LCH Rule Submission

Appendix A

Matrix of Rule Changes
General 

Regulations

Explanation

Regulation 1 

(Definitions)

Regulation 1 has been amended to include new definitions for:

(a) “Client Charge”, “Client Collateral”, “Client Securities Collateral”, 

“Collateral Management Agreement”, “Custodial Segregated Account”, 

“Custodial Segregated Account Balance”, “Custodial Segregated Client”

and “ISA Port”, which are specific to Custodial Segregated Accounts; 

and

(b) “Insufficient Resources Determination Rules”, as such definition is used 

in Regulation 10(c), 10(d), 11(f)(ii), Procedure 2C (sections 1.2.2, 1.7 

and 1.9) and Procedure 2J (sections 1.5.1 and 1.5.2). 

Further, amendments have been made to the existing definitions of: 

(a) “Account Balance”, “Applied Collateral Excess Proceeds”, “Associated 

Collateral Balance”, “Carrying Clearing Member”, “Clearing Member 

Applied Collateral”, “Clearing Member Current Collateral Balance”, 

“Clearing Member Returned Collateral”, “Client Account”, “Collateral”,

“Eligible Transferee”, “Eligible Transferor”, “Portfolio Margining Client”, 

“Receiving Clearing Member”, “SwapClear Clearing Client”, “SwapClear 

Client Clearing Services”, “Total Required Margin Amount” and 

“Transfer Account”, in each case, to extend their application to 

Custodial Segregated Accounts; and

(b) “initial margin”, “margin”, “Portfolio Margined Contracts” and 

“variation margin”, to clarify their meaning.

Regulation 5 

(Resigning and 

Retiring 

Members)

Regulation 5(b)(i) and Regulation 5(f)(i), which set out the Clearing House’s 

obligation to return Collateral to a Resigning Member or a Retiring Member 

respectively, have been amended to clarify that such provisions apply only to 

Collateral that that a Member has provided directly to the Clearing House. By 

contrast, any Collateral that a Custodial Segregated Client has provided directly to 

the Clearing House is excluded from such provisions and will be returned directly to 

the relevant Custodial Segregated Client. 

Regulation 10

(Accounts)

Regulation 10 has been extended to cover Custodial Segregated Accounts.

Regulation 10(c), which relates to the Clearing House’s ability to combine or 

consolidate balances on a Member’s Client Accounts with any other accounts of 

such Member, is clarified to reflect that the Clearing House:

(a) may, in BAU, make a Cross-ISA Client Excess Deduction;

(b) may, after a Member Default, apply Margin Cover relating to a Custodial 

Segregated Account or ISA that the defaulting Member has opened in 

respect of a particular Client to losses arising on any other Custodial 

Segregated Account or ISA that such Member has opened in respect of the 

same Client in accordance with Default Rule 15; and

(c) will, after the Clearing House makes an Insufficient Resources 

Determination, net cash amounts owing between a particular Member and 

the Clearing House in accordance with the applicable Insufficient Resources 

Determination Rule.

Regulation 10(d), which relates to the Clearing House’s ability to apply Collateral 

recorded to a Member’s Proprietary Account to liabilities on any Client Account of 

such Member, is clarified to reflect that the Clearing House will, after it makes an 

Insufficient Resources Determination, net cash amounts owing between a Member 

and the Clearing House in accordance with the applicable Insufficient Resources 

Determination Rule.

Regulation 11

(Client Clearing 

Business)

Regulation 11 has been extended to cover Custodial Segregated Accounts.

Regulation 11(c) has been amended to clarify that Relevant Contracts may be 

ported from an Exempt Client Clearing Member to a Backup Clearing Member by (i) 
transfer, or (ii) terminating and closing-out such Contracts, and re-establishing new 

Contracts on equivalent terms with such Backup Clearing Member.

Regulation 11(f)(ii) has been amended to clarify that, after the Clearing House 

makes an Insufficient Resources Determination Rule, the Clearing House will net 

cash amounts owing between a particular Member and the Clearing House in 

accordance with the applicable Insufficient Resources Determination Rule.

Regulation 11(m) has been amended to clarify that in the case of an ISA, the 

obligation to provide Collateral in respect of the Total Required Margin Amount may 

be discharged by the Clearing House making a Cross-ISA Client Excess Deduction.

Regulation 20

(Margin and

Collateral)

Minor clarificatory changes have been made to Regulations 20(a), (b), (c), (d) and 

(k).

Regulations 20(p), (r) and (u) have been amended to clarify their application to 

Custodial Segregated Accounts.

Regulation 20(q) has been amended to clarify that references in the Rulebook to 

Collateral which is “provided”, “transferred” and/or “delivered” by a Member or 

Custodial Segregated Client includes Collateral which the Clearing House attributes 

to such Member or Custodial Segregated Client and the related relevant account. 

Regulation 20(t)(i), which sets out the Clearing House’s obligation to return 

Collateral to a Member, has been amended to clarify that such provision applies 

only to Collateral that that Member has provided directly to the Clearing House. By 

contrast, any Collateral that a Custodial Segregated Client has provided directly to 

the Clearing House is excluded from such provision and will be returned directly to 

the relevant Custodial Segregated Client.

Regulation 45

(Netting)

Regulation 45(d)(iii) has been amended to clarify that the netting of cash Collateral 

only applies to Member and Clearing House cash Collateral (and not to cash Client 

Collateral). 

Regulation 60 

(Transfer)

Regulation 60 has been extended to cover Custodial Segregated Accounts.

Default Rules Explanation

Default Rules The Default Rules have been extended to cover Custodial Segregated Accounts.

Schedule 1 Schedule 1 has been extended to cover Custodial Segregated Accounts.

Paragraph 4.1 has been amended to: 

(a) describe the Porting Window with respect to a Custodial Segregated 

Account; and 

(b) clarify, in paragraph 4.1(c), that the Clearing House will not need to publish 

an extension to the Porting Window for a Custodial Segregated Account.

Such an extension is not required because a Custodial Segregated Account 

Porting Window, in contrast with the Porting Window for other Client 

Account types, will remain open until it terminates in accordance with 

paragraph 4.1(b) (i.e. upon the occurrence of (i) a successful port, or (ii) 

notification by the Clearing House to the relevant Custodial Segregated 

Client that the Clearing House has determined that the Relevant Contracts 

and Account Balance will not port).

Paragraph 6.3 is amended to specify the mechanism by which Client Collateral is 

ported from a Custodial Segregated Account to an ISA.

Schedule 2 Schedule 2 has been amended to cover Custodial Segregated Accounts.

Schedule 6 The definition of “Margin Account” in rule CS4(a) of schedule 6 has been amended 
to include a Custodial Segregated Account. 

Rule CS6(b) of schedule 6 has been amended to clarify that the netting of cash 

amounts owing between a particular Member and the Clearing House excludes the 

netting of cash Client Collateral.

Rule CS8 of schedule 6, which sets out the order in which, and to whom, the 

Clearing House must pay any amounts it recovers from a Defaulting Member, has 

been amended to clarify that such recovered amounts exclude both (a) Client 

Collateral, and (b) any enforcement proceeds arising from the sale of Client 

Collateral. 

Procedure 2C

(SwapClear

Clearing 

Service)

Explanation

Section 1.1, 

1.3.3, 1.4.2, 1.7, 

1.9 and 2.4.2

These sections have been extended to cover Custodial Segregated Accounts. 

Section 1.6.1 Section 1.6.1 has been amended to describe the relationship between each 

Custodial Segregated Account of a Member and the Member’s client positionkeeping account and client collateral account.

Sections 1.7 

and 1.9

Sections 1.7 and 1.9, in respect of variation margin and initial margin respectively, 

have been amended to clarify when offsets between the “C” and “H” accounts are 

permitted and when offsets between Client Accounts are permitted.

Sections 1.13.1 

and 1.13.2

Sections 1.13.1 and 1.13.2, which relate to transfers of SwapClear Contracts from a 

Member’s Client Account to its House Account, have been amended to clarify that 

the Clearing House is entitled to rely solely on instructions and information received 

from the relevant Member, in relation to the relevant transfer, in accordance with 

sections 1.13.1 and 1.13.2. 

Section 1.14.2 For the same reason as described in the row above, a similar change has been made 

in relation to transfers under section 1.14.2 (Indirect Clearing).

Section 1.15 Section 1.15, which relates to Permitted Transfers, has been extended to cover 

Custodial Segregated Accounts.

Section 1.21 A new section 1.21 (Custodial Segregated Accounts) has been inserted to provide a 

brief explanation of a Custodial Segregated Account.

Procedure 2J

(Listed Interest 

Rates Clearing

Service)

Explanation

Sections 1.5.1 

and 1.5.2 

Sections 1.5.1 and 1.5.2, in respect of initial margin and variation margin 

respectively, have been amended to clarify when offsets between a Proprietary 

Account and a Client Account are permitted and when offsets between Client 

Accounts are permitted.

Procedure 3

(Financial 

Transactions)

Explanation

Section 1.3.1(f) Section 1.3.1(f) has been amended to clarify that auto-repay and same-day requests 

for the repayment of excess cash balances do not apply to a Custodial Segregated 

Account.

Section 1.4.3 Section 1.5.3 has been amended to clarify the ways in which a Member may obtain 

details of non-cash Collateral recorded to any of its accounts. 

Section 1.5.1 Section 1.6.1, which describes the Clearing House’s application of Collateral to any 

liabilities, has been expanded so that it applies to Collateral provided by a Custodial 

Segregated Client, as well as to Collateral provided by a Member. 

Section 1.5.4 The heading of section 1.6.4 has been expanded so that the section applies to 
Collateral provided by a Custodial Segregated Client, as well as to Collateral 

provided by a Member. 

Procedure 4

(Margin and 

Collateral)

Explanation

Sections 1.1.1, 

1.1.2, 1.1.6 and 

1.2.1

The words:

(a) “Form of Charge”, and

(b) “the charge prescribed by the Clearing House from time to time and 

published on the Clearing House’s website”, 

have both been changed to “Deed of Charge” in sections 1.1.1, 1.1.2, 1.1.6 and 1.2.1 

to conform the wording to the definition of Deed of Charge in Regulation 1. 

Section 1.1 Section 1.1 has been amended to clarify that, if the Clearing House attributes a zero 

value to any Collateral it holds, replacement Collateral will not necessarily be 

required from the relevant Member. This is because replacement Collateral may, in 

some instances, be provided by a Custodial Segregated Client. 

Section 1.1.1 Section 1.1.1 has been amended to clarify that the Clearing House will accept 

delivery of Collateral from a Member in accordance with the Procedures. 

Section 1.1.2 Section 1.1.2 has been amended to:

(a) clarify that this section does not apply to excess Collateral provided by a 

Custodial Segregated Client; 

(b) provide that, if the Clearing House notifies a Member that it holds excess 

Collateral with the Clearing House, then the Member must take all 

reasonable steps to eliminate such excess; and

(c) provide that, where a Member requests the return of excess collateral, the 

Clearing House may refuse on the basis that it would result in the Member 

ceasing to hold the requisite minimum amount of cash Collateral with the 

Clearing House. 

Section 1.1.6 Section 1.1.6 has been extended to cover information relating to a Clearing Client 

and to non-cash Collateral provided by a Custodial Segregated Client.

Section 1.1.7 Section 1.1.7 has been amended to clarify that the Clearing House will remit any 

interest payments it receives on non-cash Collateral of a Member to such Member’s 

PPS account. 

Section 1.2.2 Section 1.2.2 has been amended to clarify when Collateral held in a Client Account 

may be applied to liabilities on a Proprietary Account or on another Client Account. 

Section 1.2.2 has also been amended to clarify when Collateral held in a Proprietary 

Account may be applied to liabilities on a Client Account. 

Sections 1.4, 

1.4.3, 1.4.4, 

1.5.2 and 1.8.1

Sections 1.4, 1.4.3, 1.4.4, 1.5.2 and 1.8.1 have been amended to limit their 

application to Collateral provided by a Member (so that they do not apply to 

Collateral provided by a Custodial Segregated Client). 

Section 1.8.3 Section 1.8.3, in respect of triparty deficits, has been extended to clarify that in 

respect of a Custodial Segregated Account, a Custodial Segregated Client may make 

good the relevant deficit.

Section 1.9 A new section 1.9 (Custodial Segregated Accounts) has been inserted which sets out 

the method and (in relation to manual affirmations only) the time by which a 

Member may affirm an increase or a decrease of a triparty transaction amount in 

respect of a Custodial Segregated Account.

Schedule 17 A new Contingency Custodial Segregated Account Affirmation Form for a Custodial 

Segregated Account has been inserted as Schedule 17.
LCH Rule Submission

Appendix B

General Regulations
Clearing House : General Regulations - 1- September October 2016

GENERAL REGULATIONS OF 

LCH.CLEARNET LIMITED
Clearing House : General Regulations - i- October September 2016

CONTENTS

Regulation Page

Regulation 1 Definitions.....................................................................................................2

Chapter I – SCOPE..................................................................................................................76

Regulation 2 Obligations of the Clearing House to each Member ...................................76

Regulation 3 Performance by the Clearing House of its Obligations under the Terms of 

an Open Contract.........................................................................................77

Chapter II – STATUS ..............................................................................................................78

Regulation 4 Clearing Member Status of the Clearing House..........................................78

Regulation 5 Resigning and Retiring Members................................................................79

Regulation 6 Co-operating Clearing House Status...........................................................82

Regulation 7 Non-Member Market Participant Status.....................................................83

Regulation 8 Dealer Status................................................................................................84

Regulation 9 Service Withdrawal .....................................................................................85

Chapter III – ACCOUNTS AND CLIENT CLEARING ........................................................86

Regulation 10 Accounts......................................................................................................86

Regulation 11 Client Clearing Business .............................................................................89

Chapter IV – CONTRACT FORMATION, REGISTRATION AND TRANSFER...............95

Regulation 12 Novation ......................................................................................................95

Regulation 13 Presentation of Particulars of Original Exchange Contracts and 

Confirmation of Original Exchange Contracts............................................96

Regulation 14 Allocation of Original Contracts .................................................................97

Regulation 15 Designation..................................................................................................98

Regulation 16 Registration..................................................................................................99

Regulation 17 Trading Information ..................................................................................104

Regulation 18 Transfer......................................................................................................105

Regulation 19 Transactions entered into through an Automated Trading System or 

Platform .....................................................................................................106

Chapter V – COLLATERAL AND VALUATIONS ............................................................108

Regulation 20 Margin and Collateral................................................................................108

Regulation 21 Premium under Option Contracts..............................................................114

Regulation 22 Official Quotations and Reference Price ...................................................115

Regulation 23 Daily Settlement or Marking to Market ....................................................116

Regulation 24 Settlement and Revaluation: Clearing Processing System.......................118

Regulation 25 Other Modes of Settlement and Revaluation.............................................119

Chapter VI – OPTIONS, OPEN CONTRACTS SUBJECT TO TENDER AND DELIVERY 

CONTRACTS ...........................................................................................120
Clearing House : General Regulations - ii- October September 2016

Regulation 26 Exercise of Options ...................................................................................120

Regulation 27 Delivery Contract Arising upon the Exercise of an Option.......................122

Regulation 28 Obligation to Make and Accept Tender ....................................................124

Regulation 29 Delivery Contracts.....................................................................................127

Regulation 30 Open Contracts Subject to Tender.............................................................128

Regulation 31 Arrangements for Delivery and Payment of Price.....................................129

Regulation 32 Restrictions on Clearing House’s Obligations and Liability.....................130

Chapter VII – DISPUTE RESOLUTION..............................................................................131

Regulation 33 Arbitration: Cleared Exchange Contracts, LSE Derivatives Markets 

Cleared Exchange Contracts, EquityClear Contracts or LCH EnClear 

Contracts (for Physical Delivery)..............................................................131

Regulation 34 Collateral in Event of a Claim...................................................................135

Chapter VIII – DEFAULT, DISORDER, IMPOSSIBILITY AND FORCE MAJEURE.....136

Regulation 35 Delivery (or other) Failures.......................................................................136

Regulation 36 Default of a Member: Substituted Obligation ..........................................138

Regulation 37 Market Disorders, Impossibility of Performance, Trade Emergency........139

Regulation 38 Force Majeure............................................................................................141

Chapter IX – INVOICING BACK AND CURRENCY CONVERSION .............................142

Regulation 39 Invoicing Back...........................................................................................142

Regulation 40 Currency Conversion.................................................................................144

Chapter X – DISCLOSURE, FEES, RECORDS AND AMENDMENTS............................145

Regulation 41 Disclosure and Reporting ..........................................................................145

Regulation 42 Fees and Other Charges.............................................................................146

Regulation 43 Records......................................................................................................147

Regulation 44 Alteration of Regulations and the Procedures...........................................148

Chapter XI – NETTING AND DISTRIBUTION..................................................................149

Regulation 45 Netting .......................................................................................................149

Regulation 46 Distribution of Assets................................................................................153

REGULATION 46A Solvency Threatening Treasury Default Loss.................................154

Chapter XII – MISCELLANEOUS.......................................................................................156

Regulation 47 Procedures .................................................................................................156

Regulation 48 Interpretation of these Regulations............................................................157

Regulation 49 Waiver .......................................................................................................158

Regulation 50 Validity of Regulations and Action...........................................................159

Regulation 51 Governing Law and Jurisdiction ...............................................................160

Regulation 52 Exclusion of Liability................................................................................161

Chapter XIII – Intentionally left blank ..................................................................................164
Clearing House : General Regulations - iii- October September 2016

Regulation 53 Intentionally left blank...............................................................................164

Chapter XIV – SWAPCLEAR REGULATIONS..................................................................165

Regulation 54 Application of SwapClear Regulations.....................................................165

Regulation 55 Registration of SwapClear Contracts ........................................................168

Regulation 56 Compression ..............................................................................................172

Regulation 57 Collateralisation of SwapClear CTM Contracts........................................180

REGULATION 57A Settlement of SwapClear STM Contracts and Conversion to SwapClear 

STM Contracts...........................................................................................182

Regulation 58 The reset rate for, and the net present value of, a SwapClear Contract.....188

Regulation 59 Portfolio Margining Service ......................................................................189

Regulation 60 Transfer......................................................................................................190

REGULATION 60A Inflation Swaps....................................................................................192

Chapter XV – REPOCLEAR REGULATIONS....................................................................199

Regulation 61 Application of RepoClear Regulations......................................................199

Regulation 62 Submission of details of RepoClear Transactions and RepoClear GC 

Transactions through an Approved Trade Matching System....................203

Regulation 63 RepoClear transactions entered into through an Automated Trading System

...................................................................................................................204

Regulation 64 Disputes.....................................................................................................208

Regulation 65 Authorisation to act as a RepoClear Clearing Member.............................209

Regulation 66 Daily Margining of RepoClear Contracts and RepoClear GC Contracts..210

Chapter XVI – EQUITYCLEAR REGULATIONS..............................................................211

Regulation 67 Application of EquityClear Regulations....................................................211

Regulation 68 EquityClear Open Offer for EquityClear ATP Matches ...........................215

Regulation 69 EquityClear Novation Transactions ..........................................................219

Regulation 70 Disputes and Limitation of Liability .........................................................222

Regulation 71 Suspension of the EquityClear service or the EquityClear Open Offer ....223

Regulation 72 Rejection of ATP Matches and of EquityClear Novation Transactions....224

Chapter XVII – LCH ENCLEAR REGULATIONS.............................................................225

Regulation 73 Application of LCH EnClear Regulations.................................................225

Regulation 74 Registration of LCH EnClear Contracts....................................................229

Regulation 75 Daily Settlement ........................................................................................230

Chapter XVIII – LSE DERIVATIVES MARKETS REGULATIONS ................................231

Regulation 76 Application of Regulations for LSE market..............................................231

Regulation 77 LSE Derivatives Markets Orderbook Matches made on LSE Market ......235

Regulation 78 Reported Trades and LSE Derivatives Markets OTC Trades Reported to 

LSE for Registration..................................................................................239
Clearing House : General Regulations - iv- October September 2016

Regulation 79 Registration of LSE Derivatives Markets Cleared Exchange Contracts 

following Submission of Details of a Reported Trade or LSE Derivatives 

Markets OTC Trade...................................................................................240

Regulation 80 Suspension of the Open Offer for LSE Derivatives Markets....................241

Regulation 81 Cancellation, variation etc of LSE Derivatives Markets Cleared Exchange 

Contracts....................................................................................................242

Regulation 82 Rejection of Orderbook Matches...............................................................243

Regulation 83 Cross-Border Transfers to the Clearing House of Contracts Executed by a 

Member of a Co-operating Exchange - Automatic Transfers ...................244

Regulation 84 Default affecting a Cross-Border Transfer................................................246

Regulation 85 Impossibility of Transfer ...........................................................................247

Regulation 86 Options ......................................................................................................248

Regulation 87 Re-registration of Contracts.......................................................................249

Chapter XIX – Intentionally left blank ..................................................................................250

Regulation 88 [Intentionally Left Blank]..........................................................................250

Chapter XX – NODAL REGULATIONS .............................................................................251

Regulation 89 Application ................................................................................................251

Chapter XXI – FOREXCLEAR REGULATIONS................................................................256

Regulation 90 Application of ForexClear Regulations.....................................................256

Regulation 91 Registration of ForexClear Contracts........................................................260

