Index Products

 

Fees for Index Products are set out below.

1. ICE LIBOR Fees

In accordance with the below schedule, Index fees will be payable by a SwapClear Clearing Member (including an FCM Clearing Member) for each new trade registered in their name, which references the ICE LIBOR* index: 

This fee is a straight pass through of the fees charged to LCH Ltd by ICE Benchmark Administration Limited.

Transaction Maturity Fee per million of notional cleared (in currency traded)
0 to 2 years 0.02
2 to 5 years 0.04
2 to 5 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 effected by the Clearing House.

The above fee will be calculated and invoiced monthly in arrears to SwapClear Clearing Members, in the currency of the trade.

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

 

2. BISL BSBY Fees

In accordance with the below schedule, index fees will be payable by a SwapClear Clearing Member or an FCM Clearing Member (each, a “Member”) for each new trade registered in their name, which references the Bloomberg Short-Term Bank Yield (“BSBY”)* index provided by Bloomberg Index Services Limited (“BISL”) (each such trade, a “BSBY Trade”).

 

Client Clearing Fees - Standard Pricing Plan

Where a Member is subject to the standard pricing plan for trades it clears with respect to a SwapClear Clearing Client or an FCM Client, LCH will charge the Member the following additional fee for each such trade that is a BSBY Trade on a per-million notional basis, in USD.

Booking Fee Booking Fee per BSBY Trade
Transaction Maturity  
0 - 1 year 0.0450
1 year+ to 3 year 0.1125
3 year+ to 5 year 0.2025
5 year+ to 7 year 0.2700
7 year+ to 10 year 0.3600
10 year+ to 12 year 0.4050
12 year+ to 15 year 0.4500
15 year+ to 20 year 0.6750
20 year+ to 25 year 0.8100
25 year + to 51 year 0.9000
Maintenance Fee  
In addition, a Member will pay a maintenance fee equal to 5% of any maintenance fees it incurs under the standard pricing plan, in respect of BSBY Trades registered in its name. These fees are payable in USD.

Client Clearing Fees - High Turnover Plan

Where a Member is subject to the high turnover plan for trades it clears with respect to a SwapClear Clearing Client or an FCM Client, LCH will charge it an additional fee of USD $1.25 for each such trade that is a BSBY Trade.

 

Member Fees

Where a Member is subject to one of the following tariffs for trades it clears for its own account or with respect to a SwapClear Dealer, then LCH will charge the Member the following additional fees, in respect of such tariff and such trades.  

Member Tariff Type BSBY Fee
Bronze

Booking fee: £3.75 per BSBY Trade

Maintenance fee: £0.30 per month per BSBY Trade

Silver Booking fee: £3.75 per BSBY Trade
Gold Booking fee: £0.60 per BSBY Trade
Platinum Booking fee: £0.60 per BSBY Trade

The BSBY fees will not apply to SwapClear Contracts or FCM Contracts that result from a position transfer or a compression run effected by the Clearing House.

The BSBY fees will be calculated and invoiced monthly in arrears to SwapClear Clearing Members and FCM Clearing Members, in the currency in which the fees are incurred.

* BLOOMBERG, BLOOMBERG INDICES and BLOOMBERG SHORT-TERM BANK YIELD INDEX are trademarks or service marks of Bloomberg Finance L.P and its affiliates (collectively, "Bloomberg") and have been licensed for use for certain purposes by LCH Group. Bloomberg is not affiliated with LCH Group and does not approve, endorse, review, or recommend any financial instrument. Bloomberg or its licensors own all proprietary rights in the Bloomberg Short-Term Bank Yield Index. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to Bloomberg Short-Term Bank Yield Index**. Bloomberg makes no warranty, express or implied, as to the Bloomberg Short-Term Bank Yield Index or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers, and vendors shall have no liability or responsibility whatsoever for any injury or damages - whether direct, indirect, consequential, incidental, punitive, or otherwise - arising in connection with the Bloomberg Short Term Bank Yield Index or any data or values relating thereto - whether arising from their negligence or otherwise.

**https://www.bloomberg.com/professional/product/indices/bsby/

A copy of the BISL licence for use of the BSBY index is located at BSBY-Web-Terms.pdf (bbhub.io).

The BSBY index is not available for use under Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016, as it has become retained EU law and effective in the United Kingdom under the European Union (Withdrawal) Act 2018 and as it is amended (the “UK BMR”).The index will only be available for use as a benchmark in the United Kingdom following an announcement by BISL that the index is ready for launch in the United Kingdom market in compliance with the UK BMR.