Update on Proposed Changes to PPS Arrangements

LCH would like to provide an update to LCH Circular 3739, published on 27th May 2016.

Circular 3739 informed members of LCH’s intention to implement a change to the current PPS arrangements, along with the impact assessment and proposed implementation dates. The changes proposed to the PPS arrangements has 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.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.

• 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.

The  “Same day currency calls on currency holidays” scheduled implementation date of 29th August 2016 is currently being re-planned with a revised date for implementation due to be communicated to Clearing Members by Friday 29th July 2016. The implementation date for the NOK and CHF settlement value date changes will also be confirmed by Friday 29th July 2016. LCH will also provide sample reporting for the proposed changes with the implementation dates.

For further information please contact:

Collateral Client Services
collateral.clientservices@lch.com

Membership Sales and Relationship Management
MembershipSales@lch.com