Regulation 92 Cancellation of ForexClear Contracts .......................................................262

Regulation 93 Variation Margin .......................................................................................263

Regulation 94 Compression ..............................................................................................264

CHAPTER XXII – LISTED INTEREST RATES REGULATIONS....................................265

Regulation 95 – [Intentionally Left Blank] .......................................................................265

Regulation 96 Application of Listed Interest Rates Regulations......................................266

Regulation 97 Listed Interest Rates Open Offer for Rates Exchange Matches................271

Regulation 98 Listed Interest Rates Novation Transactions.............................................274

Regulation 99 Daily Settlement to Market........................................................................276

Regulation 100 Termination of Fungible Listed Interest Rates Contracts..........................277

Regulation 101 Disputes and Limitation of Liability .........................................................278

Regulation 102 Suspension of the Listed Interest Rates Clearing service or the Listed 

Interest Rates Open Offer..........................................................................280

Regulation 103 Rejection of Rates Exchange Matches and of Listed Interest Rates Novation 

Transactions...............................................................................................281

Regulation 104 [Intentionally Left Blank]...........................................................................282
Clearing House : General Regulations - 2- October September 2016

REGULATION 1 DEFINITIONS

In these Regulations and the Procedures, except where the context otherwise requires, the 

following words and expressions shall have the following meanings:

"Account Balance" means, in relation to a Relevant Client Clearing Business of 

a DefaulterClearing Member, an Individual Segregated 

Account Balance, a Custodial Segregated Account Balance

or an Omnibus Segregated Account Balance

"ACSP Compression Cycle" means a Multilateral Compression Cycle established by the 

Clearing House and facilitated by an ACSP nominated by 

the Clearing House, which shall be open to participation by 

SwapClear Clearing Members either on their own account 

or with respect to a SwapClear Clearing Client in 

accordance with the provisions of Regulation 56 and 

relevant Compression Documentation

"Account Information 

Documents"

means the documents called "LCH.Clearnet Account 

Structures under EMIR" and "Fees for EMIR Segregation 

Accounts", as published by the Clearing House on its 

website and made available to Clearing Members and 

Clearing Clients upon request

"Affiliated Client Omnibus 

Net Segregated Account"

means, in relation to a Relevant Client Clearing Business, 

an account opened within the Clearing House by a Clearing 

Member on behalf of a group of Affiliated Omnibus 

Segregated Clearing Clients which is designated by the 

Clearing House as an Affiliated Client Omnibus Net 

Segregated Account

"Affiliated Client Omnibus 

Segregated Account"

means, in relation to a Relevant Client Clearing Business, 

(i) an Affiliated Client Omnibus Net Segregated Account or 

(ii) an Omnibus Gross Segregated Account opened on 

behalf of a group of Affiliated Omnibus Segregated 

Clearing Clients

"Affiliated Omnibus Net 

Segregated Clearing Clients"

means Affiliated Omnibus Segregated Clearing Clients in 

respect of whom the relevant Clearing Member clears 

Contracts with the Clearing House in an Affiliated Client 

Omnibus Net Segregated Account
Clearing House : General Regulations - 4- October September 2016

"Applied Collateral Excess 

Proceeds"

means, where the Clearing House has sold, disposed of or 

appropriated all or any part of the non-cash Collateral held 

by a Clearing Member and/or a Custodial Segregated Client 

with the Clearing House in an exercise of its powers under 

the Deed of Charge entered into with the relevant Clearing 

Member or the Client Charge entered into with the relevant 

Clearing Member and such Custodial Segregated Client, the 

amount (if any) of realisation proceeds from such sale or 

disposal remaining after the Clearing House has applied the 

same in or towards discharge of the relevant Clearing 

Member's obligations to the Clearing House or, in the case 

of an appropriation, an amount of such non-cash Collateral 

(or, where the amount in question is less than the minimum 

denomination of the relevant non-cash Collateral which can 

be delivered, cash) having a value equal to the excess (if 

any) of the value of the appropriated non-cash Collateral 

(as determined by the Clearing House in accordance with 

the relevant Deed of Charge, Client Charge or Collateral 

Management Agreement) over the relevant Clearing 

Member's obligations to the Clearing House which have 

been discharged by that appropriation

"Applied FCM Buffer" has the meaning assigned to it in the FCM Regulations

"approved agent" means a person appointed by the Clearing House to 

perform certain functions on its behalf in respect of an ATP

"Approved Broker" means a person authorised by the Clearing House to 

participate as a broker in the LCH EnClear service

"Approved Compression 

Services Provider (ACSP)"

means an entity other than the Clearing House which is 

approved by the Clearing House for the facilitation of 

Multilateral Compression in relation to eligible SwapClear 

Contracts in accordance with Regulation 56 and relevant 

Compression Documentation.

"Approved EquityClear 

Settlement Provider ("ASP")"

means the operator of the securities depository and/or 

securities settlement system prescribed by the Clearing 

House from time to time for the provision of settlement 

services in respect of specified EquityClear Contracts

"Approved EquityClear 

Trading Platform ("ATP")"

means any trading platform approved as such from time to 

time by the Clearing House in respect of the EquityClear 

service
Clearing House : General Regulations - 5- October September 2016

"Approved Trade Source 

System"

means a system or facility, such as an exchange, a clearing 

house, a swap execution facility, a designated contract 

market, trade or affirmation system or other similar venue

or system, approved by the Clearing House for submitting 

SwapClear Transactions to the Clearing House (and 

excludes, for the avoidance of doubt, the ClearLink API)

"Approved LSE Derivatives 

Markets Settlement Provider"

means the securities depository or securities settlement 

system (or an operator thereof) approved by the Clearing 

House from time to time for the provision of settlement 

services in connection with the LSE Derivatives Markets

Service

"Associated Clearing House" means the clearing house appointed from time to time by a 

Co-operating Exchange to act as the central counterparty to 

some or all transactions made on, or under the rules of the 

Co-operating Exchange

"Associated Collateral 

Balance"

means the Account Balance or Account Balances (as 

applicable) that may be transferred from the Transfer

Account of an Eligible Transferor to the Transfer Account 

of an Eligible Transferee pursuant to Regulation 60 of these 

Regulations and in accordance with the Procedures and 

(where applicable) any relevant Collateral Management 

Agreement

"ATP Market Rules" means the rules, regulations, administrative procedures, 

Memorandum and Articles of Association or by-laws which 

regulate an ATP and the market administered by it as 

notified from time to time to the Clearing House

"ATS Contract" means any contract subject to the Regulations entered into 

by the Clearing House and a RepoClear Clearing Member 

or a RepoClear Dealer pursuant to Default Rule 6(m), 

following a course of dealing on any Automated Trading 

System between the Clearing House and a RepoClear 

Clearing Member or RepoClear Dealer

"ATS Participant" has the meaning assigned to such term in Regulation 63(b)

"Auction Portfolio" has the meaning assigned to it in the Default Rules

"Automated Trading System" means an automated trading system in respect of which the 

Clearing House has an agreement with the operator thereof 

and in respect of which the Clearing House has notified 

RepoClear Participants in accordance with the Procedures

"Automatic Early Termination 

Event"

has the meaning ascribed to such term in Rule 5 of the 

Default Rules
Clearing House : General Regulations - 6- October September 2016

"Backup Clearing Member" means the Clearing Member(s) indicated by a Clearing 

Client as acting as such and notified to the Clearing House 

from time to time

"Backup Client" means an Indirect Segregated Account Clearing Client 

identified by a Clearing Member to the Clearing House for 

the purposes of a transfer of Related Contracts and 

Collateral pursuant to a Client to Client Porting

"Backload Registration Cycle" has the meaning assigned to it in the Procedures

"Backloaded Registration 

Trade"

has the meaning assigned to it in the Procedures

"Block IRS Trade" Mmeans a trade the notional amount of which is at or above 

the minimum block size established by the CFTC pursuant 

to CTFTC Regulation 43.6 for the interest rate asset class 

and in effect as of the date of submission of such trade to 

the Clearing House for registration

"Board" means the board of directors or other governing body 

(whether called a board, a committee or otherwise) of an 

Exchange

"Bond Trade" means a trading activity in which a RepoClear Participant 

offers to sell RepoClear Eligible Securities, and another 

RepoClear Participant offers to purchase those RepoClear 

Eligible Securities, and a trade subsequently ensues

"Bulk Threshold" means the threshold (defined as a given number of 

SwapClear Contracts) established from time to time by the 

Clearing House in its sole and absolute discretion to 

distinguish Intra-Day Bulk Transfers from Intra-Day NonBulk Transfers and notified to SwapClear Clearing 

Members

"Business" means any transactions, liabilities or obligations arising out 

of any contract and includes, in relation to the relevant 

Services, Commodities Business, Equities Business, 

ForexClear Business, RepoClear Business and Rates 

Service Business.

"business day" means in respect of a Cleared Exchange Contract, an OTC 

Contract (except where specified otherwise in the relevant 

OTC Contract Terms), an LCH EnClear Contract (except 

where specified otherwise in the LCH EnClear Contract 

Terms), an EquityClear Contract, and a Listed Interest 

Rates Contract (except where specified otherwise in the 

Listed Interest Rates Contract Terms) a day on which the 

Clearing House is open for business
Clearing House : General Regulations - 7- October September 2016

"buyer" means a Member (or the Clearing House where the context 

so requires) who is a buyer under the terms of an exchange 

contract, a Cleared Exchange Contract, a LSE Derivatives 

Markets Cleared Exchange Contract, a RepoClear 

Transaction, a RepoClear Contract, a RepoClear GC 

Transaction, a RepoClear GC Contract, an EquityClear 

ATP Match, an EquityClear Novation Transaction, a Rates 

Exchange Match, a Listed Interest Rates Novation 

Transaction or an Eligible EnClear Trade, as the case may 

be

"Capped Amount" has the meaning as described in Default Rule 15(c)

"Carrying Clearing Member" means (a) a SwapClear Clearing Member that carries a 

Tramsfer Account from which Transferring SwapClear 

Contracts and the relevant Associated Collateral Balance(s)

may be transferred to the Transfer Account of a Receiving 

Clearing Member pursuant to Regulation 60 of these 

Regulations and in accordance with the Procedures and 

(where applicable) any relevant Collateral Management 

Agreement or (b) in respect of a transfer as described in 

sub-paragraph (ii) of the definition of "Receiving Clearing 

Member", an FCM Clearing Member (and, for the 

avoidance of doubt, a Carrying Clearing Member may be a 

Receiving Clearing Member, and vice versa)

"CEA" has the meaning assigned to it in the Default Rules

"CFTC" has the meaning assigned to it in the Default Rules

"CFTC Regulations" has the meaning assigned to it in the FCM Regulations

"Cleared Exchange Contract" means a Contract entered into by the Clearing House on the 

terms of an exchange contract

"Clearing Agreement" means in relation to Client Clearing Business entered into 

by a Clearing Member in respect of any Service, suitable 

contractual arrangements between the Clearing Member 

and its Clearing Client in relation to the relevant Client 

Clearing Service

"Clearing Client" means any RepoClear Clearing Client, SwapClear Clearing 

Client, EquityClear Clearing Client, LCH EnClear Clearing 

Client, LSE Derivatives Market Clearing Client, Nodal 

Clearing Client, ForexClear Clearing Client or Listed 

Interest Rates Clearing Client. For the avoidance of doubt, 

the reference to LCH EnClear Clearing Client includes a 

Customer (as such term is defined in Procedure 2E 1.4 in 

respect of LCH EnClear Services)
Clearing House : General Regulations - 9- October September 2016

"Clearing Member Applied 

Collateral"

means, in respect of an account of a Clearing Member: (i) 

any cash Collateral in respect of which the Clearing 

House's obligation to return such Collateral has been 

discharged pursuant to the Rulebook by means of that 

return obligation having been set-off against an obligation 

owed by that Clearing Member to the Clearing House, as 

contemplated by Regulation 20(u); (ii) any cash Collateral 

in respect of which the Clearing House’s obligation to 

return such Collateral to a Custodial Segregated Client has 

been discharged by means of that return obligation having 

been set-off against an obligation owed by that Custodial 

Segregated Client to the Clearing House under the relevant 

Collateral Management Agreement and/or Client Charge; 

(iii) any cash Collateral that the Clearing House has applied 

in or towards discharge of the relevant obligations of a 

Custodial Segregated Client to the Clearing House pursuant 

to its powers under the relevant Client Charge; (iv) any 

non-cash Collateral (including in the form of securities or 

gold) that has been appropriated and retained by the 

Clearing House pursuant to an exercise of its powers under 

a Deed of Charge or a Client Charge and applied in or 

towards discharge of the relevant Clearing Member's 

obligations to the Clearing House; and (viii) any non-cash 

Collateral that has been sold or otherwise disposed of by 

the Clearing House pursuant to an exercise of its powers 

under a Deed of Charge or Client Charge
Clearing House : General Regulations - 10- October September 2016

Clearing Member Current 

Collateral Balance"

means, in respect of an account of a Clearing Member: (A) 

the sum of (i) all Collateral which has been transferred by 

that Clearing Member and/or a Custodial Segregated Client 

to the Clearing House (or which would, but for the 

application of Regulation 57(d) or another comparable 

payment netting provision applying in the ordinary course 

of business, have been transferred by that Clearing Member

or Custodial Segregated Client to the Clearing House) on 

account of any type of that Clearing Member's margin 

obligations relating to the relevant account pursuant to the 

Rulebook; (ii) the cash proceeds of any non-cash Collateral 

relating to the relevant account which has been sold or 

otherwise disposed of by the Clearing House pursuant to an 

exercise of its powers under a Deed of Charge, a Client 

Charge, the Default Rules or otherwise, to the extent that 

those proceeds have not been applied in or towards 

discharge of an obligation owed by the Clearing Member to 

the Clearing House or, in the case of a Custodial 

Segregated Account, by the relevant Custodial Segregated 

Client to the Clearing House; and (iii) any Applied 

Collateral Excess Proceeds credited to the relevant account;

less (B) any Clearing Member Applied Collateral and any 

Clearing Member Returned Collateral in relation to that 

account; provided that any amounts transferred by the 

Clearing Member or a Custodial Segregated Client to the 

Clearing House for the purpose of settling an obligation in

respect of daily settlement amounts pursuant to Regulation 

23(c) or an obligation arising pursuant to a SwapClear STM 

Contract which is due and payable do not form part of the 

Clearing Member Current Collateral Balance; provided 

further that: (x) any Collateral standing to the credit of a 

Client Buffer Account shall, except where the relevant 

Clearing Member is a Defaulter or where a Termination 

Date specified by the relevant Clearing Member has 

occurred under Regulation 45, not form part of the Clearing 

Member Current Collateral Balance in respect of the 

relevant Proprietary Account; and (y) any Collateral 

transferred from a Client Buffer Account to a Client 

Account shall form part of the Clearing Member Current 

Collateral Balance in respect of the relevant Client Account 

unless and until it is transferred back to the Client Buffer 

Account (whereupon it shall cease to form part of the 

Clearing Member Current Collateral Balance in respect of 

the relevant Client Account)
Clearing House : General Regulations - 11- October September 2016

"Clearing Member Returned 

Collateral"

means, in respect of an account of a Clearing Member, any 

Collateral: (i) which the Clearing House has returned to a 

Clearing Member or a Custodial Segregated Client, as 

applicable (provided that the Clearing House shall only be 

treated as having returned any non-cash Collateral to a 

Clearing Member or a Custodial Segregated Client, as 

applicable, if the security in respect of that Clearing 

Member’s or Custodial Segregated Client’s interest in that 

non-cash Collateral pursuant to the relevant Deed of Charge

or Client Charge has been released); or (ii) in respect of 

which the obligation to return such Collateral has been 

discharged as a result of the operation of Regulation 23(c)

or as a result of the operation of Regulation 57(d) or 

another comparable payment netting provision applying in 

the ordinary course of business.

"Clearing Membership 

Agreement"

means the agreement so designated under which, inter alia, 

the Clearing House agrees to make available clearing 

services in respect of Contracts together with any extension 

letter or other agreement; in these Regulations and the 

Procedures the expressions "Clearing Member 

Agreement", "Member Agreement" and "Membership 

Agreement" shall have the same meaning as "Clearing 

Membership Agreement"; and in the Default Rules 

"Clearing Membership Agreement" includes the FCM 

Clearing Membership Agreement and the FCM Default 

Fund Agreement

"ClearLink API" means the Clearing House’s proprietary messaging standard 

used by market participants to interact with the Clearing 

House's clearing services

"Client Account" means any Individual Segregated Account, any Custodial 

Segregated Account and any Omnibus Segregated Account

"Client Buffer" means an amount of Collateral (taking the form of cash in a 

currency acceptable to the Clearing House) held in a Client 

Buffer Account which is intended to be used to provide a 

pool of available Collateral to support the registration of, or 

to meet any other intraday margin requirements in 

connection with, SwapClear Contracts in Client Accounts 

opened in connection with SwapClear Client Clearing 

Business
Clearing House : General Regulations - 12- October September 2016

"Client Buffer Account"

"Client Charge"

means a sub-account of a SwapClear Clearing Member’s 

Proprietary Account opened for the purpose of recording 

Client Buffer

means a deed of charge entered into between a Custodial 

Segregated Client, the Clearing House and a Clearing 

Member in respect of Collateral that the Custodial 

Segregated Client provides to the Clearing House in respect 

of the relevant Custodial Segregated Account

"Client Clearing Business" means each of RepoClear Client Clearing Business, 

SwapClear Client Clearing Business, EquityClear Client 

Clearing Business, LCH EnClear Client Clearing Business, 

LSE Derivatives Markets Client Clearing Business, 

NODAL Client Clearing Business, ForexClear Client 

Clearing Business and Listed Interest Rates Client Clearing 

Business

"Client Clearing Default 

Management Process"

means the processes of the Clearing House outlined in the 

Client Clearing Annex to the Default Rules and includes 

the Rates Service DMP in relation to any Contract which is 

a SwapClear Contract and/or Listed Interest Rates Contract 

in respect of Rates Service Client Clearing Business, the 

RepoClear DMP in relation to any Fixed Income Contract 

in respect of RepoClear Client Clearing Business and the 

ForexClear DMP in relation to any Contract which is a 

ForexClear Contract in respect of ForexClear Client 

Clearing Business

"Client Clearing End-User 

Notice"

means the Client Clearing End-User Notice as specified by 

the Clearing House from time to time

"Client Clearing Entitlement" has the meaning assigned to it in the Client Clearing Annex 

to the Default Rules

"Client Clearing Services"

"Client Collateral"

means SwapClear Client Clearing Services, RepoClear 

Client Clearing Services, EquityClear Client Clearing 

Services, LCH EnClear Client Clearing Services, LSE 

Derivatives Markets Client Clearing Services, NODAL 

Client Clearing Services, ForexClear Client Clearing 

Services, FCM Clearing Services and/or Listed Interest 

Rates Client Clearing Services 

means: (i) Client Securities Collateral; and/or (ii) cash that 

a Custodial Segregated Client provides to the Clearing 

House, in respect of the relevant Custodial Segregated 

Account and in accordance with the relevant Collateral 

Management Agreement, and that the Clearing House 

designates as such in its books and records
Clearing House : General Regulations - 13- October September 2016

"Client Excess" means (i) in respect of a Client Account other than an 

Omnibus Gross Segregated Account, that part of the 

Clearing Member Current Collateral Balance which is in 

excess of the Total Required Margin Amount for such 

account; and (ii) in respect of an Omnibus Gross 

Segregated Clearing Client or a group of Combined 

Omnibus Gross Segregated Clearing Clients, that portion of 

the amount by which the Clearing Member Current 

Collateral Balance for such account exceeds the Total 

Required Margin Amount for such account which is 

referable to such Omnibus Gross Segregated Clearing 

Client or Combined Omnibus Gross Segregated Clearing 

Clients (as applicable) as notified to the Clearing House by 

the relevant Clearing Member in the relevant Client Excess 

Spreadsheet

"Client Excess Spreadsheet"

"Client Securities Collateral"

has the meaning given to the term in Section 1.10 (Client 

Excess Spreadsheet) of Procedure 4 (Margin and 

Collateral) of the Clearing House’s Procedures

means non-cash Collateral that a Custodial Segregated 

Client provides to the Clearing House, in respect of the 

relevant Custodial Segregated Account and in accordance 

with the relevant Collateral Management Agreement, and 

that the Clearing House designates as such in its books and 

records 

"Client to Client Porting" means the transfer to the appointed Backup Client of all of 

the open Related Contracts and the balance of the Collateral 

recorded by the Clearing House as being credited to the 

relevant Indirect Omnibus Segregated Account

"closing-out contract" means for the purposes of these Regulations, a contract 

effected by or on behalf of the Clearing House and 

registered in a Member's name, being a contract on the 

same terms (except as to price or premium) as an open 

contract in the Member’s name, save that where the 

Clearing House is a buyer or a fixed rate payer, as the case 

may be, under the terms of such open contract the Clearing 

House shall be a seller or floating rate payer, as the case 

may be, under the terms of such closing-out contract and 

vice-versa

“Compression Clearing 

Member”

has the meaning assigned to it in Regulation 56

"CMS" means the Clearing House's collateral management system 
Clearing House : General Regulations - 14- October September 2016

"Collateral"

"Collateral Management 

Agreement"

means cash, gold and/or securities which are denominated 

in currencies and of a description acceptable to the Clearing 

House as prescribed by these Regulations and the 

Procedures and which have been transferred, or are to be 

transferred, to or by the Clearing House in or towards 

discharge of margin obligations or anticipated margin 

obligations or otherwise as contemplated by the Rulebook, 

provided that any amounts transferred to or by the 

Clearing House for the purpose of settling either (i) an 

obligation arising pursuant to a SwapClear STM Contract, 

or (ii) an obligation in respect of daily settlement amounts 

pursuant to Regulation 23(c) shall not be "Collateral". 

