FCM PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA 

MANUAL
FCM Product Specific Manual

LCH Limited © 2022 - 12 - June July 2022

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-

99,999,999,999.99

Interest rate 

swap

GBP Fixed GBP-LIBOR No 18,675 days 0.01-

99,999,999,999.99

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-

99,999,999,999.99

Interest rate 

swap

USD Fixed USD-LIBOR Yes 18,675 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

OIS USD Fixed USD-SOFR-OIS 

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

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

99,999,999,999.99

Basis swap USD USD-LIBOR USD-LIBOR Yes 18,675 days 0.01-

99,999,999,999.99
FCM Product Specific Manual

LCH Limited © 2022 - 17 - June July 2022

Basis swap NZD NZD-BKBM 

FRA

NZD-NZIONA-OIS 

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

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

99,999,999,999.99

Basis swap NZD NZD-BKBM 

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

Interest rate 

swap

SGD Fixed SGD-SOR-Reuters Yes 7,700 days 0.01-

99,999,999,999.99

Interest rate 

swap

SGD Fixed SGD-SOR-VWAP Yes 7,700 days 0.01-

99,999,999,999.99

Interest rate 

swap

SGD Fixed SGD-SOR Yes 7,700 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

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

99,999,999,999.99

Basis swap SGD SGD-SOR SGD-SOR Yes 7,700 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

OIS SGD Fixed SGD-SORA-OIS 

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

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

99,999,999,999.99

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

99,999,999,999.99

Interest rate 

swap

SEK Fixed SEK-STIBOR-SIDE Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

SEK Fixed SEK-STIBOR Yes 11,375 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

Basis swap SEK SEK-STIBOR SEK-STIBOR Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

CHF Fixed CHF-LIBOR-BBA No 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

CHF Fixed CHF-LIBOR No 11,375 days 0.01-

99,999,999,999.99

OIS CHF Fixed CHF-SARONOISCOMPOUND Yes 11,375 days 0.01-

99,999,999,999.99

OIS CHF Fixed CHF-SARON-OIS 

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

Interest rate 

swap

PLN Fixed PLN-WIBOR-WIBO Yes 5,875 days 0.01-

99,999,999,999.99

Interest rate 

swap

PLN Fixed PLN-WIBOR Yes 5,875 days 0.01-

99,999,999,999.99