Update on Proposed Changes to PPS Arrangements

LCH.Clearnet Limited (LCH) would like to provide an update to LCH Circular 3712, published on 17th March 2016.

Circular 3712 informed members of LCH’s intention to implement a change to the current PPS arrangements with 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 & 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.

• 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.

We can now confirm the changes for “Same day currency calls on currency holidays” have been moved back to the 29th August 2016. The implementation date for the NOK and CHF settlement value date changes will be confirmed in the near future.

Please find a link to a detailed Clearing Member impact analysis document describing these proposed changes across all LCH business lines.

Changes to PPS Arrangements: Clearing Member Impact Analysis

LCH will also provide sample reports in due course.

It is important to highlight that as a result of these changes all Clearing Members will require EUR, GBP and USD UK PPS accounts. We have identified a minority of clearing members who will need to open additional accounts to fulfil this requirement. LCH Collateral Client Services team will contact these members directly.

For further information please contact:

Collateral Client Services
collateral.clientservices@lch.com

Membership Sales and Relationship Management
MembershipSales@lch.com