Where the context so permits, references to "Collateral" 

held by, or transferred to, the Clearing House shall include 

any cash proceeds resulting from the sale or disposal by the 

Clearing House of any non-cash Collateral pursuant to an 

exercise of its powers under a Deed of Charge or Client 

Charge, and such proceeds shall be considered cash 

Collateral

means a collateral management agreement entered into 

between a Custodial Segregated Client, a Clearing Member 

and the Clearing House, which sets out (inter alia) the 

terms on which the Custodial Segregated Client may 

provide Collateral to the Clearing House in respect of the 

relevant Custodial Segregated Account

"Combined Omnibus Gross 

Segregated Clearing Clients"

means two or more Omnibus Gross Segregated Clearing 

Clients within the same Omnibus Gross Segregated 

Account who have elected to have their positions combined 

for the purposes of calculating applicable margin 

requirements (on a net basis as between such Omnibus 

Gross Segregated Clearing Clients as if such Omnibus 

Gross Segregated Clearing Clients together are a single 

Omnibus Gross Segregated Clearing Client for the purposes 

of the relevant calculations)

"Combined LSE Derivatives 

Markets Orderbook"

means the electronic Orderbook operated by LSE and one 

or more Co-operating Exchanges

"Commodities Business" means any transaction, obligation or liability arising out of 

any Commodities Contract

"Commodities Contract" means any commodities contract cleared by the Clearing 

House

"Commodities Clearing 

Member"

means a Clearing Member which engages in Commodities 

Business
Clearing House : General Regulations - 19- October September 2016

"Cumulative Net Present 

Value"

"Custodial Segregated 

Account"

"Custodial Segregated 

Account Balance"

"Custodial Segregated Client"

has the meaning assigned to it in Regulation 57A

means an account opened within the Clearing House by a 

Clearing Member which: (i) enables the relevant Clearing 

Member to distinguish the assets and positions held for the 

account of a Custodial Segregated Client from the assets 

and positions held for the account of its other clients; (ii) is 

designated by the Clearing House as a Custodial Segregated 

Account; and (iii) allows a Custodial Segregated Client to 

provide Client Collateral

means, in respect of a Custodial Segregated Client of a 

Clearing Member, the Clearing Member Current Collateral 

Balance of the relevant Custodial Segregated Account held 

by such Clearing Member on behalf of such Custodial 

Segregated Client (together with any receivables, rights, 

intangibles and any other collateral or assets deposited or 

held with the Clearing House in connection with such an 

account) 

means a Clearing Client in respect of whom the relevant 

Clearing Member clears Contracts with the Clearing House 

in a Custodial Segregated Account and who has entered 

into a Collateral Management Agreement and Client 

Charge

"daily settlement amounts" means amounts due to the Clearing House from a Member 

or to a Member from the Clearing House, as the case may 

be, arising out of settlement of open contracts pursuant to 

Regulation 23,Regulation 75 or Regulation 99 and the 

Procedures

"Dealer" means a ForexClear Dealer, RepoClear Dealer and/or 

SwapClear Dealer, as the context may require

"Dealer Clearing Agreement" means a ForexClear Dealer Clearing Agreement, 

RepoClear Dealer Clearing Agreement, and/or SwapClear 

Dealer Clearing Agreement, as the context may require

"Dealer Register" means one or more of the Register of ForexClear Dealers, 

the Register of RepoClear Dealers and/or the Register of 

SwapClear Dealers, as the context may require
Clearing House : General Regulations - 22- October September 2016

"Economic Terms" means that part of the SwapClear Contract Terms, 

RepoClear Contract Terms, RepoClear GC Contract Terms, 

EquityClear Contract Terms, LCH EnClear Contract 

Terms, ForexClear Contract Terms, or, in respect of a 

Designated Listed Interest Rates Contract, the Listed 

Interest Rates Contract Terms as the case may require, 

designated as Economic Terms by the Clearing House from 

time to time

"Eligible EnClear Trade" means a trade eligible for registration in the LCH EnClear

Services

"Eligible Listed Interest Rates 

Contracts"

means those Listed Interest Rates Contracts meeting the 

eligibility criteria in respect of Portfolio Margined 

Contracts as set out in the Product Specific Contract Terms 

and Eligibility Criteria Manual as published on the Clearing 

House’s webite from time to time

"Eligible Transferee" means an SCM, acting for its own account or for the 

account of a SwapClear Clearing Client, that the Clearing 

House permits, in its sole and absolute discretion, and 

subject always to compliance with Applicable Law, to 

receive Transferring SwapClear Contracts transferred by an 

Eligible Transferor pursuant to Regulation 60 of these 

Regulations and in accordance with the Procedures and 

(where applicable) any relevant Collateral Management 

Agreement

"Eligible Transferor" means an SCM, acting for its own account or for the 

account of a SwapClear Clearing Client, that the Clearing 

House permits, in its sole and absolute discretion, and 

subject always to compliance with Applicable Law, to 

transfer all or part of its Transferring SwapClear Contracts 

to an Eligible Transferee pursuant to Regulation 60 of these 

Regulations and in accordance with the Procedures and 

(where applicable) any relevant Collateral Management 

Agreement

"Eligible US Trading Venue" means, in respect of a SwapClear Clearing Member, a US 

Trading Venue for which the Clearing House’s records 

reflect that such SwapClear Clearing Member has 

completed the Clearing House’s process for enabling the 

SwapClear Clearing Member to be eligible to submit (or 

have submitted on its behalf) a transaction executed on 

such US Trading Venue to the Clearing House for 

registration

"EMIR" means Regulation (EU) No 648/2012 of the European 

Parliament and the Council of 4 July 2012 on OTC 

Derivatives, Central Counterparties, and Trade Repositories
Clearing House : General Regulations - 36- October September 2016

"Inflation SwapClear 

Contract"

means a SwapClear Contract of the type of Contracts which 

are identified as being Inflation SwapClear Contracts in the 

Product Specific Contract Terms and Eligibility Criteria 

Manual, which includes, in the case of the Default Rules 

(including the Rates Service DMP Annex but excluding, for 

the avoidance of doubt, the Client Clearing Annex), the 

FCM Default Fund Agreement and any other document, 

rule or procedure as specified by the Clearing House from 

time to time, an Inflation FCM SwapClear Contract

"Inflation Swap Business 

Day"

has the meaning assigned to it in Chapter XIV(f)(i)

"Inflation Swaps Operational 

Specifications "

means the operational specifications governing the 

provision of market data in relation to Inflation SwapClear 

Contracts, as may be amended by the Clearing House from 

time to time

"initial margin" means an amount determined and published from time to 

time by the Clearing House with regard to each category of 

contract, in respect of which Members may be required to 

transfer Collateral to the Clearing House Collateral in 

accordance with these Regulations and/or the Procedures as 

a condition of registration of one or more a cContracts by 

the Clearing House or and otherwise in respect of one or 

more all Contracts registered with the Clearing House, as 

prescribed by these Regulations and/or the Procedures

"Insufficient Resources 

Determination"

"Insufficient Resources 

Determination Rule"

has the meaning assigned to it in Rule C10 of the 

Commodities Default Fund Supplement, Rule E10 of the 

Equities Default Fund Supplement, Rule CS6 of the Rates 

Service Default Fund Supplement, Rule F11 of the 

ForexClear Default Fund Supplement, or Rule R11 of the 

RepoClear Default Fund Supplement, as applicable

means Rule C10 of the Commodities Default Fund 

Supplement, Rule E10 of the Equities Default Fund 

Supplement, Rule CS6 of the Rates Service Default Fund 

Supplement, Rule F11 of the ForexClear Default Fund 

Supplement and Rule R11 of the RepoClear Default Fund 

Supplement

"Intellectual Property Rights" has the meaning assigned to it in Chapter XIV(j)

“Intra-Day Bulk Transfer” means an Intra-Day Full Bulk Transfer and an Intra-Day 

Partial Bulk Transfer, unless the context otherwise requires
Clearing House : General Regulations - 37- October September 2016

“Intra-Day Full Bulk 

Transfer”

means an intra-day transfer of all (but not some) of the 

SwapClear Contracts from the Transfer Account of an 

Eligible Transferor of a Carrying Clearing Member to the 

Transfer Account of an Eligible Transferee of a Receiving 

Clearing Member, where such transfer does not include the 

transfer of an Associated Collateral Balance

“Intra-Day Non-Bulk 

Transfer”

means an intra-day transfer of some or all of the SwapClear 

Contracts from the Transfer Account of an Eligible 

Transferor of a Carrying Clearing Member to the Transfer 

Account of an Eligible Transferee of a Receiving Clearing 

Member, where such transfer: (i) does not exceed the Bulk 

Threshold; and (ii) does not include the transfer of an 

Associated Collateral Balance

“Intra-Day Partial Bulk 

Transfer”

“ISA Port”

means an intra-day transfer of some (but not all) of the 

SwapClear Contracts from the Transfer Account of an 

Eligible Transferor of a Carrying Clearing Member to the 

Transfer Account of an Eligible Transferee of a Receiving 

Clearing Member, where such transfer does not include the 

transfer of an Associated Collateral Balance

means a port of the Contracts and Account Balance held in 

a Custodial Segregated Account opened by a Clearing 

Member with the Clearing House in respect of a Custodial 

Segregated Client to an Individual Segregated Account 

opened for such Clearing Client by a Backup Clearing 

Member in accordance with the Default Rules and the 

relevant Collateral Management Agreement 
Clearing House : General Regulations - 52- October September 2016

"OTC Transaction" means a transaction being a SwapClear Transaction, 

RepoClear Transaction, RepoClear GC Transaction, Repo 

Trade, Bond Trade or GC Trade, or ForexClear Transaction

"Own Resources Provision" means Article 35 of Commission Delegated Regulation 

(EU) No 153/2013 of 19 December 2012 supplementing 

Regulation (EU) No 648/2012 of the European Parliament 

and of the Council with regard to regulatory technical 

standards on requirements for central counterparties or any 

law, regulation, rule, official directive or guideline (having 

the force of law) which replaces, supplements, modifies, 

amends or varies such provision

“Permitted Transfers” has the meaning ascribed to it in Section 2C of the 

Procedures

"Portfolio Margined 

Contracts"

means any Listed Interest Rates Contracts recorded in an 

aAccount of a Portfolio Margining Clearing Member 

related to SwapClear Clearing Business following the 

operation by the Clearing House of the Portfolio Margining 

Arrangements

"Portfolio Margining 

Arrangements"

means the operational provisions in respect of the Portfolio 

Margining Service as set out in Section 2.1 of the Rates 

Service DMP Annex

"Portfolio Margining Clearing 

Member"

means a Joint Rates Service Clearing Member who has 

opted in to the Portfolio Margining Service in accordance 

with Section 2C of the Procedures

"Portfolio Margining Client" means, in respect of a Portfolio Margining Clearing 

Member, an Individual Segregated Account Clearing 

Client, a Custodial Segregated Client or an Omnibus 

Segregated Clearing Client which has been opted in to the 

Portfolio Margining Service in accordance with Section 2C 

of the Procedures

"Portfolio Margining Service" means the portfolio margining service offered by the 

Clearing House pursuant to Regulation 59 and as more 

fully described at Section 2C of the Procedures

"Portfolios" has the meaning assigned to it in the Default Rules

"Porting Window" has the meaning assigned to it in the Client Clearing Annex 

to the Default Rules

"Porting Window Reduction" has the meaning assigned to it in the Client Clearing Annex 

to the Default Rules
Clearing House : General Regulations - 57- October September 2016

"Rates Service Voluntary 

Payment Notice

has the meaning assigned to it in Rule CS5. of the Rates 

Service Default Fund Supplement

"Receiving Clearing Member" means a SwapClear Clearing Member or an FCM Clearing 

Member that carries the Transfer Account that will receive 

the transfer of Transferring SwapClear Contracts and, 

where applicable, the relevant Associated Collateral 

Balance(s) held in respect of the Eligible Transferor from a 

Carrying Clearing Member pursuant to Regulation 60 of 

these Regulations and in accordance with the Procedures

and (where applicable) any relevant Collateral Management 

Agreement. For the avoidance of doubt, (i) an entity that is 

a SwapClear Clearing Client may also be a Receiving 

Clearing Member (other than a Receiving Clearing Member 

that is an FCM Clearing Member), (ii) a Receiving Clearing 

Member that is not an FCM Clearing Member may be 

nominated to receive a transfer of FCM SwapClear 

Contracts and associated Collateral from a Carrying 

Clearing Member that is an FCM Clearing Member 

pursuant to Regulation 46(p) of the FCM Regulations 

(capitalised terms used in this sub-paragraph (ii) having the 

meanings set out in the FCM Regulations), and (iii) a 

Receiving Clearing Member may be a Carrying Clearing 

Member, and vice versa

"Reference Currency Buyer" means in relation to ForexClear Contract that is a NonDeliverable FX Transaction, the party specified as the 

‘Reference Currency Buyer' in the Economic Terms

"Reference Currency Seller" means in relation to ForexClear Contract that is a NonDeliverable FX Transaction, the party specified as the 

‘Reference Currency Seller’ in the Economic Terms

"Reference Price" means a price (howsoever called) by reference to which a 

Contract is settled to market, marked to market, settled or 

valued in accordance with the Regulations and Procedures

"Register of ForexClear 

Dealers"

means the register which lists ForexClear Dealers regarded 

by the Clearing House as for the time being eligible to 

submit contracts for registration as ForexClear Contracts by 

the Clearing House
Clearing House : General Regulations - 68- October September 2016

"Sub-Block US Trading Venue 

Transaction"

means a transaction, identified by the Clearing House as 

having been executed on a swap execution facility or 

designated contract market registered as such with the 

CFTC, the notional amount of which is below the minimum 

block size established by the CFTC pursuant to CFTC 

Regulation 43.6 for the interest rate asset class and in effect 

as of the date of submission of such transaction to the 

Clearing House for registration

"Supplement" means a supplement specific to a particular Service and 

includes the Commodities Default Fund Supplement, the 

Equities Default Fund Supplement, the ForexClear Default 

Fund Supplement, the Rates Service Default Fund 

Supplement – Listed Interest Rates, the RepoClear Default 

Fund Supplement and the Rates Service Default Fund 

Supplement – SwapClear 

"Supplementary

Contribution"

means a supplementary Contribution of a Clearing 

Member, provided for under Rule C7(b), E7(b), F7(c), 

R7(c) or CS7 (as applicable), and referable to the relevant

Service provided by the Clearing House

"SwapClear Amendment" has meaning assigned to it in Rule S12 of the SwapClear 

Default Fund Supplement

"SwapClear Business" means any transaction, obligation or liability arising out of 

any SwapClear Contract (which, for the avoidance of 

doubt, includes for purposes of the Rates Service DMP 

Annex the Portfolio Margined Contracts (if any) of a 

Portfolio Margining Clearing Member)

"SwapClear Clearing Client" means, in respect of SwapClear Client Clearing Business, 

an Individual Segregated Account Clearing Client, a 

Custodial Segregated Client or an Omnibus Segregated 

Clearing Client

"SwapClear Clearing House 

Business"

means SwapClear Contracts entered into by a SwapClear 

Clearing Member with the Clearing House on a proprietary 

basis and for its own account

"SwapClear Clearing 

Member" or "SCM"

means a Member who is designated by the Clearing House 

as a SwapClear Clearing Member eligible to clear 

SwapClear Contracts which includes, in the case of the 

Default Rules (including the Rates Service DMP Annex), 

the FCM Default Fund Agreement and any other document, 

rule or procedure as specified by the Clearing House from 

time to time, an FCM Clearing Member

"SwapClear Client Clearing 

Business"

means the provision of SwapClear Client Clearing Services 

by a SwapClear Clearing Member
Clearing House : General Regulations - 69- October September 2016

"SwapClear Client Clearing 

Services"

means the entering into of SwapClear Contracts by a 

SwapClear Clearing Member in respect of its Individual 

Segregated Account Clearing Clients, Custodial Segregated 

Clients and/or its Omnibus Segregated Clearing Clients

"SwapClear Contract" means a Contract entered into by the Clearing House with a 

SwapClear Clearing Member on the SwapClear Contract 

Terms which includes, in the case of the Default Rules 

(including the Rates Service DMP Annex but excluding, for 

the avoidance of doubt, the Client Clearing Annex), the 

FCM Default Fund Agreement and any other document, 

rule or procedure as specified by the Clearing House from 

time to time, an FCM SwapClear Contract

"SwapClear Contract Terms" means the terms applicable to each SwapClear Contract as 

set out from time to time in the Product Specific Contract 

Terms and Eligibility Criteria Manual

"SwapClear Contribution" means the amount of an SCM's Contribution determined in 

accordance with Part A of the Rates Service Default Fund 

Supplement – SwapClear and shall include any SwapClear 

Unfunded Contributions and any relevant Supplementary 

Contribution deposited and made by the SCM with the 

Clearing House

"SwapClear CTM Contract" means a SwapClear Contract that is not a SwapClear STM 

Contract

"SwapClear Dealer Clearing 

Agreement"

means a written agreement, in the form and on the terms 

prescribed by the Clearing House between a SwapClear 

Dealer, a SwapClear Clearing Member and the Clearing 

House 

"SwapClear Dealer" or "SD" means a person admitted by the Clearing House to the 

Register of SwapClear Dealers and who has not been 

removed from the Register

"SwapClear Default Fund 

Supplement"

means the Supplement relating to the SwapClear Business

"SwapClear Default 

Management Process"

has the meaning assigned to it in the SwapClear DMP 

Annex in the Default Rules
Clearing House : General Regulations - 70- October September 2016

"SwapClear Default 

Management Process 

Completion Date"

has the meaning assigned to it in the SwapClear DMP 

Annex in the Default Rules

"SwapClear Default Period" has the meaning ascribed to it in Rule S1 of Part A of the 

Rates Service Default Fund Supplement – SwapClear

"SwapClear Determination 

Date"

has the meaning ascribed to it in Rule S1 of Part A of the

Rates Service Default Fund Supplement – SwapClear

"SwapClear DMG" has the meaning assigned to it in the SwapClear DMP 

Annex in the Default Rules

"SwapClear DMP" has the meaning assigned to it in the Default Rules

"SwapClear Eligibility 

Criteria"

means the product eligibility criteria in respect of 

SwapClear Transactions as set out in the Product Specific 

Contract Terms and Eligibility Criteria Manual as 

published on the Clearing House's website from time to 

time

"SwapClear End of Day 

Price"

has the meaning assigned to it in Chapter XIV(l)

"SwapClear Excess Loss" means the net sum or aggregate of net sums certified to be 

payable by a Defaulter by a Rule 19 Certificate in respect 

of SwapClear Business less (a) the proportion of the 

Capped Amount applicable to SwapClear Business under 

Rule 15(c) of the Default Rules and (b) any sums then 

immediately payable in respect of SwapClear Business 

Default Losses owed by such Defaulter by any insurer or 

provider of analogous services under any policy of 

insurance or analogous instrument written in favour of the 

Clearing House

"SwapClear Regulations" means those Regulations which apply to SwapClear 

Contracts as specified in Regulation 54

"SwapClear Segregated Fund 

Amount"

means the amount as determined in accordance with Rule 

S2(b) of the SwapClear Default Fund Supplement

"SwapClear Service" the service provided by the Clearing House under the 

SwapClear Regulations

"SwapClear STM Contract" mMeans a SwapClear Contract that is either registered at 

the Clearing House as a SwapClear STM Contract pursuant 

to Regulation 55(b), is converted into a SwapClear STM 

Contract by the Clearing House pursuant to Regulation 

57A, or is a SwapClear STM Contract through novation 

pursuant to Regulation 12(b), in each case the terms of 

which therefore include the SwapClear STM Terms.
Clearing House : General Regulations - 72- October September 2016

“Term £GC Trade" means a trading activity in which a RepoClear Participant 

("the First Participant") offers to sell (or buy) an agreed 

value of securities comprised in a Term £GC Basket (as 

defined in the Procedures), to be allocated in accordance 

with the RepoClear Procedures applicable to RepoClear 

Term £GC Contracts, and another RepoClear Participant 

("the Second Participant") offers to buy (or sell, as the 

case may be) the securities so allocated, on the conditions 

that:

a) at the end of a specified period of time, the Second 

Participant sells (or buys, as the case may be) 

