USD Bank Holiday Call currency change

Dear Member,

Following the member consultation dated 29 April 2020 (www.lseg.com/en/post-trade/clearing/membership/ltd-membership/ltd-member-updates/lch-limited-lch-rule-change-committee-24-april-2020), LCH Limited (LCH) has changed the currency of the cash collateral it calls from GBP to EUR on each day that is a USD (but not also a EUR) currency holiday.

The change has been reflected in LCH’s rulebooks at the sections below (www.lseg.com/en/post-trade/clearing/clearing-resources/rulebooks/lch-limited) and is summarised and illustrated in context (below under “Summary”).

• Procedure 3, section 1.3.1(g)
• FCM Procedures, section 3.2.1(g)
• Sponsored Clearing Procedures, section 3.3.1(f)

Summary

If a member has a liability to LCH on a day that is a USD, EUR or GBP currency holiday, then:

1. where the member has nominated a preferred currency for calls and such currency is available to be settled on such day, LCH will call the member in its preferred currency;
2. where (1) does not apply, LCH will apply any excess it holds for the member to the liability and (to the extent this is insufficient) call the member for cash collateral, as follows:
   1. on a USD holiday, LCH will call EUR (where previously, LCH would have called GBP);
   2. on a GBP holiday, LCH will call USD;
   3. on a EUR holiday, LCH call GBP;  
   4. on a day which is both a USD and EUR holiday, LCH will call GBP (this provision is new); and
   5. on a day which is both a USD and GBP holiday, LCH call EUR.

For any questions, please feel free to reach out to CALMFLR@lch.com or collateral.clientservices@lch.com