Changes to the SwapClear Trade Booking Model

Certain SwapClear Transactions executed directly between two SwapClear Clearing Members (i.e. not on behalf of a SwapClear Clearing Client or FCM Client) and cleared by the LCH.Clearnet Limited ("LCH.Clearnet") SwapClear service are currently housed in the books and records of the Clearing House on a ‘linked' basis. This means that each executing SwapClear Clearing Member is able to view the identity of its original counterparty in the Clearing House's reports. For such SwapClear Transactions, this trade booking model also enables LCH.Clearnet to offer Duo, Multi and Third Party compression. All other trade workflows are booked on an ‘unlinked' basis, meaning that the identity of the original counterparty is not made available in member reports.

No other LCH.Clearnet operational processes relevant to members are dependent on the ‘linked' model.

In order to provide SwapClear Clearing Members with greater opportunity to utilise the Solo compression offering (including blended rate) for cleared SwapClear Contracts, which is only available in an ‘unlinked' trade booking model, LCH.Clearnet will be migrating all trade workflows to the ‘unlinked' model.

Planned Timings & Impact on SwapClear Clearing Members:

• From today, 30 September 2014, all new SwapClear Transactions cleared by LCH.Clearnet will be booked internally under the ‘unlinked' model
• Over the following months, LCH.Clearnet intends to perform a technical conversion of the legacy cleared SwapClear Contracts, from the ‘linked' model to the ‘unlinked' model
• These conversions will take place over specific weekends, by currency groups. Other than member reporting changes, this conversion will not impact SwapClear Clearing Members as all features of the existing cleared SwapClear Contracts will be preserved, including all trade references
• LCH.Clearnet will provide SwapClear Clearing Members with further information, including confirmation of the weekends on which the conversion described above will take place, via the SwapClear Programme Update in the coming months.

Since Duo, Multi and Third party compression are currently only available in the ‘linked' model, SwapClear will be also be enhancing its existing compression offering to make these services available for SwapClear Contracts booked under the ‘unlinked' model. Further information will be made available in due course.

Please contact swapclear.clientservices@lchclearnet.com if you have any questions.

*Terms used herein and not defined herein have the meaning assigned to them in the Rulebook of LCH.Clearnet Limited