LCH | Aldgate House | 33 Aldgate High Street | London EC3N 1EA | 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 Group Holdings Limited. Registered in England No. 4743602 Registered Office: Aldgate House, 33 Aldgate High Street, London EC3N 1EA

CORPORATE

VIA CFTC PORTAL

5 April 2023

Mr. Christopher Kirkpatrick

Commodity Futures Trading Commission

1155 21st Street NW

Three Lafayette Centre

Washington, DC 20581

LCH Limited Self-Certification: Benchmark Reform – USD LIBOR 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 the USD LIBOR conversion for benchmark reform.

Part I: Explanation and Analysis

LCH is revising its rules in order to provide for the retirement of the London inter-bank offered rate

(“LIBOR”) for US Dollars (“USD”). In order to facilitate the conversion of swaps referencing USD 

LIBOR to Secured Overnight Financing Rate (“SOFR”), LCH is creating a new floating rate 

conversion annex in its rules. 

LCH proposes a 2-tranche process for the conversion, with a split by product type across two dates,

as follows:

• 22nd / 23rd April 2023 – conversion of VNS and zero coupon swaps.

• 20th / 21st May 2023 – conversion of all other USD LIBOR based swaps.

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 USD LIBOR from the dates listed in Part II below. Changes to the Product Terms will 

be made on the indicated dates.

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.
CORPORATE

Part II: Description of Rule Changes

Procedures:

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

USD LIBOR SwapClear Contracts

On the conversion dates stated in the Floating Rate Conversion Notice, LCH will amend USD 

LIBOR Contracts such that the floating rate reference to USD LIBOR will instead refer to SOFR

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. 

In line with the conversion processes delivered successfully for SwapClear Contracts linked to nonUSD LIBORs, LCH will support time-limited eligibility for legacy swaps submitted to LCH SwapClear 

for registration provided that: (i) ISDA’s Supplement 70 fallbacks apply to the submitted transaction; 

(ii) the original trade date of the swap or the transaction giving rise to the swap was prior to 30th

June 2023; and (iii) the submitting parties were acting in compliance with the regulation applicable 

to them at the point of bilateral trade execution. This capability will be available up to and including 

30th June 2025, after which all USD LIBOR trades submitted to SwapClear will be automatically 

rejected.

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

limitation of liability, are also included.

USD LIBOR SwapClear Contracts will no longer be eligible for clearing from the relevant conversion 

dates.

Product Specific Contract Terms and Eligibility Criteria Manual

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

swaps from the dates listed below. 

Set one: 24 April 2023

• The zero coupon version of fixed vs USD-LIBOR-BBA interest rate swaps; and

• The zero coupon version of fixed vs USD-LIBOR interest rate swaps.

Set two: 22 May 2023

• USD-FEDERAL FUNDS-H.15 vs USD-LIBOR-BBA basis swaps;

• USD-Federal Funds vs USD-LIBOR basis swaps;

• USD-LIBOR-BBA vs USD-LIBOR-BBA basis swaps;

• USD-LIBOR vs USD-LIBOR basis swaps;

• USD-LIBOR-BBA vs USD-SOFR-COMPOUND basis swaps;

• USD-LIBOR vs USD-SOFR-OIS Compound basis swaps; and
CORPORATE

• Fixed vs USD-LIBOR and fixed vs USD-LIBOR-BBA interest rate swaps, except if it is a “Legacy 

LIBOR Transaction” as defined in clause 1 of Schedule 5 of Procedure 2C or clause 1 of 

Schedule 2.1E of the LCH FCM Procedures.

The following changes will also be included in set two, but are conforming changes to align with 

current practice, rather than actual operational changes. 

• Fixed vs GBP-LIBOR, fixed vs JPY-LIBOR and fixed vs CHF-LIBOR interest rate swaps; and

• Fixed vs GBP-LIBOR-BBA, fixed vs JPY-LIBOR-BBA and fixed vs CHF-LIBOR-BBA interest 

rate swaps, except if it is a “Legacy LIBOR Transaction” as defined in clause 1 of Schedule 4 

of Procedure 2C or clause 1 of Schedule 2.1D of the LCH FCM Procedures.

Set three: 1 July 2023

• Fixed vs USD-LIBOR-BBA forward rate agreements; and

• Fixed vs USD-LIBOR forward rate agreements.

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

be effective not earlier than 21 April 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 

referencing USD LIBOR 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.
CORPORATE

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
CORPORATE

Appendix I

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

Changed Pages
LCH LIMITED

PROCEDURES SECTION 2C

SWAPCLEAR CLEARING SERVICE
LCH Limited © 2022

Clearing House Procedures SwapClear Service

- 147 - December 2022[] 2023

CORPORATE

SCHEDULE 5

SWAPCLEAR SCM SERVICE –

FLOATING RATE CONVERSION ANNEX – USD LIBOR

14. 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 USD LIBOR 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.

15. DEFINITIONS

For the purposes of this Annex:

Amended USD LIBOR Contract means each USD LIBOR Contract after giving effect to

the amendments made pursuant to Section 3 below.

Bloomberg 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 USD LIBOR Contract provided by Bloomberg Index

Services Limited (or a successor provider as approved and/or appointed by ISDA from time

to time).

Cash Compensation Amount means, in relation to all USD LIBOR 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, or, in relation to Legacy LIBOR

Transactions, the amount determined in accordance with Section 10 below.

Cash Compensation Contract means each contract determined by the Clearing House and

registered in the relevant Proprietary Account, Individual Segregated Account or "position
LCH Limited © 2022

Clearing House Procedures SwapClear Service

- 148 - December 2022[] 2023

CORPORATE

account" within an Omnibus Segregated Account pursuant to Section 7 or Section 10 (as

applicable) below.

Conversion Cut-Off Date means, with respect to a USD LIBOR Contract, the business day

immediately prior to the Conversion Date applicable to such USD LIBOR Contract as

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

Conversion Date means:

(a) in relation to each Tranche 1 USD LIBOR Contract, April 22, 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;

and

(b) in relation to each Tranche 2 USD LIBOR Contract, May 20, 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 USD LIBOR Contract, the net present value,

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

flows under that USD LIBOR Contract on the basis that such USD LIBOR 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 USD-LIBOR (as defined in the ISDA 2021 Interest

Rate Definitions).

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

International Swaps and Derivatives Association, Inc.

Legacy LIBOR End Date means June 30, 2025, 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.

