Introduction of Fee for Cleared Transactions Referencing ICE LIBOR

Report date
Summary

Circular No.

LCH Circular No 3681

Service Circular No.

SwapClear Circular No 147

Date:

2nd December 2015

Body

An additional fee will be payable by a SwapClear Clearing Member (including an FCM Clearing Member) for each new trade registered which references the ICE LIBOR* index, effective 1st February, 2016 subject to regulatory notification.

This fee is a straight pass through of the fee charged to LCH.Clearnet Ltd by ICE Benchmark Administration Limited for the ICE LIBOR index.

Fee Schedule:

  Transaction Maturity         Fee per million of notional cleared (in currency traded)
  0 to 2 years   0.02
  2 to 5 years     0.04
  5 to 10 years    0.06
  10 to 30 years   0.10
  30+ years    0.16

 

  • The above fee will not apply to SwapClear Contracts that result from a Position Transfer or a compression run.
  • The above fee will be calculated and invoiced monthly in arrears to SwapClear Clearing Members, in the currency of the trade.

The SwapClear contracts which reference the ICE LIBOR* index can be identified from the "INDEX" column within the SwapClear Product Characteristic Matrix which is located on the Secure Area (here)

A new daily report will provide a transaction level fee breakdown to facilitate Clearing Members reconciliation processes. Further Information on the "Index Fee" report specification will be provided via the SwapClear Programme Update.

*ICE LIBOR is a trademark of ICE Benchmark Administration Limited.

If you have any queries please contact SwapClearMembershipSales@lchclearnet.com