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

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

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

CORPORATE

VIA CFTC PORTAL

October 6, 2023

Mr. Christopher Kirkpatrick

Commodity Futures Trading Commission

1155 21st Street NW

Three Lafayette Centre

Washington, DC 20581

LCH Limited self-certification: Clearing of Polish Zloty overnight interest rate swaps that

reference the PLN-WIRON-OIS Compound floating rate option

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 (“LCH Rules”) related to extending clearing eligibility to overnight 

interest rate swaps (“OIS”) that (i) are denominated in Polish Zloty (“PLN”), (ii) reference the PLNWIRON-OIS Compound floating rate option, and (iii) have a maximum maturity of 16 years (“PLN

OIS”).

Part I: Explanation and analysis

LCH currently clears interest rate swaps that (i) are denominated in PLN, (ii) reference the PLNWIBOR-WIBO or PLN-WIBOR floating rate option, and (iii) have a maximum maturity of 16 years

(“PLN IRS”). 

LCH now proposes to clear PLN OIS in addition to PLN IRS. This new product offering will help

facilitate market growth and transition to PLN-WIRON-OIS Compound, which will, in time, replace

PLN-WIBOR-WIBO and PLN-WIBOR for interest rate derivative transactions.

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

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

within the LCH Rules will be amended. 

Part II: Description of the rule changes

LCH will amend Section 1.2(a) of Part B of Schedule 2 of the Product Specific Contract Terms and 

Eligibility Criteria Manual and Section 1.1(a) of Part B of Schedule 1 of the FCM Product Specific 

Contract Terms and Eligibility Criteria Manual to include PLN OIS.

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

be effective not earlier than October 23, 2023.
CORPORATE

Part III: Core Principle Compliance

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

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

rule change has potential relevance to Core Principles C (Participant and Product Eligibility), D (Risk 

Management) and L (Public Information).

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

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

LCH’s ability to manage the associated risks. In determining whether to offer PLN OIS clearing, LCH 

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

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

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

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

LCH believes the changes described in this filing will not impact LCH’s ongoing compliance with the 

objectives of Core Principle D. PLN OIS clearing will not require changes to LCH’s risk management 

framework, margin methodology or margin requirements. LCH will clear this product in accordance

with its current operational, risk management and default management tools. LCH considered its risk 

management requirements and believes clearing PLN OIS will not impact LCH’s ongoing compliance 

with Core Principle D. 

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

including that, in addition to the specified requirements of CFTC Regulation §39.21, LCH makes

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

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

requirements and believes amending the Product Terms within LCH Rules to include PLN OIS meets 

the requirements of Core Principle L. 

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

Participant and Product Eligibility under CFTC Regulation §39.12, Core Principle D on Risk 

Management under CFTC Regulation §39.13 and Core Principle L on Public Information under CFTC 

Regulation §39.21.

Part IV: Public Information

LCH has posted a notice of pending certification with the CFTC and a copy of the submission on 

LCH’s website at: https://www.lch.com/resources/rulebooks/proposed-rule-changes.

Part V: Opposing Views

There were no opposing views expressed to LCH by governing board or committee members, 

members of LCH or market participants that were not incorporated into this proposal.

Certification

LCH hereby certifies to the CFTC, pursuant to the procedures set forth in CFTC Regulation §40.6, 

that the attached submission complies with the Commodity Exchange Act, as amended, and the 

regulations promulgated thereunder.

Should you have any questions, please contact me at lavannyan.mahalingam@lseg.com.
CORPORATE

Yours sincerely,

Lavannyan Mahalingam

Regulatory Advisor

LCH Limited
CORPORATE

Appendix I

Product Specific Contract Terms and Eligibility Criteria Manual 

Changed Pages
CORPORATE

PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA 

MANUAL
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PART B

PRODUCT ELIGIBILITY CRITERIA FOR REGISTRATION OF A SWAPCLEAR 

CONTRACT

1. SwapClear Transaction

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

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

the particulars being presented:

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

below for a SwapClear Transaction; and

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

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

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

House.

