Collateral Operations – Updates

LCH Ltd. (LCH) would like to advise of the following collateral related changes:

From 22/07/2019 Banking Report REP00017a Client Deposit Rates will be decommissioned.

As per LCH Circular No 3735 this report has been replaced by REP00042 (Daily Collateral Fees) used in conjunction with REP00017(Daily Base Rates)

Clearing members will find a link within LCH Circular No 3735 that provides clarification on the reconciliation of interest/fees.

Margin Collateral Coupons

From 01/09/2019, all JPY and DKK coupon payments arising from non-cash collateral pledged to cover Initial Margin requirements, will be aligned to all other margin coupon currencies and paid promptly on or after the appropriate payment date.

JPY and DKK margin coupons are currently instructed on a projected value one day prior to coupon payment date. Whilst this process allows JPY and DKK margin coupons to be credited to members accounts on the coupon payment date, it can lead to manual adjustments. This is as a result of the record date falling one day prior to the payment date for JPY and DKK coupons. Consequently, the nominal amount is still subject to change after the JPY and DKK projected margin coupon amount has been calculated and paid.

This change will ensure clearing members always receive the correct JPY and DKK margin collateral coupon values, albeit one business day after the coupon payment date.

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

Collateral Client Services
Collateral.ClientServices@lch.com