LCH.Clearnet Ltd – Collateral Management Release Content April 2015

Dear Clearing Member,

LCH.Clearnet Limited (LCH.Clearnet) is pleased to confirm the following enhancements as part of our Collateral Management release, scheduled for weekend of April 25th 2015

•    Interest Accrual Alignment and Simplification
•    New Banking Report 18a providing exchange rates across GBP/EUR/USD

Interest Period Alignment and Simplification

LCH.Clearnet will simplify the interest period accruing interest on a calendar day basis from the first day of the month to the last calendar day of the month. The resulting interest would then be posted on the second business day of the month. Please note the Default Fund interest period will also align to this new calendar day based accrual.

Please therefore be advised that April’s interest accrual period will reflect a hybrid interest accrual period consisting of the previous interest period and the new calendar days based accrual. April’s interest period (non-Default Fund) will therefore be from the last business day of the previous month (31st March) to the last calendar day of the current month (30th April). Equally, the Default Fund interest accrual April period will be from the 4th April to the last calendar day of the current month (30th April).

From May onwards, all interest will be accrued on a calendar basis from the first day of the month to the last calendar day of the month.

New Banking Report 18a

From 28th April, a new daily Banking report will be published detailing exchange rates to nine decimal places across EUR/GBP/USD. This report will be published alongside the current Report 18 within the Public/Banking folder of Member Live.

An example txt. Format has been provided here for your convenience. Furthermore, the new report will be available in Member Test one week prior to deployment.

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

Nick McMillan
Nick.McMillan@lchclearnet.com    
Collateral Operations and Client Service Manager

Laurence Jones
Laurence.Jones@lchclearnet.com
UK Head of Collateral Operations

Collateral Operations
collateral.queries@lchclearnet.com
 +44 (0) 20 7426 7505