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

1.2 SwapClear Product Eligibility Criteria for a SwapClear Transaction

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

set out in the table below:

Instrument Currency Leg 1 Leg 2 Variable 

Notional Maximum Tenor Notional Amount

Interest rate 

swap

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

0.01-

99,999,999,999.9914

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

OIS GBP Fixed GBP-SONIA-OIS 

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

Interest rate 

swap

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

0.01-

99,999,999,999.9915

Interest rate 

swap

USD Fixed USD-LIBOR Yes 18,675 days

0.01-

99,999,999,999.9916

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

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

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

Schedule 4 of Procedure 2C. 

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

Schedule 5 of the Procedure 2C. 

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

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

Interest rate 

swap

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

Basis swap USD

USDFEDERAL 

FUNDS-H.15-

OISCOMPOUND

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

Basis swap USD

USD-Federal 

Funds-OIS 

Compound

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

Basis swap USD USD-Federal 

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

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

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

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

OIS USD Fixed USD-Federal Funds H.15-

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

OIS USD Fixed USD-Federal Funds-OIS 

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

Interest rate 

swap

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

Interest rate 

swap

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

Basis swap EUR

EUREURIBORReuters

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

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

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

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

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

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

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

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

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

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

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

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

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

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

from their negligence or otherwise

18

 Ibid footnote 17. 

19

 Ibid footnote 17. 

20

 Ibid footnote 17. 
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OIS EUR Fixed EUR-EuroSTRCOMPOUND Yes 18,675 days 0.01-99,999,999,999.99

OIS EUR Fixed EUR-EuroSTR-OIS 

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

Basis swap EUR

EUREURIBORReuters

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

Basis swap EUR EUREURIBOR

EUR-EuroSTR-OIS 

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

Interest rate 

swap

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

Interest rate 

swap

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

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

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

Basis swap AUD

AUD-AONIAOISCOMPOUND

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

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

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

OIS AUD Fixed AUD-AONIA-OIS 

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

Interest rate 

swap

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

Interest rate 

swap

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

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

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

Basis swap CAD CAD-BACDOR

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

Basis swap CAD CAD-CDOR CAD-CORRA-OIS 

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

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

OIS CAD Fixed CAD-CORRA-OIS 

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

Interest rate 

swap

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

Interest rate 

swap

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

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

Interest rate 

swap

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

Interest rate 

swap

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

Interest rate 

swap

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

Interest rate 

swap

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

OIS DKK Fixed DKK-DESTR-OIS 

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

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

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

Basis swap DKK DKK-CIBOR2-

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

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

Interest rate 

swap

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

Interest rate 

swap

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

Interest rate 

swap

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

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

OIS HKD Fixed HKD-HONIA-OIS

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

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

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

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

Basis swap HKD

HKD-HONIXOISCOMPOUND

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

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

Interest rate 

swap

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

Interest rate 

swap

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

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

Interest rate 

swap

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

99,999,999,999.99 

Interest rate 

swap

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

99,999,999,999.99 

OIS ILS Fixed ILS-SHIR-OIS Compound Yes 4,050 days 0.01 -

99,999,999,999.99

Interest rate 

swap

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

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

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

Interest rate 

swap

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

Interest rate 

swap

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

Interest rate 

swap

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

Interest rate 

swap

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

Interest rate 

swap

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

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

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

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

OIS NOK Fixed NOK-NOWA-OIS 

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

Interest rate 

swap

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

Interest rate 

swap

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

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

OIS NZD Fixed NZD-NZIONA-OIS 

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

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

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

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

Basis swap NZD NZD-BKBM 

FRA

NZD-NZIONA-OIS 

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

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

Basis swap NZD NZD-BKBM 

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

Interest rate 

swap

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

Interest rate 

swap

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

Interest rate 

swap

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

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

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

Interest rate 

swap

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

Interest rate 

swap

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

OIS SEK Fixed SEK-SWESTR-OIS 

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

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

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

Interest rate 

swap

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

0.01-

99,999,999,999.9922

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

OIS CHF Fixed CHF-SARON-OIS 

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

Interest rate 

swap

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

Interest rate 

swap

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

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

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

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

Schedule 4 of the Procedure 2C. 
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OIS PLN Fixed PLN-WIRON-OIS 

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

Interest rate 

swap

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

Interest rate 

swap

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

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

Instrument Currency Leg 1 Leg 2 Maximum Tenor Notional Amount

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

(c) Inflation rate swaps with constant notional principal having the characteristics set out 

in the table below:

