Update on Proposed Changes to PPS Arrangements

LCH would like to provide an update to LCH Circular 3762 published on 19th July 2016.

Circular 3762 informed members of LCH’s intention to implement a change to the current PPS arrangements, along with notification that the implementation dates for these changes were being re-planned. The changes proposed to the PPS arrangements have two main deliverables, as a summary:-

• Same day currency calls on currency holidays.

On a same day currency (currently these are GBP, EUR, USD & CAD) holiday, LCH 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.

• Norwegian Krone (NOK) and Swiss Franc (CHF) currencies changed to same day value.

At present LCH settles multiple currencies on a ‘next-day’ basis. The change will see a movement in the settlement value of both (NOK) and (CHF) from ‘next-day’ to ‘same-day’ value. This is applicable to the SwapClear, EquityClear and LSEDM Clearing Services.

LCH has continued with its request for regulatory approvals, as well as trying to ensure the impact to our Clearing Member community is kept to a minimum. LCH is now pleased to announce that the “Same day currency calls on currency holidays” scheduled implementation date will have a go-live of October 10th 2016 (subject to regulatory approval) when the first currency holidays of both USD and CAD apply.

The NOK and CHF movement from a next-day currency to a same-day currency will have a go-live of Q1 2017. This will allow us to work through the changes in more detail with our Clearing Members. Further communications on this will follow in due course.

Please also find a link to a detailed Clearing Member impact analysis, including sample reporting as previously discussed with Clearing Members –

Changes to the Protected Payments System (PPS)

For further information please contact:

Collateral Client Services
collateral.clientservices@lch.com

Membership Sales and Relationship Management
MembershipSales@lch.com