Legacy LIBOR Transaction means a SwapClear Transaction that meets the following

conditions:

(c) it is eligible under the Product Specific Contract Terms and Eligibility Criteria

Manual in effect from time to time;

(d) it specifies the In-Scope Floating Rate Option as the floating rate or uses the In-Scope

Floating Rate Option to calculate the floating amount thereunder;

(e) it is presented to the Clearing House after the applicable Conversion Date; and

(f) if it is presented to the Clearing House after June 30, 2023 either (i) in the case of

SwapClear Transactions other than those referred to in (ii) below, the SwapClear

Transaction was entered into prior to the June 30, 2023, or (ii) in the case of a

SwapClear Transaction resulting from the exercise of a swaption, that swaption was

entered into prior to June 30, 2023.
LCH Limited © 2022

Clearing House Procedures SwapClear Service

- 149 - December 2022[] 2023

CORPORATE

LIBOR Basis Swap means each SwapClear Contract that is recorded as a “basis swap” in

the books and records of the Clearing House and references the In-Scope Floating Rate

Option.

Operational Straddle Period USD LIBOR 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 London Banking Days (as defined in the

ISDA Definitions).

RFR Value means, in relation to a USD LIBOR Contract, the net present value, determined

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

that USD LIBOR Contract on the basis that such USD LIBOR Contract is an Amended USD

LIBOR 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 USD LIBOR Contract means a USD LIBOR 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 USD LIBOR

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

the applicable Conversion Date.

Tranche 1 USD LIBOR Contract means each USD LIBOR Contract that is recorded in the

books and records of the Clearing House as either a “FedFunds – USD LIBOR basis swap”, a

“variable notional swap” or a “zero coupon swap”, or such other USD LIBOR Contracts 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.

Tranche 2 USD LIBOR Contract means each USD LIBOR Contract that is not a Tranche 1

USD LIBOR Contract, or such other USD LIBOR Contracts 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.

16. AMENDMENTS TO USD LIBOR CONTRACTS

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

applicable Conversion Date each USD LIBOR Contract shall be amended in

accordance with this Section 3.

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 Options, and notwithstanding anything to the
LCH Limited © 2022

Clearing House Procedures SwapClear Service

- 150 - December 2022[] 2023

CORPORATE

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 USD-LIBOR in the SwapClear Contract Terms shall

be deemed to be replaced for all purposes with USD-SOFR-OIS Compound.

Bloomberg 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

USD LIBOR Contract, the “Floating Rate” under each USD LIBOR Contract will, in

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

the terms of the USD LIBOR Contract, include the Bloomberg 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

USD LIBOR 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 USD LIBOR 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 USD LIBOR 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 USD LIBOR 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 and the IBOR

Fallback Rate Adjustments Rule Book published by Bloomberg Index Services

Limited shall not apply to the calculation of the "Floating Rate" under each USD

LIBOR Contract.

Amendments to Zero Coupon Swaps:

(f) If the USD LIBOR Contract is recorded in the books and records of the Clearing

House as a “zero coupon swap” then, in addition to the amendments above, on the

applicable Conversion Date:

(i) the “Effective Date” under such USD LIBOR Contract will be amended so

that it is equal to the first “Period End Date” (as defined in the ISDA

Definitions) falling after the “Index Cessation Effective Date (as defined in the
LCH Limited © 2022

Clearing House Procedures SwapClear Service

- 151 - December 2022[] 2023

CORPORATE

ISDA Definitions) related to the In-Scope Floating Rate Option referenced in

the relevant USD LIBOR Contract;

(ii) the “Notional Amount” of such USD LIBOR Contract will be amended so that

it is equal to the sum of (x) the “Notional Amount” of the USD LIBOR

Contract as of the applicable Conversion Date and (y) the “Floating Amounts”

accrued under the USD LIBOR Contract to, and including, the first “Period

End Date” (as defined in the ISDA Definitions) falling after the Index

Cessation Effective Date related to the In-Scope Floating Rate Option

referenced in the relevant USD LIBOR Contract (the amount in (y) being the

Accrued USD LIBOR Amount); and

(iii) an amount equivalent to the Accrued USD LIBOR Amount shall be an

additional amount payable by the “Floating Amount Payer” under the USD

LIBOR Contract on the “Termination Date” of such USD LIBOR Contract.

Consequential Amendments:

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

USD LIBOR Contract as it deems necessary in connection with, and to give effect to,

the amendments in this Section 3.

(h) Unless expressly referenced herein, all other terms of each USD LIBOR 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).

17. 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 USD LIBOR Contract, the

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

Booking) that is on the same terms as the USD LIBOR 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 USD LIBOR Contract, the Clearing House shall terminate the operational

booking relating to that USD LIBOR Contract that was recorded in the SwapClear

service immediately prior to the applicable Conversion Date. For the avoidance of
LCH Limited © 2022

Clearing House Procedures SwapClear Service

- 152 - December 2022[] 2023

CORPORATE

doubt, this paragraph (b) shall apply to all USD LIBOR Contracts, including any

LIBOR Basis Swaps that have not been split pursuant to section 1.33 of Procedure 2C

as of the applicable Conversion Date.

Operational Overlay Bookings

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

each Straddle Period USD LIBOR Contract and Operational Straddle Period USD

LIBOR 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 USD LIBOR Contract or Operational Straddle Period USD LIBOR

Booking (such amount, the USD LIBOR 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) in relation to a Straddle Period USD LIBOR Contract or any Operational

Straddle Period USD LIBOR Booking that is not of the type specified in (ii)

below:

(A) 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 USD LIBOR

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

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

if applicable, as reflected in the Operational Straddle Period USD

LIBOR Booking); and

(B) 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,

(ii) in relation to a Straddle Period USD LIBOR Contract that is recorded in a

Proprietary Account (or any Operational Straddle Period USD LIBOR

Booking that would be recorded in a Proprietary Account) an Operational

Overlay Booking reflecting (X) a “Floating Amount” that would be payable by

the SwapClear Clearing Member equal to the “Floating Amount” it would be

entitled to receive as reflected under the Operational RFR Booking and (Y) an

amount that would be payable to the SwapClear Clearing Member equal to the

USD LIBOR Amount it would be entitled to receive under the Straddle Period

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

if applicable, as reflected in the Operational Straddle Period USD LIBOR

Booking).

