions that reference certain Designated Maturities, in 

respect of a Floating Rate Option, are not eligible for clearing with the Clearing House. Such eligible 

Designated Maturities change from time to time and are specified on the Clearing House website.

8 The Clearing HouseSwapClear will accept IRS, Basis, OIS or zero coupon variable notional swaps with a 

fFloating rRate sSpread on the floating leg which for each calculation and/or compounding period may remain 

unchanged, increase or decrease relative to its previous value, but only where the Clearing House specifies 

this is permitted in its additional eligibility criteria on the Clearing House portal within its “SwapClear Product 

Characteristics Matrix” (or such successor or other name, as determined by the Clearing House). The spread 

can be negative. Where such spread is variable it can be set out in a Spread schedule.
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LCH Limited © 2023 - 6 - NovemberJuly 2023

(d) Designated Maturity (see Section 6.7.4 of the ISDA Definitions 

for definition), if applicable;

9

(e) Spread (see Section 6.5.4 of the ISDA Definitions for 

definition);10

(f) Reset Dates (see Section 6.5.5 of the ISDA Definitions for 

definition); and

(g) Floating Rate Day Count Fraction (see Section 6.5.3 of the 

ISDA Definitions for definition).

Any FCM SwapClear Contract registered with respect to an FCM SwapClear 

Transaction which is one of the vanilla interest rate swaps with constant notional 

principal or the variable notional swaps (including non-deliverable interest rate swaps) 

described in this Section 2.3 shall constitute an “IRS FCM SwapClear Contract”.

2.4 The Economic Terms for Forward Rate Agreements comprise:11

(a) Notional Amount (see Section 4.4.2 of the ISDA Definitions for definition);

(b) currency (see the Currency/Business Day Matrix within the ISDA Definitions 

for certain defined currencies);

(c) Trade Date (see Section 3.1.1 of the ISDA Definitions for definition);

(d) Effective Date (see Section 3.1.2 of the ISDA Definitions for definition);

(e) Termination Date (see Section 3.1.3 of the ISDA Definitions for definition);

(f) Additional payments/fees:

(i) the payer of the additional payments/fees (if any);

(ii) the amount of the additional payments/fees (specify zero if none).

(g) Business Days (see Section 2.1.1 of the ISDA Definitions for definition);

9 Please note, in accordance with Section 2.1.3 of Part B of this FCM Product Specific Contract Terms and 

Eligibility Criteria Manual, FCM SwapClear Transactions that reference certain Designated Maturities, in 

respect of a Floating Rate Option, are not eligible for clearing with the Clearing House. Such eligible 

Designated Maturities change from time to time and are specified on the Clearing House website.

10 The Clearing HouseSwapClear will accept IRS, Basis, OIS or zero coupon variable notional swaps with a 

fFloating rRate sSpread on the floating leg which for each calculation and/or compounding period may remain 

unchanged, increase or decrease relative to its previous value, but only where the Clearing House specifies 

this is permitted in its additional eligibility criteria on the Clearing House portal within its “SwapClear Product

Characteristics Matrix” (or such successor or other name, as determined by the Clearing House). The spread 

can be negative. Where such spread is variable it can be set out in a Spread schedule.

11 If the particulars of an FCM SwapClear Transaction use or refer (or used or referred) to the term “Fixed Rate 

Payer” or “Floating Rate Payer”, then such term shall be considered the equivalent of the term “Fixed Amount 

Payer” or “Floating Amount Payer”, respectively, for the purposes of such FCM SwapClear Transaction and 

any corresponding FCM SwapClear Contract.
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LCH Limited © 2023 - 7 - NovemberJuly 2023

(h) Business Day Convention (see Section 2.3.1 of the ISDA Definitions for 

definition);

(i) Fixed Amount Payer (see Section 5.1.3 of the ISDA Definitions for definition);

(j) Fixed Amount Payer Payment Dates;

(k) Fixed Rate and Fixed Rate Day Count Fraction;

(l) Floating Amount Payer (see Article 2.2 Section 6.1.2 of the ISDA Definitions);

(m) Floating Amount Payer Payment Dates;

(n) Floating Rate Option (see Section 6.5.1 of the ISDA Definitions for definition);

(o) Designated Maturity (see Section 6.7.4 of the ISDA Definitions for definition), 

if applicable;

12

(p) Spread (see Section 6.5.4 of the ISDA Definitions for definition);

(q) Reset Dates (see Section 6.5.5 of the ISDA Definitions for definition);

(r) Floating Rate Day Count Fraction (see Section 6.5.3 of the ISDA Definitions

for definition);

(s) FRA Discounting (see Section 4.7.2 of the ISDA Definitions for definition);

(t) Discounting Rate (see Section 4.7.3 of the ISDA Definitions for definition);

(u) Discounting Day Count Fraction (see Section 4.7.4 of the ISDA Definitions for 

definition); and

(v) FRA Yield Discounting (see Section 4.7.5 of the ISDA Definitions for 

definition).