Equivalent Securities (as such term is used in the 

RepoClear Term £GC Contract Terms) and the First 

Participant buys (or sells, as the case may be) those 

Equivalent Securities; and 

b) the understanding of the parties is that their 

obligations during the term of the transaction will be 

effected through the CREST delivery by value (DBV) 

functionality of Euroclear UK and Ireland, as 

contemplated by the rules of Euroclear UK and 

Ireland and RepoClear Procedures applicable to 

RepoClear Term £GC Contracts, and a trade 

subsequently ensues 

"Terminating SwapClear 

Contracts"

means, in relation to any Compression Proposal, the 

SwapClear Contracts which will be terminated and replaced 

with Post-Multilateral Compression Contracts in 

accordance with Regulation 56

"Total Required Margin 

Amount" 

means the aggregate of the Required Margin Amount for all 

types of margin relating to (i) in respect of an Individual 

Segregated Account, y account other than an Omnibus 

Gross Segregated Account, the relevant account after 

deducting any amounts pursuant to a Cross-ISA Client 

Excess Deduction (if applicable), or (ii) in respect of a 

Custodial Segregated Account, an Omnibus Segregated 

Account (that is not an Omnibus Gross Segregated 

Account) or a Proprietary Account, the relevant account; or 

(iii) in respect of an Omnibus Gross Segregated Account, 

the relevant Omnibus Gross Segregated Clearing Client or 

Combined Omnibus Gross Segregated Clearing Clients 

together (as applicable) 

"trade correction procedures" means the procedures established for the purposes of a Link 

to facilitate the correction of errors contemplated by such 

procedures
Clearing House : General Regulations - 73- October September 2016

"Trading Platform 

Particulars"

means the orders or other trade particulars submitted in 

respect of the sale or purchase of EquityClear Eligible 

Equities or EquityClear Eligible ccCFD(s), to an ATP in 

accordance with the relevant ATP Market Rules by, or on 

behalf of, an EquityClear Clearing Member or, in the case 

of an EquityClear Mixed Member Match, by, or on behalf 

of a member of a relevant Co-operating Clearing House

"Trading System" means the Nodal Trading Facility

“Transfer Account” means: (i) in respect of a Receiving Clearing Member, the 

account in which Transferring SwapClear Contracts are to 

be registered on behalf of an Eligible Transferee following 

a transfer pursuant to Regulation 60 of these Regulations 

and in accordance with the Procedures and (where 

applicable) any relevant Collateral Management 

Agreement (which, for the avoidance of doubt, may be a 

Client Account or a Proprietary Account of the Receiving 

Clearing Member); and (ii) in respect of a Carrying 

Clearing Member, the account in which Transferring 

SwapClear Contracts are to be transferred from an Eligible 

Transferor following a transfer pursuant to Regulation 60 of 

these Regulations and in accordance with the 

Procedures and (where applicable) any relevant Collateral 

Management Agreement (which, for the avoidance of 

doubt, may be a Client Account or a Proprietary Account of 

the Carrying Clearing Member)

"Transferring SwapClear 

Contracts"

means those SwapClear Contracts registered in the Transfer 

Account of a Carrying Clearing Member that are subject to 

a request to be transferred to the Transfer Account of a 

Receiving Clearing Member and includes, in the case of a 

transfer as described in sub-paragraph (ii) of the definition 

of "Receiving Clearing Member", FCM SwapClear 

Contracts 

"Treasury Account" means any accounting process under which an amount due 

under a Treasury Contract from a member to the Clearing 

House is set off against any amount due from the Clearing 

House to that Member

"Treasury Contract" means any contract, including a contract of deposit, entered 

into by the Clearing House with that Member for purposes 

of, in connection with or otherwise in the course of its 

treasury management activities (and excluding, for the 

avoidance of doubt, ATS Contracts)

"Unallocated FCM SwapClear 

Contract"

has the meaning assigned to it in the FCM Regulations
Clearing House : General Regulations - 74- October September 2016

"Unallocated Excess" has the meaning assigned to it in the FCM Regulations

"Unallocated Excess SubAccount"has the meaning assigned to it in the FCM Regulations

"Undertaking to Pay andor 

Deliver"

has the meaning ascribed to such term in Regulation 11(c)

"Unfunded Contribution" means the unfunded Contribution of a Clearing Member 

referable to a specific Service provided by the Clearing 

House

"US Trading Venue" means a swap execution facility or designated contract 

market registered as such with the CFTC which the 

Clearing House has approved for the purposes of having 

transactions executed thereon submitted to the Clearing 

House for registration. For the avoidance of doubt, a US 

Trading Venue need not be an Approved Trade Source 

System

"US Trading Venue 

Transaction"

means, in respect of a Clearing Member, a transaction 

recorded in the Clearing House’s systems (via applicable 

messaging from the relevant US Trading Venue, Approved 

Trade Source System or otherwise) as a transaction that 

was executed on a swap execution facility or designated 

contract market that, as at the time of such execution, was 

an Eligible US Trading Venue in respect of such Clearing 

Member

"variation margin" means an amount determined by the Clearing House in 

accordance with these Regulations and/or the Procedures in 

respect of original contracts or open contracts (as the case 

may be)

For the purpose of a ballot under clause 9.4(c) of the Clearing Membership Agreement, 

"Quarter Day" shall be construed as referring to a Determination Date.

Any reference in these Regulations or the Procedures to statutes or statutory instruments or 

provisions thereof shall be to such statutes or statutory instruments or provisions thereof as 

amended, modified or replaced from time to time.

Reference to writing contained in these Regulations or the Procedures shall include typing, 

printing, lithography, photography or any other mode of representing or reproducing words in 

a visible form.

Words importing the singular shall, where the context permits, include the plural and viceversa.

Any reference to time contained in these Regulations or the Procedures shall, unless 

otherwise stated, be to London time. Times are shown using the twenty four hour clock.

Any reference in these Regulations to a person or a party (howsoever described) shall include 

its successors.
Clearing House : General Regulations - 79- October September 2016

REGULATION 5 RESIGNING AND RETIRING MEMBERS

(a) A Clearing Member may resign from a particular Service by exercising its rights 

under Rules C7(e), E7(e), F3(e), L6(e), R3(d) or S2(e) of the Default Rules (each an 

"Accelerated Termination Provision"), or by giving no less than three months'

written notice to the Clearing House by completing a Resignation Letter, a copy of 

which can be obtained from the Clearing House Membership Department. 

Resignation takes effect on the Resignation Effective Date, which is:

(i) where the Clearing Member is exercising its rights under, and has complied 

with the requirements of, the Accelerated Termination Provision for the 

relevant Service, the date determined in accordance with that Accelerated 

Termination Provision; or

(ii) otherwise, the later of: (A) the resignation date specified in the written notice 

to the Clearing House in relation to the relevant Service; and (B) the date on 

which all Contracts registered in the Resigning Member's name on the relevant 

Service have been closed out or transferred so as to ensure that there are no 

remaining open Contracts in respect of the relevant Service to which the 

Resigning Member is a party.

(b) Upon the Clearing House being satisfied that the Resigning Member is not a Defaulter

and that all obligations of the Resigning Member to which the relevant Collateral is 

capable of being applied in accordance with the Rulebook have been irrevocably paid 

or discharged in full and that no such obligations are capable of arising:

(i) the Clearing House shall: (A) in the case of cash Collateral transferred by the 

Resigning Member to the Clearing House for the purpose of collateralising the 

Resigning Member's obligations in respect of the relevant Service (other than 

any constituting Clearing Member Returned Collateral or Clearing Member 

Applied Collateral), transfer an amount of cash to the Resigning Member 

equal to such cash; and (B) in the case of non-cash Collateral transferred by 

the Resigning Member to the Clearing House for the purpose of collateralising 

the Resigning Member's obligations in respect of the relevant Service (other 

than any constituting Clearing Member Returned Collateral or Clearing 

Member Applied Collateral), transfer that same Collateral (or equivalent 

Collateral) to the Resigning Member; and

(ii) the Resigning Member shall, in the case of cash Collateral transferred to the 

Resigning Member for the purpose of collateralising the Clearing House's 

obligations in respect of the relevant Service (other than any constituting 

Clearing House Returned Collateral or Clearing House Applied Collateral), 

transfer an amount of cash to the Clearing House equal to such cash.

(c) A Resigning Member other than a Defaulter who is resigning from a particular 

Service shall be liable in respect of Aggregate Excess Losses relating to any Default 

which arises in the relevant Service prior to the relevant Resignation Effective Date. 

In such circumstances, and as further provided in the Default Rules, the Resigning 

Member may be required to maintain some or all of its Contribution in connection 

with that Service until after the completion of the default management process related 
Clearing House : General Regulations - 80- October September 2016

to the relevant Default, notwithstanding that the relevant Resignation Effective Date 

might occur prior to such time. 

(d) A Clearing Member must at all times be a Clearing Member in respect of at least one 

Service, and a Clearing Member may not utilise the resignation process set out in 

paragraphs (a) to (c) above so as to resign from all (or all remaining) Services in 

respect of which he is a Clearing Member. Where a Clearing Member wishes to stop 

being a Clearing Member in respect of all (or all remaining) Services, the retirement 

process set out in paragraphs (e) to (g) below should be used. 

(e) A Clearing Member may, in accordance with clause 8 of the Clearing Membership 

Agreement and as further described in the Procedures, retire from Clearing Member 

status altogether by giving no less than three months' written notice to the Clearing 

House. Retirement takes effect on the Retirement Effective Date, which is the later of: 

(i) the retirement date specified in the notice of retirement; and (ii) the date on which 

all Contracts registered in the Retiring Member's name have been closed out or 

transferred so as to ensure that there are no remaining open Contracts to which the 

Retiring Member is a party. A Clearing Member may also retire from Clearing 

Member status by exercising its rights under the Accelerated Termination Provision(s) 

applying to all Services in which it participates; in this case, the Retirement Effective 

Date is the date on which the Retiring Member's resignation from the last remaining 

Service becomes effective in accordance with the relevant Accelerated Termination 

Provision. 

(f) Upon the Clearing House being satisfied that the Retiring Member is not a Defaulter

and that all obligations of the Retiring Member to which the relevant Collateral is 

capable of being applied in accordance with the Rulebook have been irrevocably paid 

or discharged in full and that no such obligations are capable of arising:

(i) the Clearing House shall: (A) in the case of cash Collateral transferred by the 

Retiring Member to the Clearing House for the purpose of collateralising the 

Retiring Member's obligations (other than any constituting Clearing Member 

Returned Collateral or Clearing Member Applied Collateral), transfer an 

amount of cash to the Retiring Member equal to such cash; and (B) in the case 

of non-cash Collateral transferred by the Retiring Member to the Clearing 

House for the purpose of collateralising the Retiring Member's obligations 

(other than any constituting Clearing Member Returned Collateral or Clearing 

Member Applied Collateral), transfer that same Collateral (or equivalent 

Collateral) to the Retiring Member; and

(ii) the Retiring Member shall, in the case of cash Collateral transferred to the 

Retiring Member for the purpose of collateralising the Clearing House's 

obligations (other than any constituting Clearing House Returned Collateral or 

Clearing House Applied Collateral), transfer an amount of cash to the Clearing 

House equal to such cash.

(g) A Retiring Member other than a Defaulter shall be liable in respect of Aggregate 

Excess Losses relating to any Default which arises prior to the relevant Retirement 

Effective Date. In such circumstances, and as further provided in the Default Rules, 

the Retiring Member may be required to maintain some or all of its Contribution until 

after the completion of the default management process related to the relevant 
Clearing House : General Regulations - 86- October September 2016

CHAPTER III – ACCOUNTS AND CLIENT CLEARING

REGULATION 10 ACCOUNTS

(a) Accounts (including, where requested, Client Accounts) shall be opened between each 

Member and the Clearing House in accordance with the Procedures. The Clearing 

House shall offer segregated accounts (i) by maintaining separate records enabling it 

to distinguish in accounts the positions and assets held for the account of one Clearing 

Member from the positions and assets held for the account of any other Clearing 

Member; (ii) by allowing Clearing Members to provide Client Clearing Services to 

Clearing Clients on an Omnibus Segregated Account basis, by offering to keep 

separate records enabling each Clearing Member to distinguish in accounts with the 

Clearing House its own proprietary positions and assets from those held for the 

account of its Clearing Clients; (iii) by allowing Clearing Members to provide Client 

Clearing Services to Clearing Clients on an Individual Segregated Account basis

and/or a Custodial Segregated Account basis, by offering to keep separate records 

enabling each Clearing Member to distinguish in accounts with the Clearing House 

positions and assets (including, for the avoidance of doubt, Client Excess) for the 

account of an individual Clearing Client from those held for the accounts of other 

Clearing Clients and those held by the Clearing Member; and (iv) by allowing

Clearing Members to provide Client Clearing Services to Indirect Clearing Clients, by 

maintaining separate records and accounts enabling each Individual Segregated 

Account Clearing Client acting on behalf of Indirect Clearing Clients to distinguish in 

accounts held with the Clearing House the assets and positions of the Individual 

Segregated Account Clearing Client from those held for the accounts of the relevant 

Indirect Clearing Clients. Regulation 11(g) below provides information in respect of 

the different types of Client Accounts. For the avoidance of doubt, a Member shall be 

responsible for all obligations owed to the Clearing House in respect of every account 

opened in respect of such Member. 

(b) This paragraph applies to a Member’s Proprietary Accounts. In the event that more 

than one Proprietary Account is opened in respect of a Member, the Clearing House 

shall have the right to combine or consolidate the balances on any or all of the 

Member’s Proprietary Accounts, and to set off any amount or amounts standing from 

time to time to the credit of any one or more of such accounts in or towards payment 

or satisfaction of all or any of the Member’s liabilities to the Clearing House on any 

one or more of such accounts. Further detail in respect of the composition and 

operation of Proprietary Accounts is set out in the Procedures Section 3 (Financial 

Transactions), paragraph 1.1 (Accounts and Ledgers).

(c) This paragraph applies to a Member’s Client Accounts. Save in the case of a CrossISA Client Excess Deduction, tThe Clearing House shall not combine or consolidate 

the balances on or positions recorded in a Member's Client Accounts or set off any 

amount or amounts standing to the credit of any such Client Account in or towards 

payment or satisfaction of the Member’s liabilities to the Clearing House on any other 

such Client Account or on any Proprietary Account, except: (i) in the case of a CrossISA Client Excess Deduction; (ii) as provided under Rule 15(a)(ii) of the Default 

Rules; or (iii) in the case of an Insufficient Resources Determination, pursuant to any 

of the Insufficient Resources Determination Rules. Further detail in respect of the 

composition and operation of Client Accounts is set out in the Procedures Section 3 

(Financial Transactions), paragraph 1.1 (Accounts and Ledgers). 
Clearing House : General Regulations - 87- October September 2016

(d) Amounts standing to the credit of a Member’s Proprietary Accounts may be applied 

by the Clearing House towards the payment of any sum whatsoever due by the 

Member to the Clearing House whether or not arising under these Regulations, save 

that, subject to Rule 8(d) of the Default Rules and to the Insufficient Resources 

Determination Rules, no amounts standing to the credit of such accounts (other than 

House Excess and, to the extent not already included in the relevant Clearing Member 

Current Collateral Balance, Client Buffer) shall be applied in or towards payment or 

satisfaction of all or any of the Member’s liabilities to the Clearing House on any one 

or more of the Member’s Client Accounts. Amounts standing to the credit of a 

Member’s account relating to Contributions made under the Default Rules may be 

applied as provided for in the Default Rules.

(e) Any rights of set-off, combination of accounts or appropriation which the Clearing 

House may have under these Regulations or otherwise shall apply whether or not 

accounts are denominated in the same currency.

(f) Interest calculated on a basis determined from time to time by the Clearing House in 

accordance with the Procedures may at the Clearing House’s discretion (but subject to 

the provisions of the Default Rules and to Regulation 66(d) be paid, or, in the case of 

negative interest rates, be charged, on amounts standing to the credit of any of the 

Member’s Proprietary Accounts and/or Client Accounts.

(g) Debit balances due to the Clearing House on any account opened in respect of a 

Member are payable by such Member on demand and interest may at the Clearing 

House’s discretion be charged on debit balances remaining unpaid (whether or not 

demand for payment is made) on a basis and at a rate determined from time to time by 

the Clearing House in accordance with the Procedures.

(h) Subject to the provisions of the Default Rules, the Clearing House may at its absolute 

discretion alter the basis of calculating interest rates and such alteration shall be 

effective in respect of all current and future business on the date notified to Exchanges 

and to Members in accordance with the Procedures.

(i) If a Member specifies a Termination Date under Regulation 45, the Member shall be 

entitled to set off any or all amounts (whether present or future, liquidated or 

unliquidated, actual or contingent; but excluding any claims in respect of the 

outstanding balance of a Clearing Member's Contribution under Default Rule 16(a)(i))

due as between the Clearing House and the Member, provided, however, that a

Termination Amount or other sum payable in respect of an amount recorded in or 

referable to a kind of account may not be combined or set-off against any other 

amount unless such other amount is recorded in or referable to the same kind of 

account. For the purposes of this Regulation 10(i), each Client Account of the 

Member shall constitute a separate "kind of account" but the Proprietary Accounts of 

the Member shall together constitute a single "kind of account".

(j) Where a payment has been made to the Clearing House by a Member through the 

PPS, that payment will only be credited to the account of the Member with the 

Clearing House if it (i) is paid into an account of the Clearing House with an 

institution which is solvent, (ii) that institution has performed its concentration 

function (being the transfer of net funds from the institution to a central account in the 

name of the Clearing House) and (iii) the institution has made the relevant payments 
Clearing House : General Regulations - 89- October September 2016

REGULATION 11 CLIENT CLEARING BUSINESS

(a) The Services are provided by the Clearing House to Clearing Members. Any Clearing 

Member who wishes to offer Client Clearing Services in respect of a Service to its 

clients shall apply to the Clearing House and obtain the approval of the Clearing 

House before first offering such Client Clearing Services in respect of such Service. 

Any Client Clearing Services related services which are offered by a Clearing 

Member prior to obtaining the approval of the Clearing House shall not be treated as 

Client Clearing Services and the clients of the Clearing Member receiving such 

services shall not be treated as Clearing Clients. In accordance with the requirement 

under Article 39(7) of EMIR the Clearing House has published the Account 

Information Documents which together contain information regarding the levels of 

protection and account segregation which the Clearing House provides and the costs 

associated with such levels of segregation. The Account Information Documents are 

available on the Clearing House's website and are also made available to Clearing 

Members and Clearing Clients upon request.

(b) Following the receipt of an application from a Clearing Member pursuant to 

paragraph (a) above, the Clearing House will confirm to a Clearing Member whether 

or not it is an Exempt Client Clearing Member. 

(c) Each Clearing Member which is designated by the Clearing House as an Exempt 

Client Clearing Member undertakes and agrees with the Clearing House on the 

following terms:

(i) such Exempt Client Clearing Member shall pay or deliver (as applicable) to or 

to the order of the Clearing House each of the Account Balances relating to 

those of its Clearing Clients whose Relevant Contracts are:

(A) transferred to, or

(B) terminated and closed out and new contracts entered into on equivalent 

terms with,

(i) a Backup Clearing Member in accordance with the Client Clearing 

Annex (each such obligation of the Exempt Client Clearing Member being 

accelerated so as to become immediately due and payable at the time of the 

relevant transfer or termination and close out); 

(ii) such Exempt Client Clearing Member shall pay or deliver (as applicable) to or 

to the order of the Clearing House each of the Client Clearing Entitlements 

relating to those of its Individual Segregated Account Clearing Clients,

Custodial Segregated Clients, Affiliated Omnibus Segregated Clearing 

Clients and Identified Omnibus Segregated Clearing Clients whose Relevant 

Contracts are closed out and liquidated in accordance with the Client Clearing 

Annex (each such obligation of the Exempt Client Clearing Member being 

accelerated so as to become immediately due and payable at the time of the 

relevant close out and liquidation); and

(iii) the obligations set out in sub-paragraphs (i) and (ii) of this paragraph (c) (the 

"Undertaking to Pay and Deliver") shall, for the avoidance of doubt, 
Clearing House : General Regulations - 90- October September 2016

constitute Secured Obligations as defined in and provided for by the Deed of 

Charge between such Exempt Client Clearing Member and the Clearing 

House. 

(d) The approval of the offering and the provision of Client Clearing Services on an 

Individual Segregated Account basis, Custodial Segregated Account basis, Affiliated 

Client Omnibus Segregated Account basis or Identified Client Omnibus Segregated 

Account basis by any Clearing Member which is not such an Exempt Client Clearing 

Member will be conditional upon (i) the entering into by such Clearing Member of a 

Security Deed in respect of each of its Clearing Clients in relation to amounts due to it 

from the Clearing House; (ii) delivery to the Clearing House of evidence of the 

Clearing Member having entered into such Security Deed, such evidence to be in a 

form satisfactory to the Clearing House (in the Clearing House's sole discretion) and 

(iii) the making of any amendments to each such Security Deed as may be prescribed

by the Clearing House from time to time.

(e) In determining whether or not to grant approval to a Clearing Member in respect of 

the offering of Client Clearing Services, the Clearing House will consider factors 

including but not limited to the relevant concentration of risks relating to the 

provision (by the Clearing Member and or any other Clearing Member) of Client 

Clearing Services to Clients. The Clearing House shall be entitled to require the 

delivery of information from a Clearing Member about the criteria and arrangements 

it adopts for the provision of Client Clearing Services to Clients, both at the time of 

the process for the approval of the offering by the relevant Clearing Member of Client 

Clearing Services and as deemed necessary by the Clearing House on an ongoing 

basis.

