VIA CFTC Portal

Mr Christopher Kirkpatrick

Commodity Futures Trading Commission

1155 21st Street NW

Three Lafayette Centre

Washington DC 20581

14 March 2023

LCH Limited Self-Certification: Revised Margin Collateral Haircut Schedule 

Dear Mr. Kirkpatrick,

LCH Limited (“LCH”), a derivatives clearing organisation registered with the Commodity 

Futures Trading Commission (“CFTC”), is submitting for self-certification, pursuant to CFTC 

Regulation §40.6(a), a new schedule of securities acceptable for margin cover purposes 

(“Schedule”). This new Schedule will take effect on or after March 28, 2023. 

Part I: Explanation and Analysis

LCH proposes to introduce this new Schedule following its review of the haircuts applied to 

collateral members and clients can post for margin purposes. 

Part II: Description of Rule Changes

LCH observed volatility in Q4 2022 in collateral that was not amended as part of the last review. 

LCH is therefore proposing changes with regards to the haircuts applied to conventional and 

inflation linked bonds, and in its FX haircuts. 

The Schedule will be notified via a circular to clearing members prior to the implementation 

date, and a copy of the Schedule is attached as Confidential Appendix I, with the updates 

highlighted1. 

This submission does not require any changes to the LCH Rulebook.

Part III: Core Principle Compliance

LCH reviewed the proposed rule changes against the requirements of the Core Principles and 

finds it will continue to comply with all the requirements and standards set forth therein. 

Specifically, these rule changes have potential relevance to Core Principle D (Risk 

Management). 

The changes described in this filing ensure that LCH meets the objectives of Core Principle D, 

including that LCH possess the ability to manage the risks associated with discharging its 

responsibilities through the use of appropriate tools and procedures. Core Principle D also 

requires LCH to ensure it has sufficient margin from each member and participant to cover 

potential exposures in normal market conditions and that this is reviewed on a regular basis. 

Furthermore, §39.13(g)(12) states that a clearing organization shall apply appropriate 

reductions in value to reflect credit, market and liquidity risks. As well as evaluate the 

appropriates of the haircuts, which is inline with these changes. 

1 The Schedule will shared with Clearing Members in a secure website area and then made publicly available on the LCH 

website two months after the implementation date.
LCH considered its risk management requirements, specifically those related to the types of 

assets that LCH may accept as margin, and determined that the changes outlined in this filing 

will not impact LCH’s compliance with Core Principle D. As a result, LCH believes these 

changes are consistent with the requirements of Core Principle D on Risk Management under 

CFTC Regulation §39.13.

Part IV: Public Information

LCH has posted notice of pending certification and submission with the CFTC, on the LCH 

website at https://www.lch.com/resources/rulebooks/proposed-rule-changes.

Part V: Opposing Views

There have been no opposing views expressed to LCH by governing board or committee 

members, members of LCH, or market participants.

Certification

LCH hereby certifies to the CFTC, pursuant to the procedures set forth in CFTC regulation 

§40.6, that the attached rule submission complies with the Commodity Exchange Act, as 

amended, and the regulations promulgated thereunder.

Should you have any questions please contact me at ebba.andersson1@lseg.com. 

Yours sincerely,

Ebba Andersson

Senior Compliance Officer

LCH Limited
Confidential Appendix I

LCH Margin Collateral Haircut Schedule