Introduction of Fee for Cleared Transactions Referencing ICE LIBOR

Report date

Circular No.

LCH Circular No 3681

Service Circular No.

SwapClear Circular No 147


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.

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