SGD SOR and THB THBFIX Conversion Circular

SGD SOR and THB THBFIX Conversion - Criteria for “Major SGD SOR Swap Market Participant” and “Major THBFIX Major Swap Market Participant”.

Dear SwapClear User¹,

This circular is published pursuant to the LCH Rulebook Floating Rate Conversion Annex – SGD SOR and the Floating Rate Conversion Annex THB-THBFIX² (each an “Annex” and jointly the “Annexes”) and details the criteria that LCH Limited will apply to determine which SwapClear Users will be required to submit non-executable two-way pricing (i.e. bid and offer) in accordance with section 12 of each Annex³.

This follows LCH Limited’s announcements of the outcomes of its consultations regarding the conversion of SwapClear Contracts (which includes, for the purposes of this circular, FCM SwapClear Contracts) linked to SGD SOR (“SwapClear SGD SOR Swaps”) and THB THBFIX (“SwapClear THB THBFIX Swaps”)⁴.

A “Major SGD SOR Swap Market Participant” means a SwapClear User that:

1. is authorised and supervised as a credit institution in the EU or as the equivalent of a credit institution in a country outside the EU, and
2. (a) is a member of Subgroup 1 (SG1) of the Steering Committee for SOR & SIBOR Transition to SORA (SC-STS); or (b) has registered with the SwapClear service an amount expressed in Trade Count and in Gross Delta equal to or above the median amount across all SwapClear Users which have registered SGD SOR and SGD SORA denominated SwapClear Contracts in their Proprietary Accounts between 1 September 2022 and 28 February 2023 inclusive.

A “Major THB THBFIX Swap Market Participant” means a SwapClear User that:

1. is authorised and supervised as a credit institution in the EU or as the equivalent of a credit institution in a country outside the EU; and
2. has registered with the SwapClear service an amount expressed in Trade Count and in Gross Delta equal to or above the lower quartile amount across all SwapClear Users which have registered THB THBFIX and THB THOR denominated SwapClear Contracts in their Proprietary and Client Accounts between 1 September 2022 and 28 February 2023 inclusive.

The price submission requirements are included in the relevant Annex. Not withstanding the terms stated there, please note that the submission time for the purpose of (36.1) of Schedule 2.1G and Schedule 7 (corresponding to THB-THBFIX only) is updated via this circular to be 9:30am London time.

In addition, further information is available in the “Conversion Methodology” section of the SGD and THB Conversion - Operational Considerations deck here:

For members, LCH Portal > Knowledge Centre > Document Library > LCH SwapClear – Member > Benchmark Reform – Conversion > SGD SOR Conversion

For clients, LCH Portal> Knowledge Centre > Document Library > LCH SwapClear – Client > Benchmark Reform – Conversion > SGD SOR Conversion

Each time a Major SGD SOR/THB THBFIX Swap Market Participant submits pricing to LCH Limited it represents and warrants to LCH Limited that all price submissions have been suitably verified by appropriate members of its senior management prior to submission. For these purposes “appropriate members of senior management’ should be construed to mean the Head of Treasury or Markets of the relevant SwapClear User.

Should you have any questions about this statement, or if you require further information, please do not hesitate to contact gaurang.pipalia@lseg.com.

Terms used in this circular and not defined herein have the meaning assigned in the LCH Rulebook as published on https://www.lseg.com/en/post-trade/clearing.

1 “SwapClear User” means a SwapClear Clearing Member (including an FCM Clearing Member), a SwapClear Clearing Client or an FCM Client.

2 This circular is issued with respect to both the SwapClear service and the SwapClear FCM service.

3 Price submission process further described in the “Conversion Methodology” section of the “SGD and THB Conversion - Operational Considerations” deck in LCH Portal > Knowledge Centre.

4 LCH’s Consultation on Conversion of Outstanding SGD SOR SwapClear Contracts | LCH Group and LCH Consultation on Conversion of Outstanding Cleared THB THBFIX Contracts | LCH Group