FX Haircuts on Collateral - Update On New Member Reports

Dear LCH Member,

Further to our previous circular for FX Haircuts on Collateral (Circular No. 3973 - 28th August 2018), we would like to provide an update on the availability of the new Collateral Reports.

The three new reports will be available in Production (live) from next week as follows:

• REP00031 - Collateral and Exposure Summary - The first version of this report will be published on the morning of Tuesday 18th September;
• REP00046a - SOD Cash Collateral Holdings - The first version of this report will be published on the morning of Tuesday 18th September; and
• REP00046 - Cash Collateral Holdings - The first version of this report will be published on the morning of Monday 17th September.

Changes to REP00019 and decommissioning of REP00030 remain on target for the end of October as previously advised.

In support of to the launch of the new reports next week, the Member Test environment has been updated with the final version of the three new reports (REP00031, REP00046a and REP00046) effective from today. If clearing members are planning to release changes to consume these files next week, please ensure that you have re-tested using the latest version of these reports from today’s member test folders.

Further details of these report changes are available in the updated Clearing Member Impact document attached.

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