(f) Subject to the provisions of these Regulations, Client Clearing Services may be 

provided by the relevant Clearing Member to its Clearing Clients on whatever terms 

the Clearing Member decides should apply provided, however, that:

(i) each Clearing Member shall, before providing the relevant Client Clearing 

Services to any client, ensure that it has entered into a Clearing Agreement 

with that client which gives the Clearing House enforceable rights against that 

client in the terms of the Clearing House Prescribed Language;

(ii) Contracts entered into by the Clearing Member in respect of Client Clearing 

Business and Collateral transferred by the Clearing Member to the Clearing 

House in respect of Client Clearing Business shall always be separately 

identified by the Clearing Member to the Clearing House and, subject to the 

provisions of Rule 8(d) of the Default Rules and the Insufficient Resources 

Determination Rules, shall never be combined with House Clearing Business 

or Collateral transferred to the Clearing House in respect of House Clearing 

Business;

(iii) in no circumstances will the client money protections provided for by the 

Client Assets sourcebook of the Handbook published by the Financial Conduct 

Authority be available in relation to accounts opened with the Clearing House 

in respect of Client Clearing Business;
Clearing House : General Regulations - 91- October September 2016

(iv) each Clearing Member shall, before providing Client Clearing Services to any 

Clearing Client ensure that the Clearing Client has been provided with or has 

been directed to a copy of the Client Clearing End-User Notice; and

(v) each Clearing Member shall, before providing Client Clearing Services to any 

Individual Segregated Account Clearing Client, Custodial Segregated Client, 

Affiliated Omnibus Segregated Clearing Client or Identified Omnibus 

Segregated Clearing Client, deliver to the Clearing House information 

regarding the identify of such Clearing Client in accordance with the Clearing 

House's client identification requirements as published from time to time on 

the Clearing House's website.

(g) Client Clearing Services in respect of a Service may, in accordance with the 

Procedures and subject to paragraph (i) below, be provided by a Clearing Member to 

its Clearing Clients in accordance with, and subject to, the Rulebook, and Contracts 

may be entered into by a Clearing Member with the Clearing House in respect of such 

Clearing Clients, on:

(i) an Individual Segregated Account basis; 

(i)(ii) a Custodial Segregated Account basis; or

(ii)(iii) an Omnibus Segregated Account basis with segregation, by the opening of:

(A) one or more Non-Identified Client Omnibus Net Segregated Accounts;

(B) one or more Identified Client Omnibus Net Segregated Accounts;

and/or

(C) one or more Affiliated Client Omnibus Net Segregated Accounts; 

and/or

(D) one or more Omnibus Gross Segregated Accounts.

(h) A Clearing Member may operate one or more Individual Segregated Accounts on 

behalf of an Individual Segregated Account Clearing Client in respect of one or more 

Service(s).

(i) A Clearing Member may operate one or more Custodial Segregated Accounts on 

behalf of a Custodial Segregated Client in respect of the SwapClear Service.

(i)(j) A Clearing Member may operate one or more Omnibus Segregated Accounts on 

behalf of its Clearing Clients in respect of one or more Service(s). 

(j)(k) Client Clearing Services may be provided by a Clearing Member to an Individual 

Segregated Clearing Client who is, in turn, providing indirect clearing services to its 

Indirect Clearing Clients. In such circumstances, the following will apply:

(i) the Clearing Member will open a single Indirect Omnibus Segregated Account

in respect of all Indirect Clearing Clients of an Individual Segregated Clearing 

Client who are receiving indirect clearing services in respect of a particular 

Service;
Clearing House : General Regulations - 92- October September 2016

(ii) the Clearing Member shall, before providing the relevant Client Clearing 

Services to the relevant Individual Segregated Clearing Client, ensure that 

such client has entered into an agreement with each of its Indirect Clearing 

Clients which gives the Clearing House enforceable rights against those 

Indirect Clearing Clients in the terms of the Clearing House Prescribed 

Language and any such other provisions as shall be agreed from time to time 

between the Clearing House and Clearing Members;

(iii) the Clearing Member shall, before providing the relevant Client Clearing 

Services to the relevant Individual Segregated Clearing Client, ensure that 

each relevant Indirect Clearing Client has been provided with or has been 

directed to a copy of the Client Clearing End-User Notice; and

(iv) the term "Individual Segregated Account Clearing Client" shall be 

construed to mean an Individual Segregated Account Clearing Client 

providing indirect clearing services in respect of a Service on behalf of its 

Indirect Clearing Clients; the term "Individual Segregated Account" shall be 

construed to mean such an account comprising a sub-account in the form of an 

Indirect Omnibus Segregated Account opened by a Clearing Member in 

respect of such an Individual Segregated Account Clearing Client; and the 

term "Individual Segregated Account Balance" shall be construed 

accordingly.

(k)(l) The fees and charges applied by the Clearing House to Clearing Members in respect 

of the provision, maintenance and administration of Individual Segregated Accounts,

Custodial Segregated Accounts and each type of Omnibus Segregated Account shall 

be as set out in the Clearing House's Account Information Documents.

(l)(m) The Total Required Margin Amount relating to each Client Account of a Clearing 

Member will be calculated by the Clearing House and the obligation to provide

Collateral in respect of such margin obligations will be discharged by:

(i) if and to the extent that there is Collateral available in the relevant Client 

Account, deduction by the Clearing House of amounts from such Collateral;

(ii) if the relevant Client Account is an Individual Segregated Account, the 

Clearing House applying a Cross-ISA Client Excess Deduction; 

(ii)(iii) if the relevant account is a Client Account opened in connection with 

SwapClear Client Clearing Business and there is insufficient Collateral 

available in that Client Account, allocation by the Clearing House of Client 

Buffer (to the extent available);

(iii)(iv)where applicable, if the relevant account is a Client Account opened in 

connection with SwapClear Client Clearing Business and there is insufficient 

Client Buffer available in relation to that Client Account, the Clearing House 

providing temporary tolerance in the form of SwapClear Tolerance; and

(iv)(v) otherwise, transfer by the Clearing Member to the Clearing House of 

Collateral with a value which is at least sufficient to discharge the relevant 

requirement.
Clearing House : General Regulations - 93- October September 2016

(m)(n) Where a Clearing Member transfers Collateral to the Clearing House for the credit of 

a Client Account the Clearing House will record the Collateral in the relevant Client 

Account (as instructed by the Clearing Member or any agent or representative acting 

on behalf of such Clearing Member) provided that the Clearing Member has 

informed the Clearing House of the Client Account to which such Collateral is to be 

credited.

(n)(o) The Clearing House shall be entitled to rely on information received from a Clearing 

Member or any agent or representative acting on behalf of such Clearing Member in 

relation to the clearing business undertaken by it (including such information 

regarding the proper segregation of positions and assets in such Clearing Member's 

Accounts). No Clearing Member shall transfer to the Clearing House any monies or 

securities other than amounts provided for the purposes of, or in connection with, the 

provision of clearing services by the Clearing House.

(o)(p) Without prejudice to paragraph (n) above, a Clearing Member shall, as soon as 

reasonably practicable following a request from the Clearing House, provide the 

Clearing House with any information which the Clearing House may reasonably 

require in relation to each Relevant Client Clearing Business of that Clearing 

Member.

(p)(q) In addition to and without prejudice to any other provision in the Rulebook, in 

circumstances where an investment manager or similar third party agent acts on 

behalf of a client on behalf of whom a Clearing Member is providing Client Clearing 

Services, the Clearing House shall be entitled to treat instructions received from the 

investment manager or similar third party as if they were instructions received from 

the relevant underlying client.

(q)(r) Where any formalities or registration requirements apply in respect of the Security 

Deed (and any other document which the Clearing House may from time to time 

determine), a Clearing Member is required to comply with such obligations or to 

procure by agreement that such requirements are to be complied with. The Clearing 

House agrees to exercise its default powers in a manner consistent with the provisions 

of the Security Deed and related documentation, including by accepting instructions 

from the relevant Clearing Clients of a Clearing Member following the occurrence of 

a Default in respect of such Clearing Member.

(r)(s) Any reference in a deed of assignment between a SwapClear Clearing Member and 

the Clearing House to the "Default Management Process Agreement Amendment 

Agreement" or to the "SwapClear Default Management Process Agreement" shall 

be construed as a reference to the Client Clearing Annex.

(s)(t) A Clearing Member (other than an FCM Clearing Member) may choose to make 

Client Buffer available in order to support (as further described in Procedure 2C) the 

registration of, or to meet any other intraday margin requirements in connection with, 

SwapClear Contracts in Client Accounts opened in connection with its SwapClear 

Client Clearing Business. By requesting the opening of a Client Buffer Account, the 

Clearing Member represents and warrants to the Clearing House that its participation 

in the Client Buffer arrangements will not give rise to a breach of Applicable Law or 

any contract.
Clearing House : General Regulations - 108- October September 2016

CHAPTER V – COLLATERAL AND VALUATIONS

REGULATION 20 MARGIN AND COLLATERAL

(a) The Clearing House may in accordance with the these Regulations and/or the 

Procedures require a Member to transfer Collateral to the Clearing House, and to 

maintain a Clearing Member Current Collateral Balance, in an amount or of a value 

determined by the Clearing House, as security for the performance by such Member 

of its obligations to the Clearing House in respect of all contracts from time to time to 

be registered in his name as open contracts pursuant to these Regulations. The 

obligation upon a Member to transfer Collateral to the Clearing House, and maintain a 

Clearing Member Current Collateral Balance, pursuant to this paragraph shall be in 

addition to any other obligation of the Member to transfer Collateral to the Clearing 

House, maintain a Clearing Member Current Collateral Balance, or make any other 

payment to the Clearing House pursuant to these Regulations or any OTC Contract 

Terms.

(b) The Clearing House may in accordance with these Regulations and/or the Procedures

require a Member to transfer Collateral to the Clearing House in respect of initial or 

variation margin in circumstances prescribed by the Regulations and the Procedures 

in respect of any open contract registered in the Member’s name, such Collateral to be 

transferred by the Member in such form and manner and by such time or times as may 

be prescribed by the Procedures.

(c) If insufficient Collateral is standing to the credit of a Member’s account, or if any 

assets or monies transferred by a Member to the Clearing House as Collateral are

determined by the Clearing House in accordance with the Procedures to be 

insufficient, such Collateral as the Member is required to transfer to the Clearing 

House pursuant to paragraph (b) above or Regulation 16 or the SwapClear 

Regulations, the RepoClear Regulations, the EquityClear Regulations, the LCH 

EnClear Regulations, or LCH EnClear Regulations, the LSE Derivatives Markets

Regulations, the ForexClear Regulations or the Listed Interest Rates Regulations, as 

applicable, shall be transferred to the Clearing House by the Member in such form 

and manner and by such time or times as may be prescribed by these Regulations 

and/or the Procedures.

(d)

(i) The Clearing House shall be entitled to assume that all securities and other 

assets transferred by a Member to the Clearing House as Collateral pursuant to 

these Regulations and/or the Procedures or under the terms of any agreement 

made with the Member are the sole legal and beneficial property of the 

Member or are transferred for the purposes of these Regulations with the legal 

and beneficial owner’s unconditional consent and free of such owner’s 

interest. A Member may not transfer securities or other assets to the Clearing 

House as Collateral otherwise than in conformity to this paragraph. It shall be 

accepted by every person dealing on the terms of these Regulations that a 

Member has such person’s unconditional consent to transfer to the Clearing 

House as Collateral for the purposes of these Regulations and/or the 

Procedures any securities or other assets of such person in the Member’s 

possession, free of such person’s interest.
Clearing House : General Regulations - 110- October September 2016

contracts or under the terms of any original or confirmed contract to which the 

Member is party. 

(i) The Clearing House shall be entitled to make an accommodation charge at a rate 

determined by the Clearing House and published on the Clearing House's website, in 

respect of any non-cash Collateral (other than Clearing Member Returned Collateral

or Clearing Member Applied Collateral) transferred to the Clearing House. Any 

alteration in the basis of calculating the rates of accommodation charge shall become 

effective in respect of all current and future business by the time as published on the 

Clearing House's website.

(j) Without prejudice to the requirements of paragraph (e) or (f) above, the Clearing 

House may at its absolute discretion accept Collateral to an agreed amount in a form 

other than those specified in the Procedures, subject always to the Clearing House’s 

prior assessment as to the appropriateness of such form of Collateral in accordance 

with its standard risk management procedures and to any special arrangements which 

the Clearing House may prescribe in each case (including as to valuation and haircut). 

The Clearing House may at its discretion make an accommodation charge at a special 

rate.

(k) If, in the opinion of the Clearing House, any asset which has been transferred to it by 

a Member as Collateral pursuant to these Regulations and/or the Procedures is no 

longer either of sufficient value or otherwise acceptable to the Clearing House, the 

Clearing House shall be entitled to demand further Collateral from such Member. 

Such Collateral shall be transferred by such Member to the Clearing House on 

demand in a form prescribed by the Procedures, provided that at any time the 

Clearing House shall be entitled to require the Member to transfer Collateral to the 

Clearing House in a specified form and to demand that the Member replace the whole 

or part of any asset transferred to the Clearing House by that Member pursuant to 

these Regulations with Collateral in the form of cash.

(l) Any request by a Clearing Member (including, for the avoidance of doubt, a 

Resigning Member or a Retiring Member) for the release or return of excess 

Collateral shall be dealt with in accordance with the Procedures.

(m) If the Clearing House takes any step or steps under the Default Rules in relation to a 

Member, any sum (including without limitation the price due to be paid by the 

Clearing House in respect of the delivery of any property or currency by or on behalf 

of the Member) standing to the credit of any of the Member’s accounts shall be 

treated as Collateral.

(n) Unless the Clearing House otherwise agrees in writing or as expressly contemplated 

by the Rulebook, no Member may assign or otherwise transfer its right to the return of 

any Collateral or Contributions transferred to the Clearing House in the form of cash. 

Any such purported assignment or transfer by a Member (whether by way of security 

or otherwise) shall be void. A Member shall not otherwise encumber (or seek to 

encumber) its right to the return of any cash Collateral or Contributions transferred to 

the Clearing House.
Clearing House : General Regulations - 111- October September 2016

(o) Where the Clearing House is party to a Link Agreement with a Co-operating Clearing 

House:

(i) the Clearing House may request collateral from that Co-operating Clearing 

House in whatever form may be stipulated in the terms of that Link 

Agreement; and

(ii) if collateral is transferred to the Clearing House by such Co-operating 

Clearing House pursuant to such Link Agreement, that collateral shall be 

deemed to be Collateral for the purposes of these Regulations and the Default 

Rules.

(p) Any references in the Rulebook to (i) Collateral deposited or held by or with the 

Clearing House or a Clearing Member or in an account maintained by the Clearing 

House or a Clearing Member; (ii) balances of Collateral with the Clearing House or a 

Clearing Member or in an account maintained by the Clearing House or a Clearing 

Member; and (iii) Collateral credited to an account maintained by the Clearing House

or a Clearing Member (and any phrases describing similar concepts), shall be 

construed as including all Collateral transferred to the Clearing House by the relevant 

that Clearing Member or Custodial Segregated Client, or to that the relevant Clearing 

Member by the Clearing House (as applicable) and any Applied Collateral Excess 

Proceeds credited to the relevant that Clearing Member's account by the Clearing 

House, but as excluding any relevant Clearing Member Returned Collateral, Clearing 

Member Applied Collateral, Clearing House Returned Collateral and/or Clearing 

House Applied Collateral (as applicable).

(q) Expressions in the Rulebook such as “furnish”, “provide”, “deposit” and “post” (and 

similar expressions) are used to describe the act of transferring Collateral to or, as the 

case may be, from, the Clearing House and, when used in conjunction with such 

expressions, expressions in the Rulebook such as “margin”, “cover for margin” and 

“collateral” (and similar expressions) are used to describe the collateral which is 

transferred to or, as the case may be, from, the Clearing House. Where the context so 

permits, references in the Rulebook to Collateral being held in an account means that 

the Collateral is recorded in the books and records of the Clearing House as being 

attributable to a particular Clearing Member or Clearing Client. Where the Rulebook 

so provides, references to Collateral being "transferred" from the Clearing House to 

the Clearing Member may include the Clearing House recording in its books and 

records such Collateral as being attributable to the Clearing Member and held in an 

account of that Clearing Member with the Clearing House.References in the Rulebook 

to Collateral being "transferred", "provided" or "delivered" by:

(i) a Clearing Member to the Clearing House includes Collateral that the Clearing 

House has recorded in its books and records as attributable to that Clearing

Member and an account of that Clearing Member with the Clearing House; 

(q)(ii) a Custodial Segregated Client to the Clearing House includes Collateral that 

the Clearing House has recorded in its books and records as attributable to that 

Custodial Segregated Client and the relevant Custodial Segregated Account 

which a Clearing Member has opened with the Clearing House in respect of 

such Custodial Segregated Client.
Clearing House : General Regulations - 112- October September 2016

(r) The Rulebook shall be construed such that:

(i) save as stated in sub-paragraph (ii), all transfers of Collateral by a Clearing 

Member to the Clearing House or, as the case may be, from,by the Clearing 

House to a Clearing Member are effected on an outright title-transfer basis 

(with there being no intention to create any form of in rem security interest in 

such collateral, and despite any references to such collateral being held by the 

Clearing House or a Clearing Member or in an account maintained by the 

Clearing House or a Clearing Member or to such collateral being credited to 

an account maintained by the Clearing House or a Clearing Member (or to 

similar concepts)); 

(ii) wherever non-cash Collateral is transferred by a Clearing Member to the 

Clearing House, it is held by the Clearing House as custodian for the Clearing 

Member which transferred it, on and subject to the terms of the relevant Deed 

of Charge between the Clearing House and that Clearing Member;

(iii) wherever the Clearing House is required to return cash Collateral or Applied 

Collateral Excess Proceeds to a Clearing Member or a Clearing Member is 

required to return cash Collateral to the Clearing House, that requirement is to 

pay an amount of cash equal to the amount expressed to be so required to be 

returned; and

(iv) wherever the Clearing House is required to return non-cash Collateral to a 

Clearing Member, that requirement is to return (unless otherwise provided in 

the Procedures) the same non-cash Collateral (or equivalent non-cash 

Collateral) as was transferred to the Clearing House by that Clearing Member 

and to release the same from the security created by the relevant Deed of 

Charge.

(s) In determining the amount of Collateral which the Clearing House requires to be 

transferred to or from the Clearing House pursuant to the Rulebook, the Clearing 

House shall take into account the amount of any Collateral which has previously been 

determined as being required to be transferred to or from the Clearing House but 

which, at the time of that determination, has not been so transferred. 

(t) Upon the Clearing House being satisfied (acting in good faith) that all obligations of a 

Clearing Member pursuant to the Rulebook have been irrevocably paid or discharged 

in full and that no such obligations are capable of arising:

(i) the Clearing House shall (A) in the case of cash Collateral transferred by the 

Clearing Member to the Clearing House for the purpose of collateralising that 

Clearing Member’s obligations (other than any constituting Clearing Member 

Returned Collateral or Clearing Member Applied Collateral), pay an amount 

of cash to that Clearing Member equal to such cash; and (B) in the case of 

non-cash Collateral transferred by the Clearing Member to the Clearing House 

for the purpose of collateralising that Clearing Member’s obligations (other 

than any constituting Clearing Member Returned Collateral or Clearing 

Member Applied Collateral), transfer that same Collateral (or equivalent 

Collateral) to that Clearing Member; and 
Clearing House : General Regulations - 113- October September 2016

(ii) the Clearing Member shall, in the case of cash Collateral transferred to the 

Clearing Member for the purpose of collateralising the Clearing House's 

obligations (other than any constituting Clearing House Returned Collateral or 

Clearing House Applied Collateral), transfer an amount of cash to the Clearing 

House equal to such cash.

(u) Wherever the Rulebook contemplates an obligation of a Clearing Member being 

discharged by the Clearing House using, or otherwise applying, cash Collateral 

transferred to the Clearing House for the purpose of collateralising that Clearing 

Member’s obligations to the Clearing House (including any Applied Collateral Excess 

Proceeds), the manner in which such discharge shall occur is by the acceleration of 

the Clearing House’s obligation to return that cash Collateral or Applied Collateral 

Excess Proceeds to that Clearing Member or a Custodial Segregated Client (but only 

in an amount which does not exceed the obligation of that Clearing Member which is 

to be so discharged) and the set-off of that transfer obligation against that Clearing 

Member’s obligation which is to be so discharged.`

(v) Wherever the Rulebook contemplates an obligation of the Clearing House being 

discharged by a Clearing Member using, or otherwise applying, cash Collateral 

transferred to that Clearing Member for the purpose of collateralising the Clearing 

House's obligations to that Clearing Member, the manner in which such discharge 

shall occur is by the acceleration of that Clearing Member's obligation to return that 

cash Collateral to the Clearing House (but only in an amount which does not exceed 

the obligation of the Clearing House which is to be so discharged) and the set-off of 

that transfer obligation against the Clearing House's obligation which is to be so 

discharged. 

