Collateral Operations – Update on Changes to Billing, Settlement and Reporting of Collateral Fees

LCH would like to provide an update to LCH Circular No 3644 published on 17th August 2015.

Clearing Members were informed that following member consultation, the proposed changes to how Collateral Fees are billed, settled and reported at LCH were rescheduled to take place in 2016.

LCH can now confirm the below changes will take place as follows;

1. From the 1st September 2016, the interest accrual will be separated into the following accruals:

• Interest accrued against the respective currency base rate
• Interest accrued against the LCH spread

Clearing Members will only see the impact to interest accruals from the 5th October 2016 (third business day of the month) when the physical settlement and reporting takes place.

Clearing Members reconciling interest/accommodation on a daily basis will, however, need to use the new suite of interest reports from the 1st September as this is when the new interest calculation will begin.

2. From the 3rd October 2016, all fee-related postings will be processed as ‘Non-Cover’ and directly debited from Clearing Members PPS accounts.

The Member Impact Analysis can be found here. This document provides a comprehensive explanation of all the changes, together with example report formats.

Further details regarding Clearing Member testing opportunities will follow this communication in due course.

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

Collateral Client Services
collateral.clientservices@lch.com
+44 (0) 20 7426 7505