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

each Straddle Period USD LIBOR Contract and Operational Straddle Period USD

LIBOR Booking in relation to which the SwapClear Clearing Member would pay the
LCH Limited © 2022

Clearing House Procedures SwapClear Service

- 153 - December 2022[] 2023

CORPORATE

USD LIBOR 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 USD LIBOR Contract or any Operational

Straddle Period USD LIBOR Booking that is not of the type specified in (ii)

below:

(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 USD LIBOR Amount it would be obliged to pay

under the Straddle Period USD LIBOR Contract if it was not amended

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

Operational Straddle Period USD LIBOR 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,

(ii) in relation to a Straddle Period USD LIBOR Contract that is recorded in a

Proprietary Account (or any Operational Straddle Period USD LIBOR

Booking that would be recorded in a Proprietary Account) an Operational

Overlay Booking reflecting (X) an amount payable by the SwapClear Clearing

Member equal to the USD LIBOR Amount the SwapClear Clearing Member

would be obliged to pay under the Straddle Period USD LIBOR Contract if it

was not amended pursuant to Section 3 above (or, if applicable, as reflected in

the Operational Straddle Period USD LIBOR Booking) and (Y) a “Floating

Amount” payable to the SwapClear Clearing Member equal to the “Floating

Amount” the SwapClear Clearing Member would be obliged to pay as

reflected under the related Operational RFR Booking.

(e) The Operational Overlay Bookings in relation to a Straddle Period USD LIBOR

Contract and Operational Straddle Period USD LIBOR 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.

18. 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 USD LIBOR 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
LCH Limited © 2022

Clearing House Procedures SwapClear Service

- 154 - December 2022[] 2023

CORPORATE

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 USD LIBOR Contract to reflect the rights and

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

Splitting of Basis Swaps after the applicable Conversion Date

(b) SwapClear Members and SwapClear Clearing Clients may request that the Clearing

House split their LIBOR Basis Swaps prior to the applicable Conversion Date in

accordance with section 1.33 of Procedure 2C. To the extent that a SwapClear

Clearing Member or a SwapClear Clearing Client has not requested the Clearing

House to split its LIBOR Basis Swaps pursuant to section 1.33 of Procedure 2C by the

applicable Conversion Date, such SwapClear Clearing Member or SwapClear

Clearing Client may, from time to time thereafter, request that the Clearing House

splits one or more of its LIBOR Basis Swaps using the process set out in section 1.33

of Procedure 2C. If the Clearing House accepts the SwapClear Clearing Member’s or

SwapClear Clearing Client’s request and re-registers the relevant LIBOR Basis Swaps

in accordance with section 1.33 of Procedure 2C, then it shall also amend the

Amended USD LIBOR Contract, the Operational RFR Booking, and, if relevant, any

Operational Overlay Bookings related to the LIBOR Basis Swaps which have been

split pursuant to section 1.33 of Procedure 2C to the extent it deems necessary in

connection with such re-registration.

19. 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.

20. 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 Tranche 1 USD LIBOR Contracts or Tranche 2 USD LIBOR

Contracts (as applicable) 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 Tranche 1 USD LIBOR Contracts or Tranche 2 USD LIBOR

Contracts (as applicable) registered in each Individual Segregated Account as
LCH Limited © 2022

Clearing House Procedures SwapClear Service

- 155 - December 2022[] 2023

CORPORATE

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 Tranche 1 USD LIBOR Contracts or Tranche 2 USD LIBOR

Contracts (as applicable) 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 Tranche 1 USD LIBOR

Contracts or Tranche 2 USD LIBOR Contracts (as applicable) 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 Tranche 1 USD LIBOR Contracts

or Tranche 2 USD LIBOR Contracts (as applicable)exceeds the aggregate

Fallback RFR Value in relation to all Tranche 1 USD LIBOR Contracts or

Tranche 2 USD LIBOR Contracts (as applicable) then the Cash Compensation

Amount in relation to the Tranche 1 USD LIBOR Contracts or Tranche 2 USD

LIBOR Contracts (as applicable) 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 Tranche 1 USD LIBOR Contracts

or Tranche 2 USD LIBOR Contracts (as applicable) is less than the aggregate

Fallback RFR Value in relation to all Tranche 1 USD LIBOR Contracts or

Tranche 2 USD LIBOR Contracts (as applicable) then the Cash Compensation

Amount in relation to all Tranche 1 USD LIBOR Contracts or Tranche 2 USD

LIBOR Contracts (as applicable) 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 Tranche 1
LCH Limited © 2022

Clearing House Procedures SwapClear Service

- 156 - December 2022[] 2023

CORPORATE

USD LIBOR Contracts or Tranche 2 USD LIBOR Contracts (as applicable) 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

USD LIBOR 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 USD LIBOR 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);

(iii) to perform all obligations and exercise all rights under or pursuant to this

Annex in accordance with Applicable Law;

(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 USD LIBOR Contracts pursuant to this Annex;

and

(v) that it will take reasonable steps to ensure that any SwapClear Transaction

referencing the In-Scope Floating Rate Option and submitted after June 30,

2023 meets the conditions in the definition of Legacy LIBOR Transaction.
LCH Limited © 2022

Clearing House Procedures SwapClear Service

- 157 - December 2022[] 2023

CORPORATE

21. DETERMINATIONS BINDING

Subject to Section 12, 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.

22. 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.

23. LEGACY LIBOR TRANSACTIONS

(a) Notwithstanding anything to the contrary in the Product Specific Contract Terms and

Eligibility Criteria Manual:

(a) from and including the Conversion Date in relation to Tranche 1 USD LIBOR

Contracts, other than “variable notional swaps” the Clearing House shall not

accept for clearing or registration any SwapClear Transaction that would, if

registered, be a Tranche 1 USD LIBOR Contract and is not a Legacy LIBOR

Transaction; and

(b) from and including the Conversion Date in relation to Tranche 2 USD LIBOR

Contracts, the Clearing House shall not accept for clearing or registration any

SwapClear Transaction that would, if registered, be a “variable notional swap”

or a Tranche 2 USD LIBOR Contract and is not a Legacy LIBOR Transaction.

(b) A SwapClear Clearing Member may present Legacy LIBOR Transactions for

registration at the Clearing House from, and including, the applicable Conversion

Date up to, and including, the Legacy LIBOR End Date. No Legacy LIBOR

Transactions will be eligible for clearing after the Legacy LIBOR End Date and no

SwapClear Clearing Member shall present a Legacy LIBOR Transaction for

registration after the Legacy LIBOR End Date.

