Introduction of Fee for Cleared Transactions Referencing ICE LIBOR
Circular No. |
LCH Circular No 3681 |
Service Circular No. |
SwapClear Circular No 147 |
Date: |
2nd December 2015 |
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