FX Haircuts on Collateral - October Update

Dear LCH Member,

Please be advised that the go-live date for the changes to FX haircuts on Collateral has been postponed by two weeks to the 12th November 2018 (subject to regulatory review and approval).

Please note that the timeline for the collateral report changes (decommission of REP00030 and change to REP00019) remains the same (26th and 23rd October respectively), however members now have until the 31st October to notify LCH of any changes to their margin call preferences that they wish to be in place by the 12th November. There will be a freeze to margin call preference changes around the go live (1st November – 12th November inclusive). The updated transition schedule is now available attached.

Please be aware that as the 12th November is Veterans Day in the United States, members with a USD call preference will have margin calls issued in GBP as the alternative currency in line with existing Procedures (Section 3 – page 7).

For reference we are also providing members with an FAQ on this project and links to previous documents and circulars as follows:

• Frequently Asked Questions
• Collateral Reporting Changes
• Circular No. 3977 - 20th September 2018 (Currency of Risk and Member Test schedule)
• Circular No. 3975 - 13th September 2018 (Confirmation of Collateral Report availability)
• Circular No. 3973 - 28th August 2018 (Update on Collateral Reports)
• Circular No. 3971 – 20th August 2018 (Collateral Reports available in Member Test)
• Circular No. 3963 – 19th July 2018 (Details of Collateral Report and Triparty changes)
• Circular No. 3947 - 19th April 2018 (Introduction to the program and overview of the changes)

If you have any other questions please contact us at fx.haircut.project.enquiries@lch.com