(c) If a SwapClear Clearing Member presents a Legacy LIBOR Transaction to the

Clearing House after June 30, 2023 on behalf of a SwapClear Clearing Client, that

SwapClear Clearing Client shall be deemed to represent and warrant to that

SwapClear Clearing Member on the day the SwapClear Clearing Member presents

that Legacy LIBOR Transaction to the Clearing House that:

(i) either (a) the Legacy LIBOR Transaction was entered into prior to June 30,

2023, or (b) in the case of a Legacy LIBOR Transaction which results from the

exercise of a swaption, that swaption was entered into prior to June 30, 2023;
LCH Limited © 2022

Clearing House Procedures SwapClear Service

- 158 - December 2022[] 2023

CORPORATE

(ii) the SwapClear Transaction incorporates either the Fallbacks Supplement

pursuant to the ISDA 2020 IBOR Fallbacks Protocol, Supplement 70 to the

ISDA 2006 Definitions or the equivalent provisions under the ISDA 2021

Definitions, in each case prior to it being presented to the Clearing House; and

(iii) the Legacy LIBOR Transaction or, if applicable, the related physically settled

swaption, was entered into in accordance with (i) the “Statement on LIBOR

Transition” dated November 30, 2020 issued by the Board of Governors of the

Federal Reserve System, the Office of the Comptroller of the Currency, and

the Federal Deposit Insurance Corporation or any analogous notice, guidance

or statement in any jurisdiction applicable to the SwapClear Clearing Member

and the Legacy LIBOR Transaction, and (ii) Applicable Law.

The SwapClear Clearing Member shall immediately notify the Clearing House if it

becomes aware that any of the foregoing representations made by any of its

SwapClear Clearing Clients are incorrect, untrue or misleading. For the avoidance of

doubt, in accordance with Regulation 60C, this paragraph 10(c) is a "Mandatory CCP

Provision" for the purposes of the Clearing Agreements between a SwapClear

Clearing Member and each of its SwapClear Clearing Clients.

(d) A Legacy LIBOR Transaction will only be registered by the Clearing House on a

business day if it is presented to the Clearing House prior to 4 p.m. London time on

such business day (or such other cut-off time as may be separately communicated by

the Clearing House to the SwapClear Clearing Members). If a Legacy LIBOR

Transaction is presented after this time, the Clearing House may decline to register

the Legacy LIBOR Transaction.

(e) When a Legacy LIBOR Transaction is presented to the Clearing House by a

SwapClear Clearing Member the presentation of such Legacy LIBOR Transaction

shall constitute an irrevocable instruction from that SwapClear Clearing Member to

the Clearing House to (i) register the Legacy LIBOR Transaction (subject to any other

rights of the Clearing House, or obligations of the SwapClear Clearing Members in

relation to the presentation or submission of SwapClear Transactions and registration

of SwapClear Contracts generally pursuant to the Rulebook or the Product Specific

Contract Terms and Eligibility Criteria Manual) and (ii) immediately at the point of,

and as part of, registration amend the Legacy LIBOR Transaction in accordance with

Section 3(b)-(f) (inclusive) as applicable and as if such provisions applied to Legacy

LIBOR Transactions, provided however that, notwithstanding anything to the contrary

in Section 3, in relation to Legacy LIBOR Transactions only, the applicable

amendments in Section 3(b)-(f) shall be made at the point of, and as part of,

registration of the Legacy LIBOR Transaction at the Clearing House and any

reference in Section 3 to such amendments being made on any other date (including

on any future Reset Date or number of days before a future Reset Date) shall be

disregarded and shall not apply to Legacy LIBOR Transactions and Section 3 shall be

read accordingly in relation to Legacy LIBOR Transactions.

(f) The SwapClear Clearing Member agrees that the Legacy LIBOR Transaction will be

amended pursuant to (e) above at the point of, and as part of, registration at the

Clearing House and, for the avoidance of doubt, there shall be no Operational Overlay

Bookings in relation to Legacy LIBOR Transactions. The Clearing House shall have
LCH Limited © 2022

Clearing House Procedures SwapClear Service

- 159 - December 2022[] 2023

CORPORATE

the right to make any consequential amendments to the terms of each Legacy LIBOR

Transaction as it deems necessary in connection with, and to give effect to, the

amendments in this Section 10. Unless expressly referenced herein, all other terms of

each Legacy LIBOR Transaction 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).

(g) At close of business in New York on each business day on which one or more Legacy

LIBOR Transactions are presented to the Clearing House and accepted by the

Clearing House, the Clearing House shall calculate the following amounts in relation

to those Legacy LIBOR Transactions that were registered by the Clearing House on

that business day:

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

all Legacy LIBOR Transactions that were registered by the Clearing House on

that business day and are registered in each Proprietary Account as of the end

of the business day in New York;

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

all Legacy LIBOR Transactions that were registered by the Clearing House on

that business day and are registered in each Individual Segregated Account as

of the end of the business day in New York; and

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

all Legacy LIBOR Transactions that were registered by the Clearing House on

that business day and are registered in each "position account" within each

Omnibus Segregated Account as of the end of the business day in New York.

(h) The Clearing House shall determine a single Cash Compensation Amount separately

in respect of all of the Legacy LIBOR Transactions registered with the Clearing

House on that business day separately with respect to 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 such Legacy LIBOR Transactions

that were registered with the Clearing House on that business day exceeds the

aggregate Fallback RFR Value in relation to all such Legacy LIBOR

Transactions then the Cash Compensation Amount in relation to such Legacy

LIBOR Transactions 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 such Legacy LIBOR Transactions

that were registered with the Clearing House on that business day is less than

the aggregate Fallback RFR Value in relation to all such Legacy LIBOR

Transactions then the Cash Compensation Amount in relation to such Legacy

LIBOR Transactions 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
LCH Limited © 2022

Clearing House Procedures SwapClear Service

- 160 - December 2022[] 2023

CORPORATE

Proprietary Account, Individual Segregated Account, or "position account"

within such Omnibus Segregated Account (as applicable).

(i) 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 calculated under (g) above (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 date it is registered, 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

Legacy LIBOR Transactions in the relevant Proprietary Account, Individual

Segregated Account, or "position account" within the relevant Omnibus Segregated

Account, in each case as determined pursuant to (g) 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.

(j) Each SwapClear Clearing Member agrees to be bound by each Cash Compensation

Contract registered pursuant to this Section 10 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 Legacy LIBOR Transactions.

(k) This Section 10 is without prejudice to any other rights of the Clearing House, or

obligations of the SwapClear Clearing Members, in relation to the presentation of

SwapClear Transactions and registration of SwapClear Contracts generally pursuant

to the Rulebook or the Product Specific Contract Terms and Eligibility Criteria

Manual.

24. 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 12.