Instrument Currency Leg 1 Leg 2 Maximum Tenor Notional Amount

Zero coupon inflation 

indexed swap

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

Standard coupon inflation 

indexed swap23

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

Zero coupon inflation 

indexed swap

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

Standard coupon inflation 

indexed swap

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

Zero coupon inflation 

indexed swap

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

Standard coupon inflation 

indexed swap

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

Zero coupon inflation 

indexed swap

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

Standard coupon inflation 

indexed swap

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

(d) Non-deliverable interest rate swaps having the characteristics set out in the table below:

Instrument Currency Leg 1 Leg 2 Variable 

Notional

Maximum 

Tenor

Notional Amount

Interest rate swap BRL Fixed BRL-CDI No 4,050 days 0.01-

99,999,999,999.99

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

10,000,000,000,000

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

10,000,000,000,000

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

10,000,000,000,000

OIS COP Fixed COP-IBR-OIS 

Compound

No 5,700 days 1.0-

10,000,000,000,000

23

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

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

10,000,000,000,000

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

10,000,000,000,000

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

99,999,999,999.99

OIS INR Fixed INR-MIBOR-OIS 

Compound

No 4,050 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

Interest rate swap CNY Fixed CNY-Fixing Repo 

Rate

No 2,025 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

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

99,999,999,999.99

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

99,999,999,999.99

OIS THB Fixed THB-THOR-OIS 

Compound

No 4,050 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

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

99,999,999,999.99
CORPORATE

Appendix II

FCM Product Specific Contract Terms and Eligibility Criteria Manual

Changed Pages
FCM PRODUCT SPECIFIC CONTRACT TERMS AND ELIGIBILITY CRITERIA 

MANUAL
FCM Product Specific Manual

LCH Limited © 2023 - 12 - AugustJune 2023

PART B

PRODUCT ELIGIBILITY CRITERIA FOR REGISTRATION OF AN FCM 

SWAPCLEAR CONTRACT

1. FCM SwapClear Transaction

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

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

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

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

registration as an FCM SwapClear Transaction; and

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

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

1.1 FCM SwapClear Product Eligibility Criteria for an FCM SwapClear Transaction

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

characteristics set out in the table below:

Instrument Currency Leg 1 Leg 2 Variable 

Notional

Maximum 

Tenor Notional Amount

Interest rate 

swap

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

0.01-

99,999,999,999.9914

OIS GBP Fixed GBP-SONIACOMPOUND Yes 18,675 days 0.01-

99,999,999,999.99

OIS GBP Fixed GBP-SONIA-OIS 

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

Interest rate 

swap

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

0.01-

99,999,999,999.9915

Interest rate 

swap

USD Fixed USD-LIBOR Yes 18,675 days

0.01-

99,999,999,999.9916

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

99,999,999,999.99

OIS USD Fixed USD-SOFR-OIS 

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

Basis swap USD USD-SOFROIS Compound 

USD-SOFR-OIS 

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

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

as defined in Schedule 2.1D of the FCM Procedures. 

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

as defined in Schedule 2.1E of the FCM Procedures. 

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

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

LCH Limited © 2023 - 13 - AugustJune 2023

Interest rate 

swap

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

99,999,999,999.99

Basis swap USD

USDFEDERAL 

FUNDS-H.15-

OISCOMPOUND

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

99,999,999,999.99

Basis swap USD

USD-Federal 

Funds-OIS 

Compound

USD-SOFR-OIS 

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

Basis swap USD USD-Federal 

Funds

USD-SOFR-OIS 

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

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

99,999,999,999.99

Basis swap USD USD-BSBY19 USD-SOFR-OIS 

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

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

99,999,999,999.99

OIS USD Fixed USD-Federal Funds H.15-

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

OIS USD Fixed USD-Federal Funds-OIS 

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

Interest rate 

swap

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

99,999,999,999.99

Interest rate 

swap

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

99,999,999,999.99

Basis swap EUR

EUREURIBORReuters

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

99,999,999,999.99

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

99,999,999,999.99

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

99,999,999,999.99

17

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

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

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

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

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

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

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

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

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

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

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

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

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

otherwise

18

 Ibid footnote 17. 

19

 Ibid footnote 17.