(w) Where a Clearing Member is a Futures Commission Merchant and it proposes to transfer 

to the Clearing House Collateral relating to Client Clearing Business in connection with 

the clearing of a futures or options contract that is traded on an exchange that is not a 

designated contract market, it shall request that the Clearing House approve such 

proposed transfer and following the Clearing House’s written approval, the Clearing 

House shall hold such Collateral as a foreign futures or foreign options secured amount 

subject to the requirements of CFTC Rule 30.7. By making such request, a Clearing 

Member shall be deemed to represent and undertake to the Clearing House that it will not 

engage in House Clearing Business or transfer Collateral in relation to House Clearing 

Business and the Clearing Member acknowledges that any such approval from the 

Clearing House is issued in reliance upon such representation or undertaking being true 

and accurate at all times. 

The Clearing House’s written approval shall satisfy the Clearing Member’s requirement 

to obtain an acknowledgement pursuant to Part 30 of CFTC Regulations. 
Clearing House : General Regulations - 149- October September 2016

CHAPTER XI – NETTING AND DISTRIBUTION 

REGULATION 45 NETTING

(a) If at any time the Clearing House fails to make a payment or a delivery of an asset to 

a Member, other than a Defaulter, under a Contract for a period of 30 days from the 

date when the obligation to pay or deliver fell due then that Member may exercise its 

rights under paragraph (c) below.

(b) If at any time the Clearing House commences a voluntary case or other procedure 

seeking or proposing liquidation, administration, receivership, voluntary arrangement 

or a scheme of arrangement, or other similar relief with respect to itself or to its debts 

under any bankruptcy, insolvency, regulatory, supervisory or similar law, or if any of 

the foregoing cases or procedures is commenced in relation to the Clearing House by 

any other person which results in liquidation or winding up of the Clearing House, or 

if the Clearing House takes corporate action to authorise any of the foregoing, in any 

such case other than for the purposes of corporate restructuring (including any 

consolidation, amalgamation or merger), then a Member, other than a Defaulter, may 

exercise the right given to it under paragraph (c) below.

(c) A Member entitled to exercise rights under this paragraph may, at any time whilst any 

of the circumstances referred to in paragraph (a) or (b) giving rise to such rights 

continue, by notice in writing to the Clearing House, specify a Termination Date for 

the termination and liquidation of all Contracts to which it is a party in accordance 

with paragraph (d) below.

(d) Upon the occurrence of a Termination Date:

(i) neither the Clearing House nor the Member shall be obliged to make any 

further payments or deliveries under any Contract between them which would, 

but for this Regulation 45, have fallen due for performance on or after the 

Termination Date, and any obligations to make further such payments or 

deliveries which would otherwise have fallen due shall be satisfied by 

settlement (whether by payment, set-off or otherwise) of the Termination 

Amount;

(ii) the Member shall (on, or as soon as reasonably practicable after, the 

Termination Date) determine (discounting if appropriate) in respect of each 

Contract its total loss or, as the case may be, gain, in each case expressed in 

the lawful currency of the United Kingdom (the "Base Currency"), (and, if 

appropriate, including any loss of bargain, cost of funding or, without 

duplication, loss or, as the case may be, gain as a result of the termination, 

liquidation, obtaining, performing or re-establishing of any hedge or related 

trading position), as a result of the termination, pursuant to this agreement, of 

each payment or delivery which would otherwise have been required to be 

made under such Contract (assuming satisfaction of each applicable condition 

precedent and having due regard to, if appropriate, such market quotations 

published on, or official settlement prices set by, a relevant exchange or 

clearing organisation, as may be available on, or immediately preceding, the 

date of calculation); 
Clearing House : General Regulations - 150- October September 2016

(iii) any cash Collateral balance held by the Clearing House and/or the Member in 

respect of the other party's initial margin and/or variation margin obligations 

shall (to the extent not already due and payable) be accelerated so as to 

become immediately due and payable to the partyMember or Clearing House 

party who provided such cash Collateral, and the Member shall (on, or as soon 

as reasonably practicable after, the Termination Date) determine the Base 

Currency Equivalent of such amount(s). For the purposes of this Regulation 

45, the "Base Currency Equivalent" means, in respect of any amount 

denominated in the Base Currency, such Base Currency amount and, in 

respect of any amount denominated in a currency other than the Base 

Currency (the "Other Currency"), the amount in the Base Currency 

determined by the Member as being required to purchase such amount of such 

Other Currency as at the relevant Termination Date, with the Base Currency; 

and

(iv) the Member shall treat each loss to it determined under paragraph (ii) above

and the Base Currency Equivalent of any amount of cash Collateral due and 

payable to it as a positive amount and each gain by it determined under 

paragraph (ii) above and the Base Currency Equivalent of any amount of cash 

Collateral due and payable by it as a negative amount and, subject to 

paragraph (v), shall aggregate all of such amounts to produce a single, net 

positive or negative amount, denominated in the Base Currency (the 

"Termination Amount").

(v) Where a Member has a Proprietary Account and one or more Client Accounts:

(A) the Member shall determine one or more net amounts under paragraph 

(iv): a separate net amount in respect of gains and losses arising on 

Contracts registered in each of its Client Accounts and any 

corresponding cash Collateral balances held by that Member or the 

Clearing House; and a further separate net amount in respect of gains 

and losses arising on all Contracts registered in such Member's 

Proprietary Account (or Proprietary Accounts as combined) and any 

corresponding cash Collateral balances held by that Member or the 

Clearing House; and

(B) each of the net amounts determined under paragraph (A) shall 

constitute Termination Amounts.

(vi) If a Termination Amount determined pursuant to paragraph (v) above is a 

positive amount, the Clearing House shall pay it to the Member and if any 

such Termination Amount is a negative amount, the Member shall pay it to the 

Clearing House, in either case in accordance with paragraph (vii). The 

Member shall notify the Clearing House of each such Termination Amount, 

and by which party it is payable, immediately after the calculation thereof.

(vii) A Termination Amount shall, subject to Regulation 46, be paid in the Base 

Currency by the close of business on the business day following notification 

pursuant to paragraph (vi) above (converted as required by Applicable Law 

into any other currency, any costs of such conversion to be borne by, and (if 

applicable) deducted from any payment to, the Clearing House). Any 
Clearing House : General Regulations - 151- October September 2016

Termination Amount which is not paid on such day shall bear interest, at the 

average rate at which overnight deposits in the currency of such payment are 

offered by major banks in the London interbank market as of 11:00 hours 

(London time) (or, if no such rate is available, at such reasonable rate as the 

Member may select) plus 1 per cent. per annum, for each day for which any 

such sum remains unpaid.

(viii) For the purposes of any calculation required to be made under this Regulation, 

the Member may convert amounts denominated in any other currency into the 

Base Currency at such rate prevailing at the time of the calculation as it shall 

reasonably select.

The Member’s rights under this Regulation 45 shall be in addition to, and not in 

limitation or exclusion of, any other rights which the Member may have (whether by 

agreement, operation of law or otherwise, including its rights under Regulation 10(i)).

(e) If a Member is a Defaulter and either:

(i) no default management process has been commenced by the Clearing House 

in respect of such Member within 3 business days following a Default Notice 

being issued in respect of that Member; or

(ii) such default management process has been commenced within such period but 

that Member determines (acting reasonably) that the relevant default 

management process is unlikely to be completed,

then, provided that an event or circumstance as described in paragraph (a) (ignoring, 

for this purpose, the words "other than a dDefaulter" in that paragraph) or (b) above 

has also occurred, the relevant Member shall be entitled to exercise the rights 

provided under paragraph (c) above, notwithstanding that it is a Defaulter.

(f) Interpretation in Relation to FDICIA. The Clearing House and each Clearing Member 

intend that certain provisions of the General Regulations and the Procedures

(including this Regulation 45) be interpreted in relation to certain terms that are 

defined in FDICIA, as follows:

(i) The Clearing House is a “clearing organization”.

(ii) An obligation of a Clearing Member to make a payment to the Clearing 

House, or of the Clearing House to make a payment to a Clearing Member, 

subject to a netting contract, is a “covered clearing obligation” and a “covered 

contractual payment obligation”.

(iii) An entitlement of a Clearing Member to receive a payment from the Clearing 

House, or of the Clearing House to receive a payment from a Clearing 

Member, subject to a netting contract, is a “covered contractual payment 

entitlement”.

(iv) The Clearing House is a “member”, and each Clearing Member is a 

“member”. 
Clearing House : General Regulations - 190- October September 2016

REGULATION 60 TRANSFER

(a) Other than in the event that a SwapClear Clearing Member is a Defaulter, any 

Permitted Transfer of one or more Transferring SwapClear Contracts from the 

Transfer Account of an Eligible Transferor to the Transfer Account of an Eligible 

Transferee (including, where relevant, the transfer of an Associated Collateral 

Balance), may only be done pursuant to this Regulation 60 and in accordance with the 

Procedures and (where applicable) any relevant Collateral Management Agreement.

(b) Further to the satisfaction of the conditions set out in the Procedures and (where 

applicable) any relevant Collateral Management Agreement, and provided that the 

Clearing House does not determine, in its sole discretion, that (x) a Permitted Transfer

cannot be effected under these Regulations, the Procedures or otherwise 

under Applicable Law and/or (y) where applicable, the additional conditions as set out 

in Regulation 46(p) of the FCM Regulations need to be and have not been complied 

with, the Clearing House shall transfer the Transferring SwapClear Contract(s) into 

the Transfer Account of the Receiving Clearing Member as follows:

(i) in the case of a Permitted Transfer where the Receiving Clearing Member is 

the same entity as the Eligible Transferor, the Transferring SwapClear 

Contracts (and, if applicable, the Associated Collateral Balance) shall be 

transferred to the Proprietary Account of the Receiving Clearing Member;

(ii) in the case of a Permitted Transfer where the Carrying Clearing Member is not 

an FCM Clearing Member and the Receiving Clearing Member is an FCM 

Clearing Member, the Transferring SwapClear Contracts (and, if applicable, 

the Associated Collateral Balance) shall be transferred to the relevant Transfer 

Account of the relevant Receiving Clearing Member and all of the SwapClear 

Contracts to be transferred (which are subject to the Rulebook) shall, upon 

transfer, be converted to FCM SwapClear Contracts subject to the FCM 

Regulations and the FCM Procedures but shall otherwise remain on the same 

contract terms;

(iii) in the case of a Permitted Transfer where the Carrying Clearing Member is an 

FCM Clearing Member and the Receiving Clearing Member is not an FCM 

Clearing Member, the FCM SwapClear Contracts (and, if applicable, the 

Associated Collateral Balance) shall be transferred to the relevant Transfer 

Account of the relevant Receiving Clearing Member and all of the FCM 

SwapClear Contracts to be transferred (which are subject to the FCM 

Rulebook) shall, upon transfer, be converted to SwapClear Contracts subject 

to the Rulebook but shall otherwise remain on the same contract terms; or

(iv) in all other cases, the Transferring SwapClear Contracts (and, if applicable, the 

Associated Collateral Balance(s)) shall be transferred to the Transfer Account 

of the Receiving Clearing Member.

The Transfer of the Transferring SwapClear Contracts shall occur by novation of all 

of the Carrying Clearing Member’s rights and obligations in respect of such 

Transferring SwapClear Contracts to the Receiving Clearing Member as provided in 

Regulation 12(b).
Clearing House : General Regulations - 191- October September 2016

(c) A SwapClear Clearing Member may only assign the rights under, or transfer, a 

SwapClear Contract entered into by such SwapClear Clearing Member in respect of 

SwapClear Client Clearing Business, in accordance with the Rulebook and (where 

applicable) any relevant Collateral Management Agreement or with the prior written 

consent of the Clearing House. Any purported assignment, or any purported transfer, 

of a SwapClear Contract entered into by a SwapClear Clearing Member in respect of 

SwapClear Client Clearing Business that is not in compliance with this Regulation 

60(c) shall be void.

(d) If a SwapClear Clearing Member is a Defaulter, the Clearing House shall take such 

actions, subject to and in accordance with the Default Rules in relation to SwapClear 

Contracts carried by such SwapClear Clearing Member on behalf of SwapClear 

Clearing Clients, provided always that the Clearing House shall take such actions as 

are required to meet the Clearing House’s continuing regulatory obligations including 

those applicable to it as a Recognised Clearing House and a Derivatives Clearing 

Organization.

(e) The Carrying Clearing Member agrees to indemnify the Clearing House in respect of 

all liabilities, costs, loss, fees, damages or expenses suffered or incurred by the 

Clearing House (howsoever arising or occurring) by reason of a proposed transfer 

being rejected by the Carrying Clearing Member other than in compliance with the 

grounds set out in the Procedures.
LCH Rule Submission

Appendix C

Default Rules
LCH.CLEARNET LIMITED

DEFAULT RULES
Default Rules October September 2016

CONTENTS

Rule Page

DEFAULT RULES ..................................................................................................................1

Reduction of Losses on Default ......................................................................................13

Terms on which Contribution is held..............................................................................16

Application of Defaulter's Contribution and Certification of Aggregate Excess Losses 17

Application of Fund and Indemnity ................................................................................18

Effect of cessation of Clearing Member status ...............................................................19

Schedule 1 Client Clearing Annex ..................................................................................22

Schedule 2 Rates Service DMP Annex ...........................................................................33

Schedule 3 Forexclear DMP Annex................................................................................69

Schedule 4 Repoclear DMP Annex.................................................................................84

Schedule 5 ForexClear Default Fund Supplement..........................................................95

Schedule 6 Rates Service Default Fund Supplement ....................................................110

Schedule 7 RepoClear Default Fund Supplement.........................................................137

Schedule 8 Equities Default Fund Supplement.............................................................149

Schedule 9 Commodities Default Fund Supplement ....................................................161
 

Default Rules - 1 - October September 2016

LCH.CLEARNET LIMITED

The Financial Services and Markets Act 2000 (Recognition Requirements for 

Investment Exchanges and Clearing Houses) Regulations 2001, Part IV

DEFAULT RULES

1. Save where expressly stated to the contrary these Default Rules ("Rules") have effect 

with regard to the provision of clearing services for all markets cleared by the 

Clearing House. These Rules (including each Supplement) form part of the Clearing 

House's Rulebook but do not apply in relation to a Co-operating Clearing House.

The Rules comprise:

• these general Default Rules (Rules 1 to 27 inclusive);

• Supplements specific to the following Service(s): the Commodities 

Service, the Equities Service, the ForexClear Service, the Rates

Service and the RepoClear Service.

Each Supplement establishes a separate default fund specific to the Service to which 

the Supplement relates. The Supplements establish the size of each default fund, the 

basis for calculating Contributions to each default fund, and include supplementary 

provisions addressing cases where the relevant default fund has been utilised. The 

general Default Rules establish the mechanisms, which apply severally to each default 

fund, for utilisation of the default funds, and for other matters common to all default 

funds. In the event of any inconsistency between the provisions of the Default Rules 

and the provisions of a Supplement or an Annex, the Supplement or Annex (as 

applicable) will prevail.

The allocation by the Risk Committee of the Clearing House of a Contract to a 

particular Service to which a Supplement applies shall be done in accordance with the 

definitions set out in the Supplements, and each decision of the Risk Committee in 

this respect is conclusive.

2.

(a) Words and expressions defined in the Clearing House's Rulebook shall have 

the same meanings in these Rules, save that in relation to the provision of 

clearing services by an FCM Clearing Member, words and expressions 

defined in the Clearing House's FCM Regulations shall have the same 

meanings in these Rules and such meanings shall prevail over any other 

meaning given to the relevant word or expression in the Clearing House's 

Rulebook;

The Clearing House has prepared a statement explaining: (i) how a transfer under the Client Clearing 

DMP will work, and (ii) the main legal implications of such a transfer, including information on the 

applicable insolvency law in the relevant jurisdictions. This statement is available on the Clearing 

House's website at http://www.lchclearnet.com/members-clients/members/fees-ltd/annual-accountstructure-fees.
 

Default Rules - 2 - October September 2016

(b) a reference to a numbered Regulation in these Rules is a reference to the 

Regulation so numbered in the Regulations Section of the Rulebook and a 

reference to a numbered FCM Regulation is a reference to the FCM 

Regulation so numbered in the FCM Regulations. A reference to a numbered 

Rule is a reference to the Rule so numbered in these Rules;

(c) the expression "relevant office-holder" in these Rules has the meaning given 

to it in section 189 of the Companies Act 1989 and a reference to the Defaulter 

shall include (where the context permits) a reference to the relevant officeholder; and

(d) a reference to an agreement in these Rules is a reference to that agreement as 

amended, modified or varied from time to time.

3. In the event of a Clearing Member appearing to the Clearing House to be unable, or to 

be likely to become unable, to meet its obligations in respect of one or more Contracts, 

the Clearing House may (or upon the occurrence of an Automatic Early Termination 

Event, in which case such Contracts will automatically terminate, the Clearing House 

will) take the steps listed in Rule 6, it deems appropriate in the circumstances:

(a) to discharge all the Clearing Member's rights and liabilities under or in respect 

of all Contracts to which it is party or upon which it is or may be liable; and

(b) to complete the process set out in Rule 8.

Before taking any such step the Clearing House shall (i) have regard to the interests of 

the members of any market that the Clearing Member may belong to (ii) where it is 

reasonably practicable to do so and without prejudice to those interests if applicable 

or to the interests of the Clearing House, consult any relevant Exchange to whose 

Exchange Rules open contracts registered in the name of the Clearing Member are 

subject and (iii) inform the Bank of England of the proposed step(s) to be taken. As 

soon as practicable after the Clearing House has elected to take any such step in 

relation to a Clearing Member (or in the case of an Automatic Early Termination 

Event (as described in Rule 5 below) as soon as practicable after the occurrence of 

such an event) the Clearing House shall send to such Clearing Member: (i) a notice of 

such step being taken or a notice of the occurrence of an Automatic Early Termination 

Event (a "Default Notice"), and shall publish a copy of the Default Notice; and (ii) 

copies of any written notices received from any the Individual Segregated Account 

Clearing Client(s), Custodial Segregated Clients, and/or any of the Affiliated 

Omnibus Segregated Clearing Clients and/or Identified Omnibus Segregated Clearing 

Clients of that Defaulter confirming their instructions for the Clearing House to 

arrange for a transfer or termination, close-out and re-establishment of their open 

Contracts to/with the relevant Back-up Clearing Member(s), provided however that

the Clearing House shall have no liability for any failure to deliver such notices.

4. A Clearing Member (i) in respect of whom the Clearing House has issued a Default 

Notice under Rule 3; or (ii) in respect of whom an Automatic Early Termination 

Event has occurred, is in these Rules called a "Defaulter".