(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
LCH Limited © 2022

Clearing House Procedures SwapClear Service

- 161 - December 2022[] 2023

CORPORATE

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.

25. LIMITATION OF LIABILITY

25.1 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;

(iii) any of the operational bookings made pursuant to Section 4 of this Annex; or

(iv) the registration of any Legacy LIBOR Transaction or whether a SwapClear

Transaction is eligible to be registered as a Legacy LIBOR Transaction,

except in the case of fraud or wilful misconduct on the part of the Clearing House or

any other member of the LCH Group.

25.2 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,
LCH Limited © 2022

Clearing House Procedures SwapClear Service

- 162 - December 2022[] 2023

CORPORATE

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.

25.3 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.

25.4 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.
CORPORATE

Appendix II

Section 2 (SwapClear) of the LCH FCM Procedures

Changed Pages
FCM PROCEDURES OF THE CLEARING HOUSE

LCH LIMITED
FCM Procedures FCM SwapClear

LCH Limited © 2023 - 126 - January[] 2023

SCHEDULE 2.1E

SWAPCLEAR FCM SERVICE – FLOATING RATE CONVERSION ANNEX – USD

LIBOR

14. 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

USD LIBOR 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.

15. DEFINITIONS

For the purposes of this Annex:

Amended USD LIBOR Contract means each USD LIBOR Contract after giving effect to

the amendments made pursuant to Section 3 below.

Bloomberg 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 USD LIBOR Contract provided by Bloomberg Index

Services Limited (or a successor provider as approved and/or appointed by ISDA from time

to time).

Cash Compensation Amount means, in relation to all USD LIBOR 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 or, in

relation to Legacy LIBOR Transactions, the amount determined in accordance with Section

10 below.
FCM Procedures FCM SwapClear

LCH Limited © 2023 - 127 - January[] 2023

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 or Section 10 (as applicable) below.

Conversion Cut-Off Date means, with respect to a USD LIBOR Contract, the business day

immediately prior to the Conversion Date applicable to such USD LIBOR Contract as

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

Conversion Date means:

(a) in relation to each Tranche 1 USD LIBOR Contract, April 22, 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;

and

(b) in relation to each Tranche 2 USD LIBOR Contract, May 20, 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 USD LIBOR Contract, the net present value,

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

flows under that USD LIBOR Contract on the basis that such USD LIBOR 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 USD-LIBOR (as defined in the ISDA 2021

Interest Rate Definitions).

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

International Swaps and Derivatives Association, Inc.

Legacy LIBOR End Date means June 30, 2025, 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.

Legacy LIBOR Transaction means an FCM SwapClear Transaction that meets the

following conditions:

(a) it is eligible under the Product Specific Contract Terms and Eligibility Criteria

Manual in effect from time to time;

(b) it specifies the In-Scope Floating Rate Option as the floating rate or uses the In-Scope

Floating Rate Option to calculate the floating amount thereunder;

(c) it is presented to the Clearing House after the applicable Conversion Date; and

(d) if it is presented to the Clearing House after June 30, 2023 either (i) in the case of

FCM SwapClear Transactions other than those referred to in (ii) below, the FCM

SwapClear Transaction was entered into prior to the June 30, 2023, or (ii) in the case
FCM Procedures FCM SwapClear

LCH Limited © 2023 - 128 - January[] 2023

of an FCM SwapClear Transaction resulting from the exercise of a swaption, that

swaption was entered into prior to June 30, 2023.

LIBOR Basis Swap means each FCM SwapClear Contract that is recorded as a “basis swap”

in the books and records of the Clearing House and references the In-Scope Floating Rate

Option.

Operational Straddle Period USD LIBOR 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 London Banking Days (as defined in the

ISDA Definitions).

RFR Value means, in relation to a USD LIBOR Contract, the net present value, determined

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

that USD LIBOR Contract on the basis that such USD LIBOR Contract is an Amended USD

LIBOR 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 USD LIBOR Contract means a USD LIBOR 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 USD LIBOR

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

the applicable Conversion Date.

Tranche 1 USD LIBOR Contract means each USD LIBOR Contract that is recorded in the

books and records of the Clearing House as either a “FedFunds – USD LIBOR basis swap”, a

“variable notional swap” or a “zero coupon swap”, or such other USD LIBOR Contracts 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.

Tranche 2 USD LIBOR Contract means each USD LIBOR Contract that is not a Tranche 1

USD LIBOR Contract, or such other USD LIBOR Contracts 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.

16. AMENDMENTS TO USD LIBOR CONTRACTS

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

the applicable Conversion Date each USD LIBOR Contract shall be amended in

accordance with this Section 3.

Floating Rate Option:
FCM Procedures FCM SwapClear

LCH Limited © 2023 - 129 - January[] 2023

(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 Options, 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 USD-LIBOR in the FCM SwapClear

Contract Terms shall be deemed to be replaced for all purposes with USD-SOFR-OIS

Compound.

Bloomberg 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

USD LIBOR Contract, the “Floating Rate” under each USD LIBOR Contract will, in

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

the terms of the USD LIBOR Contract, include the Bloomberg 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

USD LIBOR 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 USD LIBOR 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 USD LIBOR 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 USD LIBOR 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 and the IBOR

Fallback Rate Adjustments Rule Book published by Bloomberg Index Services

Limited shall not apply to the calculation of the "Floating Rate" under each USD

LIBOR Contract.

Amendments to Zero Coupon Swaps:

(f) If the USD LIBOR Contract is recorded in the books and records of the Clearing

House as a “zero coupon swap” then, in addition to the amendments above, on the

applicable Conversion Date:
FCM Procedures FCM SwapClear

LCH Limited © 2023 - 130 - January[] 2023

(i) the “Effective Date” under such USD LIBOR Contract will be amended so

that it is equal to the first “Period End Date” (as defined in the ISDA

Definitions) falling after the “Index Cessation Effective Date (as defined in the

ISDA Definitions) related to the In-Scope Floating Rate Option referenced in

the relevant USD LIBOR Contract;

(ii) the “Notional Amount” of such USD LIBOR Contract will be amended so that

it is equal to the sum of (x) the “Notional Amount” of the USD LIBOR

Contract as of the applicable Conversion Date and (y) the “Floating Amounts”

accrued under the USD LIBOR Contract to, and including, the first “Period

End Date” (as defined in the ISDA Definitions) falling after the Index

Cessation Effective Date related to the In-Scope Floating Rate Option

referenced in the relevant USD LIBOR Contract (the amount in (y) being the

Accrued USD LIBOR Amount); and

(iii) an amount equivalent to the Accrued USD LIBOR Amount shall be an

additional amount payable by the “Floating Amount Payer” under the USD

LIBOR Contract on the “Termination Date” of such USD LIBOR Contract.

