Currency of Risk – December Change

Report date

Circular No.

LCH Circular No 3987


20th November 2018


All LCH Ltd Clearing Members


Dear LCH Member,

Following the launch of FX Haircuts on Collateral on the 12th November (Circular No. 3984 – 29th October) please see below revised timeline for the monthly process of Currency of Risk changes, including a change to the December dates previously advised.

Currency of Risk:

  • LCH define Currency of Risk as the primary currency in the cleared trade portfolio of a member, determined using the largest standalone IM at the collateral account level*.
  • FX Haircuts are applied to collateral valuations only when the currency of the collateral is different from Currency of Risk.
  • For SwapClear and Listed Rates services an FX add-on is calculated using the CoR, which reflects the shortfall between calculating IM with GBP scaled historical FX scenarios (Production) and IM calculated with CoR scaled historical FX scenarios. The aim is to capture FX risk not contained within the current production methodology.
  • For RepoClear, EquityClear and LSEDM the FX risk between CoR and the currency of the position is included in the IM


Members can view their Currency of Risk in the CMS enquiry screen (Enquiries -> Sub Accounts -> Currency of Risk), in collateral reports (REP00031, REP00046 and REP00046a) and in LSEDM reports (RPT SCC and RPT SMG) and EquityClear reports (where the Base Currency is defined as the Currency of Risk and represents the currency in which the margin is calculated - EREP0003, EREP0020, EREPTP20, EREP0026, EREP0027, EREP0030, EREP0031, EREP0032).


Currency of Risk will be determined at the beginning of each calendar month by LCH’s Risk department using recent position data, and will be fixed until it is reviewed the following month. This gives members certainty over the post haircut value that their collateral will provide as margin cover for each collateral account. The timeline for the monthly process is as follows:

  • LCH Risk department will make a determination on the accounts Currency of Risk on the 1st business day of the month** (for example on the 2nd January 2019);
  • Clearing Members will be notified of any Currency of Risk changes via an automated email*** at 9am the 3rd business day of the month** (for example on the 4th January 2019); and
  • The change will become effective at end of day (EOD) on the 8th business day (for example on the 9th January 2019) and shown in reports produced on the 9th business day of the month** (for example on the 10th January 2019).


The December 2018 Currency of Risk change dates will exceptionally be one week later than the standard monthly process as advised above. Members will be notified of changes on 12 December, which will become effective at the end of 19 December and visible in reports dated 20 December.

If you have any other questions please contact us at


* The following service level rules are applied when determining the accounts Currency of Risk(CoR):

  • SwapClear – CoR can only be GBP, EUR or USD and should these currencies not be present in an account the following defaults apply (SCM-House: GBP; SCM-Client: EUR, FCM: USD)
  • Listed Rates – CoR can only be GBP or EUR and should these currencies not be present in an account the following defaults apply (House: GBP; Client: EUR)
  • ForexClear – CoR can only be USD
  • RepoClear – CoR can only be GBP or EUR
  • EquityClear – CoR can only be GBP, EUR, USD, NOK or CHF
  • LSEDM – CoR can only be GBP, EUR, USD, NOK or CHF


** Business days are weekdays (Monday – Friday) with the exception of Christmas Day, New Year’s Day and Good Friday and times are all based on the London time zone (GMT/BST).

*** Emails are sent to the Email Distribution Lists members have nominated to receive End of Day and Intraday Margin Calls. Updates are aggregated for all collateral accounts under the same member mnemonic. An example email is provided here.