Client Clearing Fees
The following information is supplemented by the Client Clearing Fee Notes found in the tab above.
Terms used on this page and not defined on this page have the meaning assigned to them in the Rulebook or FCM Rulebook of LCH, as applicable (as available here).
For the purposes of the below, a ‘trade’ or 'contract' means a SwapClear Contract or FCM SwapClear Contract, as applicable. References to SwapClear Clearing Members shall include FCM Clearing Members, as applicable.
SwapClear client clearing fees for SwapClear Client Clearing Services and FCM SwapClear Clearing Services are charged to a Clearing Member under a choice of two pricing plans.
1. Standard Plan
The Standard Pricing Plan has an up-front booking fee and an ongoing maintenance fee.
Booking fee
New trades are charged on a per-million notional basis in the currency of the trade as set out in the table below. The booking fee is incurred at the time that the trade is cleared and collected monthly in arrears.
Maintenance Fee
The maintenance fee is incurred annually on the anniversary date of the registration of each trade, collected monthly in arrears and is not payable for trades terminated before their anniversary date. The fee is charged on a per-million notional basis in the currency of the trade as set out in the table below.
| Booking Fee | Interest Rate Swaps | Non-Deliverable Interest Rate Swaps | Inflation Swaps |
| Transaction Maturity | |||
| 0 - 1 year | 0.90 | 0.90 | 1.40 |
| 1 year+ to 3 year | 2.25 | 2.25 | 3.40 |
| 3 year+ to 5 year | 4.05 | 4.05 | 6.10 |
| 5 year+ to 7 year | 5.40 | 5.40 | 8.10 |
| 7 year+ to 10 year | 7.20 | 7.20 | 10.80 |
| 10 year+ to 12 year | 8.10 | 8.10 | 12.20 |
| 12 year+ to 15 year | 9.00 | 9.00 | 13.50 |
| 15 year+ to 20 year | 13.50 | 13.50 | 20.30 |
| 20 year+ to 25 year | 16.20 | 16.20 | 24.30 |
| 25 year + to 51 year | 18.00 | 18.00 | 27.00 |
| Maintenance Fee | |||
| Fee per million of notional | 3.00 | 3.00 | 12.00 |
2. High Turnover Plan
The High Turnover Plan incurs an up-front booking fee, an on-going "risk consumption" maintenance fee and a maximum fund threshold.
Booking Fee
The booking fee is incurred upon trade registration and payable monthly in arrears as set out in the table below.
Maintenance Fee
The ongoing “risk consumption fee” is a tiered rate based on a client fee group's quarterly volume and calculated as basis points annualised on the client's initial margin (IM) requirement (regardless of type of collateral used to cover IM). It is calculated daily and paid monthly in arrears.
| Interest Rate Swaps | Non-Deliverable Interest Rate Swaps | Inflation Swaps | |
| Booking fee per contract (USD) | $27.50 | $27.50 | $40.00 |
| Tiered maintenance charge based on trade volume | |||
| < 3,000 contracts per quarter | 11bps | ||
| >= 3,000 contracts per quarter | 10bps | ||
Maximum Fund Threshold
Maximum number of 75 funds for a single client group using the HTO plan. A client group with greater than 75 funds will incur a $5,000 charge per annum for each additional fund over that maximum.
3. Blended Rate and Multilateral Compression
For each trade terminated from blended rate compression or multilateral compression, the following fees apply:
Per trade terminated = a) Registration replacement fee + b) Processing fee
a) Registration Replacement Fee
| Pricing Plan | |
| Fee for booking a notional offsetting position | Based on client's fee plan at the point of compression |
b) Processing Fee
Volume bands are based on the aggregate monthly sum of:
- Number of cleared contracts
- Number of contracts compressed using blended rate, standard and multilateral compression
| Volume Bands | Blended Rate (USD) | Multilateral (USD) |
| Volume greater or equal to 750 contracts | $25 | $50 |
| Volume greater or equal to 250 contracts but fewer than 750 contracts | $50 | $75 |
| Volume less than 250 contracts | $75 | $100 |
4. EMIR Account Structure
There is more information on account structure fees, including ISA and IGA account charges, under EMIR.
5. IBOR Fallback Fees
Unless notified otherwise by member circular, LCH will apply a monthly Fallback Fee for outstanding IBOR contracts which have a maturity date after the currency IBOR cessation date. Fallback fees will be applied for 3 months prior to the announced LCH conversion date, for outstanding positions as of the last business day of that month.
| Fee per outstanding contract | ||
| 3 months prior to LCH conversion date | 2 months prior to LCH conversion date | 1 month prior to LCH conversion date |
| £5 | £5 | £5 |
6. IBOR Conversion Fees
Unless notified otherwise by member circular, LCH will apply a conversion fee to client SwapClear Contracts which are converted by the LCH conversion tool.
| Fee per outstanding contract | |
| Conversion Fee | £30 |
The following Client Clearing Fee Notes provide clarification of the application of the fees listed in the Client Clearing Fees section.
Notes on Client Clearing Fees
SwapClear charges all fees to clearing members; members individually make pricing arrangements with clients and confidentially notify SwapClear of the pricing plan for each client.
Clients can switch pricing plans quarterly, and must give SwapClear reasonable advance notice to make the operational changes necessary to effectuate such a change, i.e. no fewer than fifteen (15) days prior to a calendar quarter.
2. High Turnover Plan
Maintenance Fee
Only new trade clearing activity will be taken into consideration for calculations (i.e. post clearing events will not be included).
Calculation of activity will be counted at the client group level and applied to all sub-accounts in the relevant client group which are subscribed to the HTO plan.
New clients on the HTO plan will be subject to a 10bps maintenance charge until they have completed a full calendar quarter of clearing activity; subsequent quarters will be based on actual activity from the previous quarter.
Maximum Fund Threshold
The fee for funds in the same client group in excess of 75 will be charged semi-annually.
Funds subscribed to the HTO plan and with one or more cleared contracts contribute to the calculation of the maximum fund threshold.
The charge will be applied equally to all funds subscribed to the HTO plan.
3. Blended Rate and Multilateral Compression
a) Registration replacement fee is a charge for booking a notional offsetting position based on the client’s current fee plan at the point of compression (e.g. $27.50 for High Turnover plan and the published schedule for Standard Pricing Plan).
b) Processing Fee: the applicable band will be assessed on a quarterly basis based on the preceding quarter’s activity. Replacement swaps (i.e. those that are the result of the blending activity or multilateral compression activity) are not charged a blended rate or multilateral compression fee.
5. IBOR Fallback Fees
'IBOR' refers to the interest rate benchmarks being replaced by alternative risk-free rates.
FRAs will not be subject to Fallback Fees.
Any IBOR-IBOR basis swaps that may be voluntarily split into two interest rate swaps by LCH prior to a conversion cycle will not be charged twice.
'SwapClear Contract' includes an 'FCM SwapClear Contract'.
6. IBOR Conversion Fees
'IBOR' refers to the interest rate benchmarks being replaced by alternative risk-free rates.
Any IBOR-IBOR basis swap contracts is split into two interest rate swap contracts by LCH prior to a conversion will be treated as two separate swaps contracts from the time of splitting. As such, any outstanding IBOR contracts that may have resulted from a basis swaps splitting event will be charged separately if included in a conversion cycle.