Collateral Operations – Go-Live Dates for Changes to Billing, Settlement and Reporting of Collateral Fees

Report date

Circular No.

LCH Circular No 3799


28th October 2016


All LCH Ltd Clearing Members


LCH would like to remind members of the forthcoming changes to billing settlement and reporting of Collateral Fees as detailed in Circular 3769.
•    As of 1st November 2016, interest will be broken out into two separate calculations and entries – interest accrued against the respective currency base rate (SONIA/EONIA/FED rate etc) and interest accrued against the respective spread applied by LCH, referred to as Cash Collateral Fees.

•    On 5th December 2016, settlement of collateral fees and recapitalisation of interest will take place via the ‘non-cover’ process, and a net amount will be automatically called or paid from members PPS bank accounts.

Full details of this initiative can be found in Circular 3769 published on 9th August 2016.

Please note however, as a result of internal testing the following changes have been made:

1.    REP00042 Change in two decimal places when reporting basis points
For example 35 basis points will be reported as 0.35 instead of 0.0035 which was previously stated
Effective date 1st November 2016.

2.    REP00032/REP000033a Effective date moved to 21st November 2016
Changes to REP000032/33a will now take effect on the 21st November instead of 1st December which was previously stated.

3.    REP00040 – Null values reported as ‘#EMPTY’ in .txt format
Previously it was stated that null values would be reported as blanks in the .txt format.

Further Reference
o    Further information around the new posting types introduced as a result of the changes, as well further clarification of abbreviations used in fee rate reports can be reviewed here.
o    The new reports, REP00040, REP00041 and REP00042 introduced as part of the collateral billing changes are in scope for the SFTP Member Reporting Programme project.
o    Further information on this project can be found in Circular 3785.

If you require any further information or have any questions please contact:

Collateral Client Services

Membership Sales and Relationship Management