LCH.Clearnet Ltd – Update on Proposed Changes to PPS arrangements

Report date

Circular No.

LCH Circular No 3664


12th October 2015


LCH.Clearnet Limited (LCH) would like to provide an update to LCH Circular 3636, published on 23rd July 2015.

Circular 3636 informed members of LCH.Clearnet’s intention to implement a change to the current PPS arrangements with two main deliverables. As a summary:-

  1. Same day currency calls on currency holidays.

On a same day currency (currently these are GBP, EUR, USD, CAD & MXN) holiday, LCH.Clearnet will call an alternative deliverable major same day currency for both Initial Margin and Variation Margin calls. The alternative currency called will be one of the three major call currencies, EUR, GBP or USD. This will be applicable across all Clearing Member accounts, both proprietary and client.

  1. Where PPS bank cash cut-off times allow, settle currencies same day rather than next day.

At present LCH settles multiple currencies on a ‘next-day’ basis. The change will see a movement in the settlement value of both Norwegian Krone (NOK) and Swiss Franc (CHF) from ‘next-day’ to ‘same-day’ value. This is applicable on both our SwapClear and Equities businesses.

After careful consideration and internal planning, as well as factoring in feedback received from our clearing members we would like to inform you that the delivery for both of the above will be introduced in H1 2016.

This decision has not been taken lightly, however we are keen to ensure that the impact on our clearing members remains at the forefront of our approach to change, maintaining the safety and robustness of the markets we serve.

As previously advised, we will be publishing more details in due course. We will also ensure that we provide no less than 90 days notification of the detailed impact prior to the implementation of these changes.

For further information please contact:

Laurence Jones
Head of Collateral Operations, LCH.Clearnet LTD & LLC

Collateral Client Services

Membership Sales and Relationship Management