5. Without prejudice to the generality of Rule 3, the Clearing House may take any or all 

of the events under paragraphs 5(a) to (q) below to show that a Clearing Member is or 
 

Default Rules - 7 - October September 2016

out and re-establishment or the close-out and/or settlement of such 

Client Clearing Contracts pursuant to this Rule 6); and (B) may also 

take any of the other steps set out in this Rule 6 to the extent that they 

do not conflict with the steps set out in the Client Clearing Annex and, 

provided that, in no circumstances will the Clearing House sell any 

security deposited as Collateral in a Client Account and forming part 

of the Clearing Member Current Collateral Balance in respect of such 

Client Account pursuant to (without limitation) paragraphs (e), (h), (p) 

or (r) of this Rule 6, the Client Clearing Annex to these Default Rules 

or otherwise for the duration of the Porting Window applicable to the 

relevant Clearing Client, other than (1) with the consent, to the selling 

of such securities, of the relevant Clearing Client (in the case of an 

Individual Segregated Account or a Custodial Segregated Account) or 

all of the Clearing Clients grouped together in and comprising the 

relevant Omnibus Segregated Account (in the case of an Omnibus 

Segregated Account); or (2) where a Clearing Client (in the case of an 

Individual Segregated Account or a Custodial Segregated Account) or 

each of the Clearing Clients grouped together in and comprising the 

relevant Omnibus Segregated Account (in the case of an Omnibus 

Segregated Account) has appointed a Backup Clearing Member who is 

unable to accept or otherwise rejects a transfer of the relevant 

securities as part of the transfer of an Account Balance in accordance 

with the provisions of the Client Clearing Annex to these Default 

Rules; 

(ii) in the case of SwapClear Contracts and/or Listed Interest Rates 

Contracts related to Rates Service Clearing House Business, the 

Clearing House: (A) shall act in accordance with the provisions of the 

Rates Service DMP Annex to these Default Rules (which deals, 

amongst other things, with certain specific arrangements, procedures 

and steps for the close-out and/or settlement of such SwapClear 

Contracts and/or Listed Interest Rates Contracts pursuant to this Rule 

6); and (B) may also take any of the other steps set out in this Rule 6 to 

the extent that they do not conflict with the steps set out in the Rates 

Service DMP Annex to these Default Rules;

(iii) in the case of ForexClear Contracts related to ForexClear Clearing 

House Business and ForexClear Contracts which are Relevant Auction 

Contracts, the Clearing House: (A) shall act in accordance with the 

provisions of the ForexClear DMP Annex to these Default Rules 

(which deals, amongst other things, with certain specific arrangements,

procedures and steps for the close-out and/or settlement of such 

ForexClear Contracts pursuant to this Rule 6); and (B) may also take 

any of the other steps set out in this Rule 6 to the extent that they do 

not conflict with the steps set out in the ForexClear DMP Annex to 

these Default Rules; and

(iv) in the case of Fixed Income Contracts related to RepoClear Clearing 

House Business and Fixed Income Contracts which are Relevant 

Auction Contracts, the Clearing House: (A) shall act in accordance 
 

Default Rules - 9 - October September 2016

(ii) by or to a Defaulter in respect of FCM Contracts (and in accordance 

with paragraph (e) below); any other sum due under the FCM 

Regulations; and/or any sum due in respect of any breach of the FCM 

Regulations;

(b) the sums so payable shall be aggregated or set off so as to produce a net sum 

or as many net sums as required by Rule 11;

(c) any cash Collateral forming part of the Clearing House Current Collateral 

Balance in respect of the relevant kind of account shall be set off against any 

cash Collateral (excluding cash Client Collateral) forming part of the 

Defaulter's Clearing Member Current Collateral Balance in respect of the 

relevant kind of account, and the resulting amount shall be aggregated with or 

set off against (as the case may be) any net sum payable under Rule 8(b)

above, so as to produce a further net sum;

(d) where an amount is payable by the Clearing House to the Defaulter in respect 

of a balance on its Proprietary Account(s), and there are amounts due to the 

Clearing House in respect of any Client Account with the Clearing House, 

including any FCM Omnibus Client Account with LCH (and any FCM Client 

Sub-Accounts therein) operated by it, the balance on the Proprietary 

Account(s) may be applied to meet the shortfall on the Client Account(s) with 

the Clearing House, including any FCM Omnibus Client Account with LCH

(and any FCM Client Sub-Accounts therein) in any way in which the Clearing 

House may determine;

(e) in the case where the Defaulter is an FCM Clearing Member,

(i) with respect to an FCM Omnibus Swaps Client Account with LCH, a 

net sum shall be calculated in respect of each applicable FCM Client 

Sub-Account, and with regards to any amount due to the Clearing 

House from the Defaulter in respect of net sums attributable to FCM 

Client Sub-Accounts where there is inadequate Collateral (on a subaccount by sub-account basis) to fully set off such amount payable, the 

Clearing House shall have sole discretion with respect to the allocation 

of any available FCM Buffer or the reallocation of any Encumbered

FCM Buffer in setting off any such amounts payable to the Clearing 

House; and

(ii) with respect to an FCM Omnibus Futures Client Account with LCH, a 

net sum shall be calculated in respect of the FCM Omnibus Futures 

Client Account with LCH;

(f) in the event that the Clearing House elects to close out and to liquidate FCM 

SwapClear Contracts attributable to FCM Clients of the Defaulter (in 

accordance with the Rates Service DMP Annex), the Clearing House shall 

allocate any costs associated with such closing out and liquidation process 

(including hedging costs (including the gains and losses associated with 

hedging transactions) and liquidation/auction costs and losses) among the 

FCM Clients whose positions were liquidated, by allocation to such FCM 

Clients' FCM Client Sub-Accounts that are held in the Defaulter's FCM 
 

Default Rules - 11 - October September 2016

Defaulter are to be paid by the Clearing House. The day so appointed may fall before 

or after the effective date of termination of the Defaulter's Clearing Membership 

Agreement but shall not fall on a day before the process specified in Rule 8 can be 

completed.

10. Following a Default by an FCM Clearing Member, the Clearing House will to the 

extent permitted by Applicable Law (including Part 190 of the CFTC Regulations and 

applicable bankruptcy law), credit Variation Margin on a gross basis to each 

individual FCM Client Sub-Account.

11.

(a) Where the Defaulter has more than one account with the Clearing House, the 

Defaulter's accounts shall be combined for the purpose of Rules 8 and 9 as 

follows:

(i) no account which is an FCM Client Sub-Account of an FCM Client 

may be combined with any other account, including any FCM Client 

Sub-Account of another FCM Client, any FCM Omnibus Client 

Account with LCH or any Proprietary Account; provided that in the 

event that an FCM Client were to have two FCM Client Sub-Accounts 

with the same Defaulter, and both such accounts cleared the same 

Product, then such FCM Client Sub-Accounts may be combined;

(ii) no account which is an FCM Omnibus Client Account with LCH of the 

Defaulter may be combined with any other account, including any 

other FCM Omnibus Client Account with LCH or any Proprietary 

Account;

(iii) an account which is a Proprietary Account of the Defaulter may be 

combined with any other Proprietary Accounts of the Defaulter and (if 

the Clearing House so elects) Treasury Accounts of the Defaulter 

(subject to Rule 11(d) of the Default Rules); and

(iv) an account which is a Treasury Account of the Defaulter may only be 

combined with other Treasury Accounts and (if the Clearing House so 

elects) Proprietary Accounts of the Defaulter.

Notwithstanding the foregoing, in no circumstances may an account which is 

an Individual Segregated Account of the Defaulter, a Custodial Segregated 

Account of the Defaulter or an Omnibus Segregated Account of the Defaulter 

be combined with any other account of the Defaulter (except as provided 

under Rule 15(a)(ii)).

(b) For the purposes of this Rule 11, each Individual Segregated Account of the 

Defaulter, each Custodial Segregated Account of the Defaulter, each Omnibus 

Segregated Account of the Defaulter, each FCM Client Sub-Account(s) of a 

particular FCM Client within a particular FCM Omnibus Swaps Client 

Account with LCH of the Defaulter, and each FCM Omnibus Futures Client 

Account with LCH shall constitute a separate "kind of account". Where the 

Defaulter has more than one kind of account with the Clearing House, the 

process set out in Rule 8 shall be separately completed in respect of each kind 
 

Default Rules - 12 - October September 2016

of account. In the case of each kind of account of the Defaulter which is an 

Individual Segregated Account or a Custodial Segregated Account, the sum 

finally payable in respect of that kind of account following completion of the 

process set out in Rule 8 shall be separately certified under Rule 9. In the case 

of each kind of account of the Defaulter which is an Omnibus Segregated 

Account (other than a Non-Identified Client Omnibus Net Segregated 

Account), the sum finally payable in respect of that kind of account following 

completion of the process set out in Rule 8 will be allocated by the Clearing 

House (pro rata as it sees fit in its sole discretion) between the Clearing 

Clients in that Omnibus Segregated Account. Each sum so allocated to a 

Clearing Client shall be separately certified under Rule 9. In the case of each 

kind of account of the Defaulter which is a Non-Identified Client Omnibus Net 

Segregated Account, the sum finally payable in respect of that kind of account 

following completion of the process set out in Rule 8 will represent the 

aggregate entitlements of all Clearing Clients comprising that Client Account.

(c) In Rule 8 any reference to the relevant "kind of account" means:

(i) with regard to a net sum produced by reference to Contracts registered 

in an Individual Segregated Account of the Defaulter, that Individual 

Segregated Account;

(ii) with regard to a net sum produced by reference to Contracts registered 

in a Custodial Segregated Account of the Defaulter, that Custodial 

Segregated Account;

(ii)(iii) with regard to a net sum produced by reference to Contracts registered 

in an Omnibus Segregated Account of the Defaulter, that Omnibus 

Segregated Account;

(iii)(iv)with regard to a net sum produced by reference to FCM SwapClear 

Contracts registered in one or more FCM Client Sub-Accounts of the 

Defaulter held in the name of one particular FCM Client, that FCM 

Client Sub-Account, or (if there is more than one) all such FCM Client 

Sub-Accounts (containing FCM SwapClear Contracts) of such 

particular FCM Client combined;

(iv)(v) with regard to a net sum produced by reference to FCM ForexClear 

Contracts registered in one or more FCM Client Sub-Accounts of the 

Defaulter held in the name of one particular FCM Client, that FCM 

Client Sub-Account, or (if there is more than one) all such FCM Client 

Sub-Accounts (containing FCM ForexClear Contracts) of such 

particular FCM Client combined;

(v)(vi) with regard to a net sum produced by reference to FCM EnClear 

Contracts registered in one or more FCM Client Sub-Accounts of the 

Defaulter held in the name of one particular FCM Client, that FCM 

Client Sub-Account, or (if there is more than one) all such FCM Client 

Sub-Accounts (containing FCM EnClear Contracts) of such particular 

FCM Client combined;
 

Default Rules - 13 - October September 2016

(vi)(vii) with regard to a net sum produced by reference to FCM

Contracts registered in an FCM Omnibus Futures Client Account with 

LCH of the Defaulter, that FCM Omnibus Futures Client Account with 

LCH, or (if there is more than one) all such FCM Omnibus Futures 

Client Accounts with LCH of the Defaulter combined;

(vii)(viii) with regard to a net sum produced by reference to Contracts 

registered in one or more Proprietary Accounts of the Defaulter, that 

Proprietary Account or those Proprietary Accounts combined and (if 

the Clearing House has elected in accordance with Rule 11(a)) any 

Treasury Accounts of the Defaulter; and

(viii)(ix) with regard to a net sum produced by reference to one or more 

Treasury Accounts of the Defaulter, that Treasury Account or those 

Treasury Accounts combined, and (if the Clearing House has elected in 

accordance with Rule 11(a)) any Proprietary Accounts.

(d) Notwithstanding any provision of the Rulebook to the contrary, any loss which 

relates to a Treasury Account may not be treated as a Default Loss, whether or 

not Collateral has been applied in respect of such loss. Nothing in this Rule 

11(d) requires the Clearing House to apply Collateral in respect of any such 

loss, except that the Clearing House may not apply Collateral in respect of any 

such loss to the extent that doing so would give rise to an Excess Loss.

12. Without further authorisation, permission or cooperation from the Defaulter, the 

Clearing House may appoint any person to take or assist it in taking any step under 

these Rules or to complete or assist it in completing the process set out in Rule 8.

13. The Clearing House may co-operate, by the sharing of information and otherwise, 

with any Regulatory Body or relevant Exchange, any relevant office-holder acting in 

relation to the Defaulter or its estate and any other authority or body having 

responsibility for, or any Clearing Member having an interest in, any matter arising 

out of or connected with the circumstances mentioned in Rule 3.

14. In addition to such copy report as it supplies under section 162(3) of the Companies 

Act 1989, the Clearing House shall report to the Defaulter, or any relevant officeholder acting in relation to the Defaulter or its estate, on steps taken in relation to the 

Defaulter under Rule 6.

Reduction of Losses on Default

15. Subject to: (i) any contrary provision of the Rulebook and/or (ii) any variation or 

modification in, or clarification of, the application of the resources described below 

set out in an Annex, where a Defaulter fails to pay any sum payable to the Clearing 

House, the Clearing House shall reduce or bear its loss in the manner provided by this 

Rule:

(a) first, to the extent the Clearing House determines appropriate, in applying any 

Collateral transferred to the Clearing House by the Defaulter, and any other 

sum owed to the Defaulter (other than any Contribution) and any Collateral 

transferred to the Clearing House by a Custodial Segregated Client in respect 
 

Default Rules - 14 - October September 2016

of a Custodial Segregated Account of the Defaulter (together, "Margin 

Cover"), provided that (i) Margin Cover related to a particular type of 

Business is to be applied first to any loss attributable to that Business until 

such loss is absorbed; and (ii) save in the case where the relevant Client 

Accounts are two or more Individual Segregated Accounts and/or Custodial 

Segregated Accounts opened by the Defaulter on behalf of the same Clearing 

Client (or, in the case of a Defaulter who is an FCM Clearing Member, two or 

more FCM Client Sub-Accounts held in the name of the same FCM Client or 

two or more FCM Omnibus Futures Client Accounts with LCH, as applicable), 

in no circumstances will Margin Cover transferred by the Defaulter and/or by 

a Custodial Segregated Client in respect of obligations arising on a Client 

Account be applied by the Clearing House pursuant to this stage (a) in respect 

of any loss attributable to any of the Defaulter's other accounts;

(b) second, by (i) recourse to the Defaulter's relevant Contribution in respect of 

the type of Business to which the loss relates, followed by (ii) recourse to any 

other Contribution made by the Defaulter to the extent not utilised under (i) 

above. The Clearing House will exercise its rights of recourse under this stage 

(b) by set-off against the Clearing House's obligation to repay the relevant 

Contributions to the Defaulter;

(c) third, by payment from the Clearing House's own account of an amount (the 

"Capped Amount") (i) determined by the Clearing House from time to time 

in accordance with the requirements relating to the calculation and the setting 

aside of dedicated own resources under the Own Resources Provision; or (ii) 

in the case of a subsequent Default occurring before the Clearing House has 

reinstated the dedicated resources required in accordance with the Own 

Resources Provision, representing the residual amount of such dedicated own 

resources.

Where there are amounts due from the Defaulter at this stage in respect of 

more than one type of Business (each a "Relevant Business" in respect of the 

Defaulter), a separate Capped Amount determined in accordance with Rule 

15(c)(i)-(ii) will be paid from the Clearing House's own account under this 

stage (c) in respect of such Relevant Business.

(d) fourth, to the extent that any insurance or analogous arrangement is not 

available to the Clearing House, by recourse to the indemnities given under 

Rule 21 by Clearing Members other than the Defaulter (which shall be 

satisfied by set-off against the Clearing House's obligation to repay the 

relevant Contributions of such Clearing Members). If the criteria specified in 

a relevant Supplement for calling any Unfunded Contributions have been 

satisfied, then references to the Contributions of Clearing Members other than 

the Defaulter in this Rule 15(d) shall include such Unfunded Contributions;

(e) fifth, by recourse to any insurance cover or analogous arrangement;

(f) sixth, by recourse to the indemnities given under Rule 21 by Clearing 

Members other than the Defaulter (which shall be satisfied by set-off against 

the Clearing House's obligation to repay the relevant Contributions of such 

Clearing Members). If the criteria specified in a relevant Supplement for 
 

Default Rules - 22 - October September 2016

SCHEDULE 1

CLIENT CLEARING ANNEX

1. The Client Clearing DMP in respect of any contract which is a Contract entered into 

in respect of Client Clearing Business other than FCM Contracts (each a "Relevant 

Contract") shall involve the stages set out in this Annex. For the avoidance of doubt, 

in the case of a Defaulter who engages in more than one Relevant Client Clearing 

Business, the stages set out in this Annex will be implemented 

(a) subject to paragraph (b) below, separately in relation to the Relevant Contracts 

entered into by such Defaulter in respect of each such Relevant Client 

Clearing Business; and

(b) as a single process in respect of all Relevant Contracts that are Rates Service 

Contracts entered into by a Defaulter on behalf of its Portfolio Margining 

Clients on a combined basis.

Except in respect of Relevant Contracts entered into in respect of Rates Service Client 

Clearing Business, the Clearing House will not combine Relevant Contracts relating 

to different Relevant Client Clearing Businesses in a single Client Clearing DMP. 

The terms "Account Balance", "Clearing Client", "Relevant Contract", "Relevant 

Auction Contract", "Individual Segregated Account", "Custodial Segregated 

Account", "Individual Segregated Account Clearing Client", "Custodial 

Segregated Client", "Individual Segregated Account Balance", "Custodial 

Segregated Account Balance", "Omnibus Segregated Account", "Non-Identified 

Client Omnibus Net Segregated Account", "Identified Client Omnibus Net 

Segregated Account", "Affiliated Client Omnibus Net Segregated Account", 

"Omnibus Gross Segregated Account", "Non-Identified Omnibus Segregated 

Clearing Client", "Identified Omnibus Segregated Clearing Client", "Affiliated 

Omnibus Segregated Clearing Client", "Omnibus Gross Segregated Clearing 

Client", "Omnibus Segregated Account Balance", "Indirect Client", "Client 

Clearing Entitlement", "Aggregate Omnibus Client Clearing Entitlement" and 

"Clearing Agreement" where used in paragraphs 2 to 18 of this Annex shall be 

interpreted accordingly.

2. For the purposes of this Annex, a Relevant Contract relating to ForexClear Clearing 

Client Business or Rates Service Client Clearing Business of a Clearing Member and 

a Relevant Contract relating to RepoClear Client Clearing Business of a Clearing 

Member which is a Fixed Income Contract (each a "Relevant Auction Contract") 

will be included in a Portfolio (as such term is defined in, respectively, the ForexClear 

DMP Annex to the Default Rules, the Rates Service DMP Annex to the Default Rules 

and the RepoClear DMP Annex to the Default Rules) from such time as the Clearing 

House determines that such Relevant Auction Contract will not be ported. For the 

avoidance of doubt, any such Portfolio will only contain Relevant Auction Contracts 

entered into by a Clearing Member on behalf of its Clearing Clients. The Clearing 

House shall not be entitled to combine client and house positions in a single Portfolio.

3. In the case of a Relevant Contract other than a Relevant Auction Contract which 

cannot be ported in accordance with the terms of this Annex, the Clearing House may 
 

Default Rules - 23 - October September 2016

take any one or more of those other steps which are set out in Rule 6 of the Default 

Rules (and which are applicable to open contracts of the relevant type) in respect of 

such Relevant Contract, from such time as the Clearing House determines that porting 

will not occur.

4. If a Clearing Member becomes a Defaulter, the Clearing House shall:

4.1 determine one or more Porting Windows in respect of the relevant Default where 

"Porting Window" means the period of time, commencing on the day of the relevant 

Default and being at least 24 hours (other than in the case of a Porting Window 

Reduction (as defined below) or, in the case of a Custodial Segregated Account only, 

a Porting Window which terminates in accordance with paragraph 4.1(b)(i) of this 

Client Clearing Annex)), during which the Clearing House will seek to transfer 

Relevant Contacts entered into by the Defaulter and the Account Balances held in any 

Client Accounts opened by the Defaulter with the Clearing House to one or more

Backup Clearing Members in accordance with the provisions of this Client Clearing 

Annex and (where applicable) any relevant Collateral Management Agreement. Each 

such Porting Window will:

(a) be determined by the Clearing House in its sole discretion separately in respect 

of each type of Client Account within each separate Relevant Client Clearing 

Business of the relevant Defaulter (where Individual Segregated Accounts, 

Custodial Segregated Accounts, Omnibus Gross Segregated Accounts, 

Identified Client Omnibus Net Segregated Accounts and Affiliated Client 

Omnibus Net Segregated Accounts are each a different "type of Client 

Account") and published on its website; and 

(b) for a Custodial Segregated Account, terminate on the occurrence of one of the 

following events:

(i) the Relevant Contracts and Account Balance relating to the Custodial 

Segregated Account are ported; or

(ii) the Clearing House notifies the relevant Custodial Segregated Client 

that it has determined that the Relevant Contracts and Account Balance 

relating to the Custodial Segregated Account will not port; and

(c) in relation to any type of Client Account other than a Custodial Segregated 

Account, reflect, where applicable, any subsequent extension of the relevant 

period of time referred to in paragraph 4.1 applied by the Clearing House in its 

sole discretion and notified by means of a further publication on its website; 

and

(b)(d) in relation to or, for a particular Client Account, reflect, where applicable, any

reduction of such period of time (a “Porting Window Reduction”) applied by 

the Clearing House in its sole discretion and notified by means of a further 

publication on its website, provided, however, that (i) a Porting Window 

Reduction may be applied by the Clearing House to a particular Client 

Account solely where the Required Margin Amount in respect of such Client 

Account following the relevant Default becomes equal to 50% or more of the 

value of the Clearing Member Current Collateral Balance of such Client 
 

Default Rules - 24 - October September 2016

Account at the time of such Default; and (ii) in no circumstances will the total 

duration of the Porting Window following a Porting Window Reduction be 

less than 12 hours;

4.2 determine the Account Balances;

4.3 in the case of any Non-Identified Client Omnibus Net Segregated Account of a 

Defaulter who is an Exempt Client Clearing Member, seek to determine, in 

accordance with its default management procedures, the identities, and entitlements in 

respect of Contracts entered into by the relevant Exempt Client Clearing Member, in 

respect of each of the Clearing Clients grouped together in and comprising the 

relevant Non-Identified Client Omnibus Net Segregated Account. Where the 

Clearing House so determines the identities and entitlements of all of the relevant 

Clearing Clients to its satisfaction and in its sole and absolute discretion, those

Clearing Clients shall cease to be designated as Non-Identified Omnibus Net 

Segregated Clearing Clients and shall instead become Determined Omnibus Net 

Segregated Clients (and the term "Determined Omnibus Net Segregated Clients" is 

defined accordingly);

4.4 ascertain to its satisfaction whether each Clearing Client of the Defaulter from whom 

porting instructions are received has appointed a Backup Clearing Member. For the 

avoidance of doubt where the Defaulter is a Portfolio Margining Clearing Member 

and the relevant Clearing Client(s) is or are Portfolio Margining Client(s) (as 

applicable), each Backup Clearing Member appointed by such Portfolio Margining 

Client(s) in respect of the Relevant Contracts entered into in respect of Rates Service 

Client Clearing Business, must also be a Portfolio Margining Clearing Member; and

4.5 where applicable, send details of the open Relevant Contracts and the Account 

Balances to the nominated Backup Clearing Member for each relevant Individual 

Segregated Account, each relevant Custodial Segregated Account, each relevant 

Omnibus Gross Segregated Clearing Client, each relevant group of Combined 

Omnibus Gross Segregated Clearing Clients and each relevant Omnibus Segregated 

Account of the Defaulter.

5. Following the occurrence of a Default, the Clearing House will specify (and publish 

on its website) the deadline in respect of that particular Default by which time a 

consent to porting must be received from a client for the purposes of paragraphs 6.1

and 6.2, 7 or 8.1 and 8.2 (as applicable) in order for the Clearing House to seek to port 

that client's Relevant Contracts. Any such consent may be provided in writing 

(including by facsimile and email) and, once received by the Clearing House, may not 

be withdrawn.