Consequential Amendments:

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

USD LIBOR Contract as it deems necessary in connection with, and to give effect to,

the amendments in this Section 3.

(h) Unless expressly referenced herein, all other terms of each USD LIBOR 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).

17. 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 USD LIBOR Contract, the

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

Booking) that is on the same terms as the USD LIBOR 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
FCM Procedures FCM SwapClear

LCH Limited © 2023 - 131 - January[] 2023

made pursuant to Section 3 of this Annex. On the applicable Conversion Date in

relation to a USD LIBOR Contract, the Clearing House shall terminate the operational

booking relating to that USD LIBOR 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 USD LIBOR Contracts,

including any LIBOR Basis Swaps that have not been split pursuant to section 2.1.15

of the FCM Procedures as of the applicable Conversion Date.

Operational Overlay Bookings

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

each Straddle Period USD LIBOR Contract and Operational Straddle Period USD

LIBOR 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 USD LIBOR Contract or Operational Straddle Period USD LIBOR

Booking (such amount, the USD LIBOR 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) in relation to a Straddle Period USD LIBOR Contract or any Operational

Straddle Period USD LIBOR Booking that is not of the type specified in (ii)

below:

(A) 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 USD LIBOR

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

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

if applicable, as reflected in the relevant Operational Straddle Period

USD LIBOR Booking); and

(B) 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,

(ii) in relation to a Straddle Period USD LIBOR Contract that is recorded in a

Proprietary Account (or any Operational Straddle Period USD LIBOR

Booking that would be recorded in a Proprietary Account) an Operational

Overlay Booking reflecting (X) a “Floating Amount” that would be payable by

the FCM Clearing Member equal to the “Floating Amount” it would be

entitled to receive as reflected under the Operational RFR Booking and (Y) an

amount that would be payable to the FCM Clearing Member equal to the USD

LIBOR Amount it would be entitled to receive under the Straddle Period USD

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

applicable, as reflected in the Operational Straddle Period USD LIBOR

Booking).
FCM Procedures FCM SwapClear

LCH Limited © 2023 - 132 - January[] 2023

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

each Straddle Period USD LIBOR Contract and Operational Straddle Period USD

LIBOR Booking in relation to which the FCM Clearing Member would pay the USD

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

the following Operational Overlay Bookings in the FCM SwapClear Service:

(i) in relation to a Straddle Period USD LIBOR Contract or any Operational

Straddle Period USD LIBOR Booking that is not of the type specified in (ii)

below:

(A) 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 USD LIBOR Amount it would be obliged to pay under the

Straddle Period USD LIBOR Contract if it was not amended pursuant

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

Straddle Period USD LIBOR Booking); and

(B) 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,

(ii) in relation to a Straddle Period USD LIBOR Contract that is recorded in a

Proprietary Account (or any Operational Straddle Period USD LIBOR

Booking that would be recorded in a Proprietary Account) an Operational

Overlay Booking reflecting (X) an amount payable by the FCM Clearing

Member equal to the USD LIBOR Amount the FCM Clearing Member would

be obliged to pay under the Straddle Period USD LIBOR Contract if it was not

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

Operational Straddle Period USD LIBOR Booking) and (Y) a “Floating

Amount” payable to the FCM Clearing Member equal to the “Floating

Amount” the FCM Clearing Member would be obliged to pay as reflected

under the related Operational RFR Booking.

(e) The Operational Overlay Bookings in relation to a Straddle Period USD LIBOR

Contract and Operational Straddle Period USD LIBOR 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.

18. 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
FCM Procedures FCM SwapClear

LCH Limited © 2023 - 133 - January[] 2023

any Amended USD LIBOR 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 USD LIBOR Contract to reflect the rights and

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

Splitting of Basis Swaps after the applicable Conversion Date

(b) FCM Clearing Members and FCM Clients may request that the Clearing House split

their LIBOR Basis Swaps prior to the applicable Conversion Date in accordance with

section 2.1.15 of the FCM Procedures. To the extent that an FCM Clearing Member

or an FCM Client has not requested the Clearing House to split its LIBOR Basis

Swaps pursuant to section 2.1.15 of the FCM Procedures by the applicable

Conversion Date, such FCM Clearing Member or FCM Client may, from time to time

thereafter, request that the Clearing House splits one or more of its LIBOR Basis

Swaps using the process set out in section 2.1.15 of the FCM Procedures. If the

Clearing House accepts the FCM Clearing Member’s or FCM Clearing Client’s

request and re-registers the relevant LIBOR Basis Swaps in accordance with section

2.1.15 of the FCM Procedures, then it shall also amend the Amended USD LIBOR

Contract, the Operational RFR Booking, and, if relevant, any Operational Overlay

Bookings related to the LIBOR Basis Swaps which have been split pursuant to section

2.1.15 of the FCM Procedures to the extent it deems necessary in connection with

such re-registration.

19. 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.

20. 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 Tranche 1 USD LIBOR Contracts or Tranche 2 USD LIBOR

Contracts (as applicable) registered in each Proprietary Account as of the end

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

and
FCM Procedures FCM SwapClear

LCH Limited © 2023 - 134 - January[] 2023

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

all of the Tranche 1 USD LIBOR Contracts or Tranche 2 USD LIBOR

Contracts (as applicable) 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 Tranche 1 USD LIBOR

Contracts or Tranche 2 USD LIBOR Contracts (as applicable) in each Proprietary

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

(i) the aggregate RFR Value in relation to all Tranche 1 USD LIBOR Contracts

or Tranche 2 USD LIBOR Contracts (as applicable)exceeds the aggregate

Fallback RFR Value in relation to all Tranche 1 USD LIBOR Contracts or

Tranche 2 USD LIBOR Contracts (as applicable) then the Cash Compensation

Amount in relation to the Tranche 1 USD LIBOR Contracts or Tranche 2 USD

LIBOR Contracts (as applicable) 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 Tranche 1 USD LIBOR Contracts

or Tranche 2 USD LIBOR Contracts (as applicable) is less than the aggregate

Fallback RFR Value in relation to all Tranche 1 USD LIBOR Contracts or

Tranche 2 USD LIBOR Contracts (as applicable) then the Cash Compensation

Amount in relation to all Tranche 1 USD LIBOR Contracts or Tranche 2 USD

LIBOR Contracts (as applicable) 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

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 Tranche 1 USD

LIBOR Contracts or Tranche 2 USD LIBOR Contracts (as applicable) 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.
FCM Procedures FCM SwapClear

LCH Limited © 2023 - 135 - January[] 2023

(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 USD LIBOR 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 USD LIBOR 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;

(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 USD LIBOR Contracts pursuant to this Annex;

and

(v) that it will take reasonable steps to ensure that any FCM SwapClear

Transaction referencing the In-Scope Floating Rate Option and submitted after

June 30, 2023 meets the conditions in the definition of Legacy LIBOR

Transaction.

