BRL Non-Deliverable Interest Rate Swaps

Report date

Circular No.

LCH Circular No 4289


10th January 2024


All SwapClear Users


On 22 December 2023, the Brazilian authorities passed a law that, going forward, “November 20” will be a national holiday for the celebration of the National Day of Zumbi and Black Consciousness[1]. This changed the cashflows on Brazilian Real (“BRL”) non-deliverable interest rate swaps linked to the CDI index (each, a “BRL NDIRS”), with maturities beyond 20 November 2024, including those cleared at LCH Limited’s SwapClear service (“LCH SwapClear”). Based on feedback from market participants, we understand that the impact is to cause the cashflows to differ from those intended at the time of trading for BRL NDIRSs, which were registered at LCH SwapClear prior to the close of business on 22 December 2023 and with a termination date later than 20 November 2024 (each, an “Affected BRL NDIRS”).

In order to (i) restore the contractual cashflows to those which were intended at the point of execution, (ii) align with adjustments made by other financial market infrastructures, and (iii) enable fungibility between newly-traded BRL NDIRSs cleared at LCH SwapClear and Affected BRL NDIRSs, LCH SwapClear proposes to adjust Affected BRL NDIRSs as outlined below.

Proposed Adjustments to Affected BRL NDIRS

LCH SwapClear proposes to adjust the original fixed rate of each Affected BRL NDIRS (each such adjusted fixed rate, an “Adjusted Fixed Rate”) and to adjust the original notional amount of each Affected BRL NDIRS (each such adjusted notional amount, an “Adjusted Notional Amount”). These changes will combine to preserve the original future value of each Affected BRL NDIRS.

The Adjusted Fixed Rate will be calculated by applying the new holiday calendar to the ratio of the original future value to the original notional amount, and subsequently rounding the resulting percentage to 7 decimal places (X.1234567%). The Adjusted Notional Amount will then be calculated by applying the new holiday calendar and the Adjusted Fixed Rate to the original future value, and subsequently rounding the resulting BRL amount to the nearest 1/100th of a BRL.

For the avoidance of doubt, please note that LCH SwapClear proposes not to make these adjustments to any BRL NDIRS registered at LCH SwapClear from and including 26 December 2023.

Implementation Schedule

We are currently working to schedule an implementation date for these adjustments to Affected BRL NDIRS, and will announce it in due course. The approach and process described herein remain subject to risk governance and legal and regulatory review.

Should you have any comments or questions, or if you require further information, please do not hesitate to contact