| LCH circular number: | 4305 |
| Date: | April 30, 2024 |
| To: | All SwapClear Users |
Swiss Average Rate Overnight (SARON) Index Fees
Dear SwapClear User,
This circular details the fees associated with the clearing of Swiss Average Rate Overnight (“SARON”) index linked SwapClear Contracts1.
Commencing 1st July 20242, index fees will be payable by a SwapClear Clearing Member1 for each new trade registered in their name which references the SARON index.
These fees are a straight pass-through of the fees charged to LCH Limited by SIX, the benchmark administrator for SARON.
| Transaction Maturity | Fee per million notional cleared |
0 to 2 years 2 to 5 years 5 to 10 years 10 to 30 years 30+ years |
0.02 0.04 0.06 0.10 0.16 |
The index fees will be distinguished by FeeType (=Index) and Index (=SARON) in reports REP00311c and REP00180/c, and will also be included in REP00312c.
Should you have any questions, or if you require further information, please do not hesitate to contact LCHSales@lseg.com.
[1] “SwapClear Contract” includes “FCM SwapClear Contract” and ‘SwapClear Clearing Member’ includes an ‘FCM Clearing Member’ and is defined in the LCH rulebook. These terms are defined in the LCH rulebook available at https://www.lseg.com/en/post-trade/clearing