21. DETERMINATIONS BINDING

Subject to Section 12, 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.

22. 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
FCM Procedures FCM SwapClear

LCH Limited © 2023 - 136 - January[] 2023

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.

23. LEGACY LIBOR TRANSACTIONS

(a) Notwithstanding anything to the contrary in the Product Specific Contract Terms and

Eligibility Criteria Manual:

(a) from and including the Conversion Date in relation to Tranche 1 USD LIBOR

Contracts, other than “variable notional swaps” the Clearing House shall not

accept for clearing or registration any FCM SwapClear Transaction that

would, if registered, be a Tranche 1 USD LIBOR Contract and is not a Legacy

LIBOR Transaction; and

(b) from and including the Conversion Date in relation to Tranche 2 USD LIBOR

Contracts, the Clearing House shall not accept for clearing or registration any

FCM SwapClear Transaction that would, if registered, be a “variable notional

swap” or a Tranche 2 USD LIBOR Contract and is not a Legacy LIBOR

Transaction.

(b) An FCM Clearing Member may present Legacy LIBOR Transactions for registration

at the Clearing House from, and including, the applicable Conversion Date up to, and

including, the Legacy LIBOR End Date. No Legacy LIBOR Transactions will be

eligible for clearing after the Legacy LIBOR End Date and no FCM Clearing Member

shall present a Legacy LIBOR Transaction for registration after the Legacy LIBOR

End Date.

(c) If an FCM Clearing Member presents a Legacy LIBOR Transaction to the Clearing

House after June 30, 2023 on behalf of a an FCM Clearing Client, that FCM Clearing

Client shall be deemed to represent and warrant to the Clearing House on the day it

presents that Legacy LIBOR Transaction to the Clearing House that:

(i) either (a) the Legacy LIBOR Transaction was entered into prior to June 30,

2023, or (b) in the case of a Legacy LIBOR Transaction which results from the

exercise of a swaption, that swaption was entered into prior to June 30, 2023;

(ii) the FCM SwapClear Transaction incorporates either the Fallbacks Supplement

pursuant to the ISDA 2020 IBOR Fallbacks Protocol, Supplement 70 to the

ISDA 2006 Definitions or the equivalent provisions under the ISDA 2021

Definitions, in each case prior to it being presented to the Clearing House; and

(iii) the Legacy LIBOR Transaction or, if applicable, the related physically settled

swaption, was entered into in accordance with (i) the “Statement on LIBOR

Transition” dated November 30, 2020 issued by the Board of Governors of the

Federal Reserve System, the Office of the Comptroller of the Currency, and

the Federal Deposit Insurance Corporation or any analogous notice, guidance

or statement in any jurisdiction applicable to the FCM Clearing Member and

the Legacy LIBOR Transaction, and (ii) Applicable Law.
FCM Procedures FCM SwapClear

LCH Limited © 2023 - 137 - January[] 2023

The FCM Clearing Member shall immediately notify the Clearing House if it

becomes aware that any of the foregoing representations made by any of its FCM

Clearing Clients are incorrect, untrue or misleading.

(d) A Legacy LIBOR Transaction will only be registered by the Clearing House on a

business day if it is presented to the Clearing House prior to 4 p.m. London time on

such business day (or such other cut-off time as may be separately communicated by

the Clearing House to the FCM Clearing Members). If a Legacy LIBOR Transaction

is presented after this time, the Clearing House may decline to register the Legacy

LIBOR Transaction.

(e) When a Legacy LIBOR Transaction is presented to the Clearing House by an FCM

Clearing Member the presentation of such Legacy LIBOR Transaction shall constitute

an irrevocable instruction from that FCM Clearing Member to the Clearing House to

(i) register the Legacy LIBOR Transaction (subject to any other rights of the Clearing

House, or obligations of the FCM Clearing Members in relation to the presentation or

submission of FCM SwapClear Transactions and registration of FCM SwapClear

Contracts generally pursuant to the FCM Rulebook or the Product Specific Contract

Terms and Eligibility Criteria Manual) and (ii) immediately at the point of, and as part

of, registration amend the Legacy LIBOR Transaction in accordance with Section

3(b)-(f) (inclusive) as applicable and as if such provisions applied to Legacy LIBOR

Transactions, provided however that, notwithstanding anything to the contrary in

Section 3, in relation to Legacy LIBOR Transactions only, the applicable amendments

in Section 3(b)-(f) shall be made at the point of, and as part of, registration of the

Legacy LIBOR Transaction at the Clearing House and any reference in Section 3 to

such amendments being made on any other date (including on any future Reset Date

or number of days before a future Reset Date) shall be disregarded and shall not apply

to Legacy LIBOR Transactions and Section 3 shall be read accordingly in relation to

Legacy LIBOR Transactions.

(f) The FCM Clearing Member agrees that the Legacy LIBOR Transaction will be

amended pursuant to (e) above at the point of, and as part of, registration at the

Clearing House and, for the avoidance of doubt, there shall be no Operational Overlay

Bookings in relation to Legacy LIBOR Transactions. The Clearing House shall have

the right to make any consequential amendments to the terms of each Legacy LIBOR

Transaction as it deems necessary in connection with, and to give effect to, the

amendments in this Section 10. Unless expressly referenced herein, all other terms of

each Legacy LIBOR Transaction 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).

(g) At close of business in New York on each business day on which one or more Legacy

LIBOR Transactions are presented to the Clearing House and accepted by the

Clearing House, the Clearing House shall calculate the following amounts in relation

to those Legacy LIBOR Transactions that were registered by the Clearing House on

that business day:

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

all Legacy LIBOR Transactions that were registered by the Clearing House on
FCM Procedures FCM SwapClear

LCH Limited © 2023 - 138 - January[] 2023

that business day and are registered in each Proprietary Account as of the end

of the business day in New York; and

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

all Legacy LIBOR Transactions that were registered by the Clearing House on

that business day and are registered in each FCM Client Sub-Account as of the

end of the business day in New York.