20

 Ibid footnote 17.
FCM Product Specific Manual

LCH Limited © 2023 - 14 - AugustJune 2023

OIS EUR Fixed EUR-EuroSTR-OIS 

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

Basis swap EUR

EUREURIBORReuters

EUR-EuroSTRCOMPOUND No 18,675 days 0.01-

99,999,999,999.99

Basis swap EUR EUREURIBOR

EUR-EuroSTR-OIS 

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

Interest rate 

swap

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

99,999,999,999.99

Interest rate 

swap

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

99,999,999,999.99

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

99,999,999,999.99

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

99,999,999,999.99

Basis swap AUD

AUD-AONIAOISCOMPOUND

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

99,999,999,999.99

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

99,999,999,999.99

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

99,999,999,999.99

OIS AUD Fixed AUD-AONIA-OIS 

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

Interest rate 

swap

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

99,999,999,999.99

Interest rate 

swap

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

99,999,999,999.99

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

99,999,999,999.99

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

99,999,999,999.99

Basis swap CAD CAD-BACDOR

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

99,999,999,999.99

Basis swap CAD CAD-CDOR CAD-CORRA-OIS 

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

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

99,999,999,999.99

OIS CAD Fixed CAD-CORRA-OIS 

Compound Yes 15,025 days

0.01-

99,999,999,999.99

Interest rate 

swap

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

99,999,999,999.99

Interest rate 

swap

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

99,999,999,999.99

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

99,999,999,999.99
FCM Product Specific Manual

LCH Limited © 2023 - 15 - AugustJune 2023

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

99,999,999,999.99

Interest rate 

swap

DKK Fixed DKK-CIBOR-DKNA13 Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

DKK Fixed DKK-CIBOR Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

DKK Fixed DKK-CIBOR2-DKNA13 Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

DKK Fixed DKK-CIBOR2 Yes 11,375 days 0.01-

99,999,999,999.99

OIS DKK Fixed DKK-DESTR-OIS 

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

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

99,999,999,999.99

Basis swap DKK DKK-CIBOR DKK-CIBOR Yes 11,375 days 0.01-

99,999,999,999.99

Basis swap DKK DKK-CIBOR2-

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

Basis swap DKK DKK-CIBOR2 DKK-CIBOR2 Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

HKD Fixed HKD-HIBOR-HKAB Yes 5,700 days 0.01-

99,999,999,999.99

Interest rate 

swap

HKD Fixed HKD-HIBOR Yes 5,700 days 0.01-

99,999,999,999.99

Interest rate 

swap

HKD Fixed HKD-HIBOR-ISDC Yes 5,700 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

OIS HKD Fixed HKD-HONIA-OIS 

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

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

99,999,999,999.99

Basis swap HKD HKD-HIBOR HKD-HIBOR Yes 5,700 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

Basis swap HKD

HKD-HONIXOISCOMPOUND

HKD-HIBOR-HKAB Yes 4,050 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

Interest rate 

swap

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

Interest rate 

swap

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

Basis swap HUF HUF-BUBORReuters HUF-BUBOR-Reuters Yes 4,050 days 1-10,000,000,000,000 
FCM Product Specific Manual

LCH Limited © 2023 - 16 - AugustJune 2023

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

Interest rate 

swap

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

99,999,999,999.99 

Interest rate 

swap

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

99,999,999,999.99 

OIS ILS Fixed ILS-SHIR-OIS Compound Yes 4,050 days 0.01 -

99,999,999,999.99

Interest rate 

swap

JPY Fixed JPY-LIBOR-BBA No 15,025 days

1-

10,000,000,000,00021

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

OIS JPY Fixed JPY-TONA-OIS 

Compound Yes 15,025 days 1-10,000,000,000,000

Interest rate 

swap

MXN Fixed MXN-TIIE-Banxico No 7,700 days 0.01-

99,999,999,999.99

Interest rate 

swap

MXN Fixed MXN-TIIE No 7,700 days 0.01-

99,999,999,999.99

Interest rate 

swap

NOK Fixed NOK-NIBOR-OIBOR Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

NOK Fixed NOK-NIBOR Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

NOK Fixed NOK-NIBOR-NIBR Yes 11,375 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

