ILS-TELBOR - rate change notice

FURTHER TO THE ATTACHED LCH CIRCULAR NUMBER 4314, THIS CIRCULAR CONTAINS IMPORTANT INFORMATION FOR SWAPCLEAR CLEARING MEMBERS, FCM SWAPCLEAR CLEARING MEMBERS AND THEIR CLIENTS IN RELATION TO THE TRANSITION FROM ILS-TELBOR TO ILS-SHIR-OIS COMPOUND AND GIVES EFFECT TO CERTAIN AMENDMENTS TO THE TERMS OF REGISTERED SWAPCLEAR CONTRACTS AND FCM SWAPCLEAR CONTRACTS IN ACCORDANCE WITH PROCEDURE 1.35 AND FCM PROCEDURE 2.1.26.

SCOPE AND INTERPRETATION

1. This constitutes a “Rate Change Notice” as defined in and pursuant to the Regulations and the Procedures and the FCM Regulations and FCM Procedures.
2. This Rate Change Notice and the provisions of Procedure 1.35 and FCM Procedure 2.1.26 apply to all open SwapClear Contracts and FCM SwapClear Contracts that (i) specify ILS-TELBOR as the floating rate or use ILS-TELBOR to calculate the floating amount thereunder, (ii) are registered with the Clearing House as of the time on the Conversion Cut-Off Date determined by the Clearing House, and (iii) have a Reset Date occurring after 2 July 2025 (each such SwapClear Contract and FCM SwapClear Contract, an Impacted Contract). For the avoidance of doubt, (A) no other SwapClear Contract or FCM SwapClear Contract shall be subject to, or affected by, the terms of this Rate Change Notice and all SwapClear Contracts and SwapClear FCM Contracts shall remain in full force and effect, and (B) other than as expressly set out in this Rate Change Notice, the SwapClear Contract Terms and FCM SwapClear Contract Terms shall not be amended, supplemented or modified by the terms of this Rate Change Notice. 
3. Capitalised terms used but not otherwise defined herein have the meaning given to them in the Regulations.  The term "business day" has the meaning given to it in the Regulations.
4. The terms of this Rate Change Notice relating to operational or procedural matters may be supplemented, modified, amended, replaced or withdrawn from time to time by the Clearing House in its sole discretion through a member circular or such other method as the Clearing House shall determine is appropriate.   

DEFINITIONS

For the purposes of Procedure 1.35, FCM Procedure 2.1.26 and this Rate Change Notice:

Conversion Date means 17 May 2025 or such other date as may be specified by the Clearing House from time to time through a member circular or such other method as the Clearing House shall determine is appropriate.

In-Scope Floating Rate Option means ILS-TELBOR (as defined in the ISDA Definitions).

Number of Business Days for Payment Delay means two (2) Business Days (as defined in the ISDA Definitions and as supplemented in respect of SwapClear Contracts and FCM SwapClear Contracts denominated in Israeli Shekel under Procedure 1.2.3, 1.8.1 and 1.8.6 and under FCM Procedure 2.1.2(c) and 2.1.9(a) and (f), respectively).

Relevant Number of Business Days means two (2) Business Days (as defined in the ISDA Definitions and as supplemented in respect of SwapClear Contracts and FCM SwapClear Contracts denominated in Israeli Shekel under Procedure 1.2.3, 1.8.1 and 1.8.6 and under FCM Procedure 2.1.2(c) and 2.1.9(a) and (f), respectively).

Replacement Floating Rate Option means ILS-SHIR-OIS Compound (as defined in the ISDA Definitions).

Spread Adjustment means negative 0.901 basis points.

APPLICABILITY OF CERTAIN PROVISIONS IN PROCEDURE 1.35

The following sections of Procedure 1.35 and FCM Procedure 2.1.26 shall be “Applicable” and have effect in relation to the Impacted Contracts specified in this Rate Change Notice.

1. Cash Compensation Amounts and Cash Compensation Contracts: Applicable
2. Operational Bookings (including Operational Overlay Bookings): Applicable