(h) The Clearing House shall determine a single Cash Compensation Amount separately

in respect of all of the Legacy LIBOR Transactions registered with the Clearing

House on that business day separately with respect to each Proprietary Account and

each FCM Client Sub-Account as follows. If:

(i) the aggregate RFR Value in relation to all such Legacy LIBOR Transactions

that were registered with the Clearing House on that business day exceeds the

aggregate Fallback RFR Value in relation to all such Legacy LIBOR

Transactions then the Cash Compensation Amount in relation to such Legacy

LIBOR Transactions 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 such Legacy LIBOR Transactions

that were registered with the Clearing House on that business day is less than

the aggregate Fallback RFR Value in relation to all such Legacy LIBOR

Transactions then the Cash Compensation Amount in relation to such Legacy

LIBOR Transactions 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).

(i) 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 calculated under (g)

above (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 date it is registered, 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 Legacy

LIBOR Transactions in the relevant Proprietary Account or each FCM Client

Sub-Account, in each case as determined pursuant to (g) 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.

(j) Each FCM Clearing Member agrees to be bound by each Cash Compensation

Contract registered pursuant to this Section 10 which shall, when registered,
FCM Procedures FCM SwapClear

LCH Limited © 2023 - 139 - January[] 2023

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 Legacy LIBOR Transactions.

(k) This Section 10 is without prejudice to any other rights of the Clearing House, or

obligations of the FCM Clearing Members, in relation to the presentation of FCM

SwapClear Transactions and registration of FCM SwapClear Contracts generally

pursuant to the FCM Rulebook or the Product Specific Contract Terms and Eligibility

Criteria Manual.

24. 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 12.

(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.

25. LIMITATION OF LIABILITY

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

agrees:

(a) 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

(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;
FCM Procedures FCM SwapClear

LCH Limited © 2023 - 140 - January[] 2023

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

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

(iii) any of the operational bookings made pursuant to Section 4 of this Annex; or

(iv) the registration of any Legacy LIBOR Transaction or whether an FCM

SwapClear Transaction is eligible to be registered as a Legacy LIBOR

Transaction,

except in the case of fraud or wilful misconduct on the part of the Clearing House or any

other member of the LCH Group.

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

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 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

(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.

25.3 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.

25.4 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.
CORPORATE

Appendix III

Product Specific Contract Terms and Eligibility Criteria Manual (Set 1)

Changed Pages
CORPORATE

PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA 

MANUAL
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2023 - 45 - January April 2023

COR

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:
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2023 - 46 - January April 2023

COR

(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 website, in respect of a minimum residual term of the transaction, 

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

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

Appendix IV

FCM Product Specific Contract Terms and Eligibility Criteria Manual (Set 1)

Changed Pages
FCM PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA 

MANUAL
FCM Product Specific Manual

LCH Limited © 2023 - 21 - AprilJanuary 2023

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

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
FCM Product Specific Manual

LCH Limited © 2023 - 22 - AprilJanuary 2023

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

specified on the Clearing House website, in respect of a minimum residual term 

of the transaction, designated maturities, fixing dates, and calculation periods

and whether zero coupon swaps 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.

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.
CORPORATE

Appendix V

Product Specific Contract Terms and Eligibility Criteria Manual (Set 2)

Changed Pages
CORPORATE

PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA 

MANUAL
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2023 - 36 - MayApril 2023

COR

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

Interest rate

swap

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

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

OIS GBP Fixed GBP-SONIA-OIS 

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

Interest rate 

swap

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

0.01-

99,999,999,999.9915

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

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
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2023 - 37 - MayApril 2023

COR

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

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

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

Basis swap USD

USDFEDERAL 

FUNDS-H.15

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

Basis swap USD USD-Federal 

Funds USD-LIBOR No 18,675 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

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 174. 

19

 Ibid footnote 174. 
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2023 - 38 - MayApril 2023

COR

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

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

20

 Ibid footnote 174. 
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2023 - 39 - MayApril 2023

COR

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

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
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2023 - 40 - MayApril 2023

COR

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 

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

Interest rate

swap

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

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

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. 
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2023 - 41 - MayApril 2023

COR

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

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
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2023 - 42 - MayApril 2023

COR

Interest rate 

swap

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

0.01-

99,999,999,999.9922

Interest rate 

swap

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

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

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

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. 
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2023 - 43 - MayApril 2023

COR

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:

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

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 - MayApril 2023

COR

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

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 VI

FCM Product Specific Contract Terms and Eligibility Criteria Manual (Set 2)

Changed Pages
FCM PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA 

MANUAL
FCM Product Specific Manual

LCH Limited © 2023 - 12 - MayApril 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

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-

99,999,999,999.9915

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-LIBORBBA USD-LIBOR-BBA Yes 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 - MayApril 2023

Basis swap USD USD-LIBOR USD-LIBOR 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

Interest rate 

swap

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

99,999,999,999.99

Basis swap USD USD-LIBORBBA USD-SOFR-COMPOUND No 18,675 days 0.01-

99,999,999,999.99

Basis swap USD USD-LIBOR USD-SOFR-OIS 

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

Basis swap USD

USDFEDERAL 

FUNDS-H.15

USD-LIBOR-BBA No 18,675 days 0.01-

99,999,999,999.99

Basis swap USD USD-Federal 

Funds USD-LIBOR No 18,675 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

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 174. 

19

 Ibid footnote 174.

20

 Ibid footnote 174.
FCM Product Specific Manual

LCH Limited © 2023 - 14 - MayApril 2023

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

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
FCM Product Specific Manual

LCH Limited © 2023 - 15 - MayApril 2023

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

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
FCM Product Specific Manual

LCH Limited © 2023 - 16 - MayApril 2023

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 

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

Interest rate 

swap

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

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

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 - MayApril 2023

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

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

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 - MayApril 2023

Interest rate 

swap

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

99,999,999,999.99

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

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
CORPORATE

Appendix VII

Product Specific Contract Terms and Eligibility Criteria Manual (Set 3)

Changed Pages
CORPORATE

PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA 

MANUAL
Product Specific Contract Terms and Eligibility Criteria Manual

LCH Limited © 2023 - 42 - Julyne 2023

COR

(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
CORPORATE

Appendix VIII

FCM Product Specific Contract Terms and Eligibility Criteria Manual (Set 3)

Changed Pages
FCM PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA 

MANUAL
FCM Product Specific Manual

LCH Limited © 2023 - 18 - Julyne 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

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