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

99,999,999,999.99

Basis swap NOK NOK-NIBOR NOK-NIBOR Yes 11,375 days 0.01-

99,999,999,999.99

OIS NOK Fixed NOK-NOWA-OIS 

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

Interest rate 

swap

NZD Fixed NZD-BBR-FRA Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

NZD Fixed NZD-BKBM FRA Yes 11,375 days 0.01-

99,999,999,999.99

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

99,999,999,999.99

OIS NZD Fixed NZD-NZIONA-OIS 

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

Basis swap NZD NZD-BBRFRA

NZD-NZIONIA-OISCOMPOUND No 4,050 days 0.01-

99,999,999,999.99

21 This transaction will only be eligible as 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 - AugustJune 2023

Basis swap NZD NZD-BKBM 

FRA

NZD-NZIONA-OIS 

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

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

99,999,999,999.99

Basis swap NZD NZD-BKBM 

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

Interest rate 

swap

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

99,999,999,999.99

Interest rate 

swap

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

99,999,999,999.99

Interest rate 

swap

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

99,999,999,999.99

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

99,999,999,999.99

OIS SGD Fixed SGD-SORA-OIS 

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

Interest rate 

swap

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

99,999,999,999.99

Interest rate 

swap

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

99,999,999,999.99

OIS SEK Fixed SEK-SWESTR-OIS 

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

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

99,999,999,999.99

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

99,999,999,999.99

Interest rate 

swap

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

0.01-

99,999,999,999.9922

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

99,999,999,999.99

OIS CHF Fixed CHF-SARON-OIS 

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

Interest rate 

swap

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

99,999,999,999.99

Interest rate 

swap

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

99,999,999,999.99

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

99,999,999,999.99

Basis swap PLN PLN-WIBOR PLN-WIBOR Yes 5,875 days 0.01-

99,999,999,999.99

OIS PLN Fixed PLN-WIRON-OIS 

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

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

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

LCH Limited © 2023 - 18 - AugustJune 2023

Interest rate 

swap

ZAR Fixed ZAR-JIBAR-SAFEX Yes 11,375 days 0.01-

99,999,999,999.99

Interest rate 

swap

ZAR Fixed ZAR-JIBAR Yes 11,375 days 0.01-

99,999,999,999.99

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

below:

Instrument Currency Leg 1 Leg 2 Maximum Tenor Notional Amount

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

FRA USD Fixed USD-LIBOR-BBA 1, 225 days 0.01-99,999,999,999.99
FCM Product Specific Manual

LCH Limited © 2023 - 19 - AugustJune 2023

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

(c) Inflation rate swaps with constant notional principal having the characteristics 

set out in the table below:

Instrument Currency Leg 1 Leg 2 Maximum Tenor Notional Amount

Zero coupon 

inflation 

indexed swap

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

Standard 

coupon 

inflation 

indexed 

swap23

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

Zero coupon 

inflation 

indexed swap

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

Standard 

coupon 

inflation 

indexed swap

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

Zero coupon 

inflation 

indexed swap

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

Standard 

coupon 

inflation 

indexed swap

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

Zero coupon 

inflation 

indexed swap

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

Standard 

coupon 

inflation 

indexed swap

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

(d) Non-deliverable interest rate swaps having the characteristics set out in the table 

below:

Instrument Currency Leg 1 Leg 2 Variable 

Notional

Maximum 

Tenor

Notional Amount

Interest rate 

swap

BRL Fixed BRL-CDI No 4,050 days 0.01-

99,999,999,999.99

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

10,000,000,000,000

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

10,000,000,000,000

23

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

legs of the swap.
FCM Product Specific Manual

LCH Limited © 2023 - 20 - AugustJune 2023

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 Fixed THB-THOR-OIS 

Compound

No 4,050 days 0.01-

99,999,999,999.99

Interest rate 

swap

TWD Fixed TWD-TAIBORREUTERSNo 4,050 days 0.01-

99,999,999,999.99

Interest rate 

swap

TWD Fixed TWD-TAIBOR No 4,050 days 0.01-

99,999,999,999.99

2. Additional FCM SwapClear Product Eligibility Criteria

2.1 An FCM SwapClear Transaction must also meet the following additional criteria to be 

eligible or clearing with the Clearing House:

(a) Day Count Fractions

(See Section 4.6 of the ISDA Definitions for definition)

(i) The Clearing House will only accept the following Day Count Fractions 

for vanilla interest rate swaps with constant notional principal and 

variable notional swaps. Day Count Fractions are applied to each deal 

leg independently, as communicated via the affirmed trade details.

Day Count Fraction MarkitWire/FpML Code

30/360 (or Bond Basis) 30/360

30E/360 (or Eurobond Basis) 30E/360