In respect of forward rate agreements either (s) or (v) but not both should be selected.

Any FCM SwapClear Contract registered with respect to an FCM SwapClear 

Transaction that is one of the forward rate agreements described in this Section 2.4 shall 

constitute an “IRS FCM SwapClear Contract”.

2.5 The Economic Terms for vanilla inflation swaps with constant notional principal 

comprise:

(a) Notional Amount (see Section 4.4.2 of the ISDA Definitions for definition);

12 Please note, in accordance with Section 2.1.3 of Part B of this FCM Product Specific Contract Terms and 

Eligibility Criteria Manual, FCM SwapClear Transactions that reference certain Designated Maturities, in 

respect of a Floating Rate Option, are not eligible for clearing with the Clearing House. Such eligible 

Designated Maturities change from time to time and are specified on the Clearing House website.
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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. 
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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.
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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
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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 
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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. 
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LCH Limited © 2023 - 18 - NovemberJuly 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

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

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

below:

Instrument Currency Leg 1 Leg 2 Maximum Tenor Notional Amount

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. 
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LCH Limited © 2023 - 19 - NovemberJuly 2023

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

(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 

EUR Fixed EUR-EXT-CPI 50 years 0.01-99,999,999,999.99
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LCH Limited © 2023 - 20 - NovemberJuly 2023

indexed 

swap23

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

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

23

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

legs of the swap.
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LCH Limited © 2023 - 21 - NovemberJuly 2023

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

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

The Clearing House will only accept the following Day Count Fractions 

for Forward Rate Agreements. Day Count Fractions are applied to each 

deal leg independently, as communicated via the affirmed trade details.

Day Count Fraction

MarkitWire/FpML 

Code Currency

Actual/365 (Fixed) ACT/365.FIXED CAD, AUD, NZD, 

PLN, ZAR, GBP

Actual/360 ACT/360 USD, EUR, CHF, 

DKK, JPY, NOK, 

SEK, CZK, HUF
FCM Product Specific Manual

LCH Limited © 2023 - 22 - NovemberJuly 2023

Day Count Fraction SWIFT Code

Actual/365 (Fixed) AFI/365

Actual/360 ACT/360

30/360,360/360, Bond Basis 360/360

30E/360 30E/360

(b) Business Day Conventions

The Business Day Convention specified in the Economic Terms must be one of 

the following:

(i) “Following” or “Following Business Day Convention” (see Section 

2.3.2 of the ISDA Definitions for definition);

(ii) “Modified Following” or “Modified Following Business Day 

Convention” (see Section 2.3.3 of the ISDA Definitions for definition); 

or

(iii) “Preceding” or “Preceding Business Day Convention” (see Section 2.3.4 

of the ISDA Definitions for definition). 

For inflation swaps and vanilla interest rate swaps with constant notional 

principal SwapClear does not support trades where a different business day 

convention is used for:

(i) fixed period end dates and the termination date; or

(ii) float period end dates and the termination date.

(c) Additional Criteria

An FCM SwapClear Transaction must also meet the additional criteria that is 

specified on the Clearing House portalwebsite within its “SwapClear Product 

Characteristics Matrix” (or such successor or other name, as determined by the 

Clearing House), in respect of a minimum residual term of the transaction, 

designated maturities, fixing dates, calculation periods, and whether zero 

coupon swaps are permitted and whether variable Notional Amounts, variable 

Fixed Rates and/or variable Floating Rate Spreads are permitted, to be eligible 

for clearing with the Clearing House.

(d) Up-Front Fees – Eligibility of FCM SwapClear Transactions

Any up-front fees due under an FCM SwapClear Transaction will form part of 

the first Variation Margin payment made in connection with such FCM 

SwapClear Transaction.

FCM SwapClear Transactions with respect to which an FCM Client or an 

Affiliate is an Executing Party and which are denominated in a One-Day 

Currency where the up-front fee is due to settle on the day of registration are 

not eligible for clearing.
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LCH Limited © 2023 - 23 - NovemberJuly 2023

FCM SwapClear Transactions with respect to which an FCM Client or an 

Affiliate is an Executing Party and which are denominated in a Two-Day 

Currency where the up-front fee is due to settle on the day of registration, or the 

day following registration, are not eligible for clearing.

A Backloaded Trade will not be eligible for clearing and will be rejected upon 

presentation in the event that it is presented after a Backload Registration Cycle 

and as a result would not be ‘parked’ for registration until the following 

Business Day and as a result of being ‘parked’ it would no longer be eligible for 

clearing under these criteria.

For the purposes of this paragraph (f):

• “One-Day Currency” means GBP, USD, CAD, MXN or EUR; and

• “Two-Day Currency” means any other eligible currency.