Currency of Risk Timeline Changes August 2020 Only

Report date

Circular No.

LCH Circular No 4105


28th July 2020


All LCH Clearing Members


Dear LCH Member,

Please see below the revised timelines for the monthly Currency of Risk (or CoR) calculation for August 2020. This timetable change is driven by a scheduled technology release requiring an amendment to the standard calculation timelines. The timelines will revert back to business as usual from September 2020 onwards.  

The August 2020 CoR calculation dates will, on an exception basis, be earlier than the standard monthly process timeline as described below. Members will be notified of any changes to their CoR on 30 July 2020, with an effective date of 6 August 2020 (visible in reports dated 7 August 2020) – no notification is sent for accounts where the CoR is unchanged.


Standard CoR monthly review timeline:

CoR changes are determined at the beginning of each calendar month by LCH’s Risk departments using relevant position data, and is 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 account's CoR on the 1st business day of the month** (for example on the 2nd January 2020);
  • Clearing Members will be notified of any CoR changes via an automated email*** at 9am the 3rd business day of the month** (for example on the 4th January 2020); and
  • The change will become effective at end of day (EOD) on the 8th business day (for example on the 9th January 2020) and shown in reports produced on the 9th business day of the month** (for example on the 10th January 2020).


CoR definition:

  • LCH define CoR 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 CoR.
  • 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 and EquityClear the FX risk between CoR and the currency of the position is included in the IM.  

Members can view their CoR 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 CoR and represents the currency in which the margin is calculated - EREP0003, EREP0020, EREPTP20, EREP0026, EREP0027, EREP0030, EREP0031, EREP0032).

If you have any other questions please contact us at or


* The following service level rules are applied when determining the accounts 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


** 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 Intraday Margin Calls. Updates are aggregated for all collateral accounts under the same member mnemonic. An example email is provided here