6. Subject to paragraph 14 below, in circumstances where (a) an Individual Segregated 

Account Clearing Client, a Custodial Segregated Client or an individual Omnibus 

Gross Segregated Clearing Client (other than a Combined Omnibus Gross Segregated 

Clearing Client) has appointed a Backup Clearing Member; and (b) within such 

period as the Clearing House may determine of the service of a Default Notice on the 

relevant Clearing Member pursuant to Rule 3 of the Default Rules or the Clearing 

House becoming aware of the occurrence of an Automatic Early Termination Event in 

respect of that Clearing Member (as the case may be) and the Clearing House has 

received confirmation in writing from the Backup Clearing Member of its agreement 
 

Default Rules - 25 - October September 2016

to act as Backup Clearing Member in relation to the arrangements described in 

paragraph 6.1 below and from the relevant client:

6.1 the Clearing House shall (a) transfer all of the open Relevant Contracts entered into 

by the Defaulter in respect of the relevant Clearing Client to the appointed Backup 

Clearing Member; or (b) terminate and close out such contracts at their market value 

(as determined by the Clearing House in its discretion) and enter into new contracts 

on equivalent terms to such contracts with the appointed Backup Clearing Member in 

respect of the relevant Clearing Client;

6.2 where the relevant Clearing Client (in an exercise of its rights under the relevant 

Security Deed or, in the case of such a client of a Defaulter who is an Exempt Client 

Clearing Member, following acceleration of the obligations of the Defaulter under its 

Undertaking to Pay andor Deliver, so that such obligations become immediately due 

and payable, and satisfaction of such obligations by the Clearing House enforcing the 

security granted in its favour by the Defaulter under the relevant Deed of Charge) 

instructs a transfer of the Account Balance attributable to it to the appointed Backup 

Clearing Member, the Clearing House shall give effect to such instruction; 

6.3 in respect of a Custodial Segregated Account and an ISA Port of the Relevant 

Contracts and Account Balance attributable to such Custodial Segregated Account to 

a Backup Clearing Member, such Backup Clearing Member acknowledges and agrees 

that immediately after the Clearing House obtains the rights, title and interests of the 

relevant Custodial Segregated Client in the Client Collateral forming part of such 

Account Balance in accordance with the relevant Collateral Management Agreement:

(a) the Clearing House shall be deemed to have transferred such rights, title and 

interests to such Backup Clearing Member;

(b) the Client Collateral forming part of the Account Balance, in respect of the 

Custodial Segregated Account, shall become subject to the relevant Deed of 

Charge of such Backup Clearing Member and "Charged Property" within the 

meaning of such Deed of Charge;

(c) the Client Collateral forming part of the Account Balance, in respect of the 

Custodial Segregated Account, shall cease to do so and shall, instead, form 

part of the Clearing Member Current Collateral Balance, in respect of the 

relevant Individual Segregated Account of the Backup Clearing Member; and

6.2 (d) all such Client Collateral shall be deemed to be Collateral which the 

Backup Clearing Member has provided to the Clearing House in respect of the 

relevant Individual Segregated Account; 

6.4

6.3
 

Default Rules - 26 - October September 2016

(a) upon the Clearing House taking the actions specified in paragraph 6.1(a) 

above: (i) that portion (if any) of the Clearing House Current Collateral 

Balance in respect of the Defaulter which is attributable to the Relevant 

Contracts referred to in that paragraph (the "Relevant Portion") shall be 

reduced to zero; and (ii) the Clearing House Current Collateral Balance in 

respect of the Backup Clearing Member shall be increased by an amount equal 

to the value of the Relevant Portion immediately prior to the reduction referred 

to in (i) immediately above; and 

(b) upon the Clearing House taking the actions specified in paragraph 6.1(b) 

above, the Clearing House Current Collateral Balance in respect of the Backup 

Clearing Member shall be increased by an amount equal to the value of that 

portion of the Clearing House Current Collateral Balance in respect of the 

Defaulter which was attributable to the Relevant Contracts referred to in that 

paragraph immediately prior to the termination and close-out of such Relevant 

Contracts in accordance with that paragraph; and 

6.46.5 the amount of Collateral due to be returned to the Defaulter in respect of the relevant 

Client Account or the monetary value representing such amount of Collateral shall be 

reduced by an amount: (a) equivalent to the amount of Collateral comprising the 

Account Balance attributable to the relevant Clearing Client; or (b) equalling the 

monetary value representing such Account Balance (as applicable), transferred to the 

Backup Clearing Member, as referred to in paragraph 6.2 above.

7. Subject to paragraph 14 below, in circumstances where (a) an Individual Segregated 

Account Clearing Client of a Defaulter has appointed a Backup Clearing Member and 

is acting on behalf of Indirect Clearing Clients; and (b) within such period as the 

Clearing House may determine of the service of a Default Notice on the relevant 

Clearing Member pursuant to Rule 3 of the Default Rules or the Clearing House 

becoming aware of the occurrence of an Automatic Early Termination Event in 

respect of that Clearing Member (as the case may be), the Clearing House has 

received confirmation (i) in writing from the Backup Clearing Member of its 

agreement to act as Backup Clearing Member in relation to the arrangements 

described in paragraph 6.1; (ii) from the relevant client; and (iii) from each of the 

relevant Indirect Clearing Clients, the arrangements described in paragraphs 6.1, 6.2,

6.2 and 6.4 and 6.5 above will apply to (i) the Relevant Contracts entered into by the 

Defaulter in respect of the relevant Individual Segregated Account Clearing Client 

acting on behalf of its Indirect Clearing Clients; (ii) the Clearing House Collateral 

Balance in respect of the Defaulter and the Backup Clearing Member which is 

attributable to the Relevant Contracts specified in (i) immediately above; and (iii) the 

Individual Segregated Account Balance credited to the Individual Segregated Account 

opened within the Clearing House by the Defaulter in respect of the relevant 

Individual Segregated Account Clearing Client acting on behalf of its Indirect 

Clearing Clients.

8. Subject to paragraph 14 below, in circumstances where (a) all of the Identified 

Omnibus Net Segregated Clearing Clients of a Defaulter identified by the Clearing 

House as comprising a single Identified Client Omnibus Net Segregated Account or 

all of the Affiliated Omnibus Net Segregated Clearing Clients of a Defaulter 

identified by the Clearing House as comprising a single Affiliated Client Omnibus 

Net Segregated Account or each of the Omnibus Gross Segregated Clearing Clients 
 

Default Rules - 27 - October September 2016

comprising a group of Combined Omnibus Gross Segregated Clearing Clients, have 

appointed a single Backup Clearing Member; and (b) within such period as the 

Clearing House may determine following the service of a Default Notice on the 

relevant Clearing Member pursuant to Rule 3 of the Default Rules or the Clearing 

House becoming aware of the occurrence of an Automatic Early Termination Event in 

respect of that Defaulter (as the case may be), the Clearing House has received 

confirmation in writing from the Backup Clearing Member of its agreement to act as 

Backup Clearing Member in relation to the arrangements described in paragraph 8.1

below and from the relevant clients (in such form as the Clearing House may require 

at the relevant time):

8.1 the Clearing House shall (a) transfer all of the open Relevant Contracts entered into 

by the Defaulter in respect of the relevant clients to the appointed Backup Clearing 

Member; or (b) terminate and close out such contracts at their market value (as 

determined by the Clearing House in its discretion) and enter into new contracts on 

equivalent terms to such contracts with the appointed Backup Clearing Member in 

respect of the relevant clients;

8.2 where all of the relevant clients (in an exercise of their respective rights under the 

relevant Security Deed or, in the case of such clients of a Defaulter who is an Exempt 

Client Clearing Member, following acceleration of the obligations of the Defaulter 

under its Undertaking to Pay andor Deliver, so that such obligations become 

immediately due and payable, and satisfaction of such obligations by the Clearing 

House enforcing the security granted in its favour by the Defaulter under the relevant 

Deed of Charge) instruct a transfer of the Omnibus Segregated Account Balances 

attributable to them to the appointed Backup Clearing Member, the Clearing House 

shall give effect to such instructions; 

8.3

(a) upon the Clearing House taking the actions specified in paragraph 8.1(a) 

above: (i) that portion (if any) of the Clearing House Current Collateral 

Balance in respect of the Defaulter which is attributable to the Relevant 

Contracts referred to in that paragraph (the "Relevant Portion") shall be 

reduced to zero; and (ii) the Clearing House Current Collateral Balance in 

respect of the Backup Clearing Member shall be increased by an amount equal 

to the value of the Relevant Portion immediately prior to the reduction referred 

to in (i) immediately above; and 

(b) upon the Clearing House taking the actions specified in paragraph 8.1(b) 

above, the Clearing House Current Collateral Balance in respect of the Backup 

Clearing Member shall be increased by an amount equal to the value of that 

portion of the Clearing House Current Collateral Balance in respect of the 

Defaulter which was attributable to the Relevant Contracts referred to in that 

paragraph immediately prior to the termination and close-out of such Relevant 

Contracts in accordance with that paragraph; and 

8.4 the amount of Collateral due to be returned to the Defaulter in respect of the Omnibus 

Segregated Account in which the relevant Omnibus Segregated Clearing Clients have 

an interest or the monetary value representing such amount of Collateral shall be 

reduced by an amount: (a) equivalent to the aggregate amount of Collateral 
 

Default Rules - 28 - October September 2016

comprising the Omnibus Segregated Account Balances attributable to the relevant 

Omnibus Segregated Clearing Clients or (b) equalling the aggregate monetary values 

representing such Omnibus Segregated Account Balances (as applicable) transferred 

to the Backup Clearing Member, as referred to in paragraph 8.2 above.

9. The Clearing House will seek to port Relevant Contracts and Account Balances under 

paragraphs 6.1 and 6.2, 7 or 8.1 and 8.2 above within the relevant Porting Window. 

In relation to those Clearing Clients of the Defaulter (including any such Clearing 

Clients who are acting on behalf of Indirect Clearing Clients) whose open Relevant 

Contracts are not dealt with pursuant to paragraphs 6.1 and 6.2, 7 or 8.1and 8.2 above, 

the processes described in paragraphs 9.1 to 9.3 below shall occur.

9.1 In the case of those Clearing Clients who are Individual Segregated Account Clearing 

Clients, Custodial Segregated Clients, Identified Omnibus Segregated Clearing 

Clients or Affiliated Omnibus Segregated Clearing Clients, the Clearing House shall 

calculate the entitlement to Collateral and amounts in respect of the close-out of 

Relevant Contracts (the "Client Clearing Entitlement") of the Defaulter in respect of 

each such Clearing Client reflecting (a) the addition of any sums due from the 

Clearing House in respect of the close-out of the Relevant Contracts entered into by 

the Defaulter in respect of the relevant Clearing Client and (b) the deduction of (i) the 

costs of any hedging undertaken; (ii) amounts required to discharge all obligations 

owed to the Clearing House relating to Relevant Contracts entered into by the 

Defaulter in respect of the relevant Clearing Client (in the case of Relevant Auction 

Contracts, such amounts, together with the amounts referred to in (a) and the costs 

referred to in (b)(i) of this paragraph 9.1, being determined by the Clearing House 

under the processes provided for by the Rates Service DMP Annex, the ForexClear 

DMP Annex or the RepoClear DMP Annex (as applicable)); (iii) any amounts to be 

deducted to reflect the operation of any set-off provision contained in a Clearing 

Agreement entered into between the Defaulter and the relevant Clearing Client and 

confirmed in writing to the Clearing House by or on behalf of both such parties; (iv) 

in respect of Clearing Clients who are identified by the Clearing House as comprising 

an Omnibus Segregated Account which is not an Omnibus Gross Segregated Account, 

amounts required to discharge all obligations owed to the Clearing House relating to 

Relevant Contracts entered into by the Defaulter in respect of other Omnibus 

Segregated Clearing Clients identified by the Clearing House as comprising the 

relevant Omnibus Segregated Account in question, in each case allocated pro rata as 

the Clearing House sees fit, in its sole discretion and (v) in respect any Omnibus 

Gross Segregated Clearing Client forming part of a group of Combined Omnibus 

Gross Segregated Clearing Clients, amounts required to discharge all obligations 

owed to the Clearing House relating to Relevant Contracts entered into by the 

Defaulter in respect of other Omnibus Gross Segregated Clearing Clients forming part 

of the same group of Combined Omnibus Gross Segregated Clearing Clients, in each 

case allocated pro rata as the Clearing House sees fit, in its sole discretion. 

Save in the case of any amount paid to a Clearing Client in accordance with paragraph 

9.2 below, the Clearing House will (upon, where applicable, instruction from the 

relevant Clearing Client in an exercise of its rights under the relevant Security Deed 

or, in the case of such a client of a Defaulter who is an Exempt Client Clearing 

Member, following acceleration of the obligations of the Defaulter under its 

Undertaking to Pay andor Deliver, so that such obligations become immediately due 
 

Default Rules - 29 - October September 2016

and payable, and satisfaction of such obligations by the Clearing House enforcing the 

security granted in its favour by the Defaulter under the relevant Deed of Charge) pay 

the amounts of the Client Clearing Entitlements calculated by it under this paragraph 

9.1 to the Defaulter for the account of the relevant clients. 

9.2 Where the relevant Individual Segregated Account Clearing Client, Custodial 

Segregated Client, Identified Omnibus Segregated Clearing Client or Affiliated 

Omnibus Segregated Clearing Client (in an exercise of its rights under the relevant 

Security Deed or, in the case of such a client of a Defaulter who is an Exempt Client 

Clearing Member, following acceleration of the obligations of the Defaulter under its 

Undertaking to Pay andor Deliver, so that such obligations become immediately due 

and payable, and satisfaction of such obligations by the Clearing House enforcing the 

security granted in its favour by the Defaulter under the relevant Deed of Charge) 

instructs the Clearing House to pay an amount to it equal to the Client Clearing 

Entitlement due to be returned in respect of it to the Defaulter, the Clearing House 

shall seek to give effect to such instructions, subject to:

(a) the delivery by the relevant Clearing Client and/or, where applicable, 

execution by the relevant Clearing Client, of appropriate documentation as 

specified on the Clearing House's website from time to time (which may, 

without limitation, include an indemnity (secured or otherwise));

(b) in the case of any deduction made pursuant to (iii) in paragraph 9.1 of this 

Annex, the provision of appropriate documentation by or on behalf of the 

Defaulter; 

(c) in the case of an Affiliated Omnibus Net Segregated Clearing Client or an 

Identified Omnibus Net Segregated Clearing Client (for the purposes of this 

paragraph 9.2, the "relevant Omnibus Net Segregated Clearing Client") the 

delivery to the Clearing House by the relevant Omnibus Net Segregated 

Clearing Client of notification, setting out (to the satisfaction of the Clearing 

House, at its sole and absolute discretion and without the need for independent 

verification): (i) the identity of the relevant Omnibus Net Segregated Clearing 

Client; (ii) the relevant Omnibus Net Segregated Clearing Client's pro rata 

entitlement to the Collateral and amounts in respect of the close-out of 

Relevant Contracts held in the relevant Omnibus Segregated Account; and (iii) 

confirmation that the pro rata share referred to in (ii) has been agreed between 

the relevant Omnibus Net Segregated Clearing Client and all of the other 

Clearing Clients identified by the Clearing House as comprising the same

single Omnibus Segregated Account as the relevant Omnibus Net Segregated 

Clearing Client (for the purposes of this paragraph 9.2, each such other 

Clearing Client being a "relevant other Omnibus Net Segregated Clearing 

Client"); and 

(d) in the case of a relevant Omnibus Net Segregated Clearing Client, the delivery 

to the Clearing House by each of the relevant other Omnibus Net Segregated 

Clearing Clients in respect of that relevant Omnibus Net Segregated Clearing 

Client, of notification setting out the equivalent information in respect of the 

relevant other Omnibus Net Segregated Clearing Client as is required to be 

provided to the Clearing House in the notification described in paragraph (c) 

above in respect of a relevant Omnibus Net Segregated Clearing Client.
 

Default Rules - 30 - October September 2016

The Clearing House will determine in its sole and absolute discretion, in accordance 

with its default management procedures applicable to the Relevant Client Clearing 

Business and its risk management obligations, the period of time (the "Return 

Window") during which it will seek to give effect to instructions received from 

Clearing Clients in accordance with this paragraph 9.2. The Clearing House may 

determine a different Return Window in respect of each different type of Client 

Account opened by the Defaulter with the Clearing House (where Individual 

Segregated Accounts, Custodial Segregated Accounts, Omnibus Gross Segregated 

Accounts, Identified Client Omnibus Net Segregated Accounts and Affiliated Client 

Omnibus Net Segregated Accounts are each a different "type of Client Account") and 

will publish each such Return Window on its website. Any Client Clearing 

Entitlement which has not been paid by the Clearing House to the relevant Clearing 

Client in accordance with this paragraph 9.2 by the time of the expiry of the relevant 

Return Window shall instead be paid to the Defaulter for the account of the relevant 

Clearing Client in accordance with paragraph 9.1 above. 

9.3 In the case of the Non-Identified Omnibus Segregated Clearing Clients of a Defaulter, 

the Clearing House shall calculate the aggregate entitlement to Collateral and amounts 

in respect of the close-out of Relevant Contracts (the "Aggregate Omnibus Client 

Clearing Entitlement") of the Defaulter in respect of all such clients collectively 

reflecting (a) the addition of any sums due from the Clearing House in respect of the 

close-out of the Relevant Contracts entered into by the Defaulter in respect of the 

relevant clients and (b) the deduction of (i) the costs of any hedging undertaken; (ii) 

amounts required to discharge all obligations owed to the Clearing House relating to 

Relevant Contracts entered into by the Defaulter in respect of the relevant client (in 

the case of Relevant Auction Contracts, such amounts, together with the amounts

referred to in (a) and the costs referred to in (b)(i) of this paragraph 9.3, being 

determined by the Clearing House under the processes provided for by the Rates 

Service DMP Annex, the ForexClear DMP Annex or the RepoClear DMP Annex (as 

applicable)); (iii) any amounts to be deducted to reflect the operation of any set-off 

provision contained in a Clearing Agreement entered into between the Defaulter and 

any such relevant client and confirmed in writing to the Clearing House by or on 

behalf of both such parties; and (iv) amounts required to discharge all obligations 

owed to the Clearing House relating to Relevant Contracts entered into by the 

Defaulter in respect of the other Non-Identified Omnibus Segregated Clearing Clients 

of the Defaulter, in each case allocated pro rata as the Clearing House sees fit in its 

sole discretion. All amounts calculated in respect of Aggregate Omnibus Client 

Clearing Entitlements under this paragraph 9.3 shall be paid by the Clearing House to 

the Defaulter for the account of the relevant clients. 

10. Risk Neutralisation and the auction process relating to the Relevant Auction Contracts 

which are SwapClear Contracts and/or Listed Interest Rates Contracts shall be 

conducted in accordance with the provisions of the Rates Service DMP Annex, save 

that no hedging shall be undertaken in respect of any Relevant Contract relating to 

Rates Service Client Clearing Business until such time as the Clearing House has 

determined that the Relevant Contract in question will not be ported, from which time 

such contract shall be a Relevant Auction Contract and included in a Portfolio in 

accordance with the terms of paragraph 2 of this Client Clearing Annex and the terms 

of such Rates Service DMP Annex.
 

Default Rules - 42 - October September 2016

(b) For each AIP, the resources shall be allocated as follows:

(i) the resources of the Defaulting SCM and of any Custodial Segregated 

Client of such Defaulter, which such resources shall comprise the 

following:

(A) in respect of a Defaulting SCM who is a SwapClear-Only 

Clearing Member: (i) the Margin Cover for the SwapClear 

Contracts of the Defaulting SCM available pursuant to Rule 

15(a) of the Default Rules at the time of the auction process 

notwithstanding the proviso in (ii) of Rule 15(a) of the Default 

Rules, treating such available Margin Cover as split into two 

separate amounts for these purposes – one in respect of Margin 

Cover delivered by the Defaulting SCM to the Clearing House 

in respect of SwapClear Contracts relating to the SwapClear 

Clearing House Business of such Defaulting SCM which will 

be allocated to AIPs relating to OTC Auction Portfolios 

containing SwapClear Contracts relating to SwapClear Clearing 

House Business of the Defaulting SCM, only; and the other in 

respect of Margin Cover delivered by the Defaulting SCM or 

any Custodial Segregated Client of such Defaulting SCM to the 

Clearing House in respect of SwapClear Contracts relating to 

the SwapClear Client Clearing Business of such Defaulting 

SCM which will be allocated to AIPs relating to OTC Auction 

Portfolios containing SwapClear Contracts relating to the 

SwapClear Client Clearing Business of the Defaulting SCM, 

only; and (ii) the SwapClear Contribution made by the 

Defaulting SCM available pursuant to Rule 15(b) of the Default 

Rules at the time of the auction process will be allocated to the 

AIPs based on the proportion that (a) the risk of the relevant 

OTC Auction Portfolio bears to (b) the aggregate of the risks 

(on an absolute basis) for all OTC Auction Portfolios; and 

(B) in respect of a Defaulting Joint Rates Service Clearing Member: 

(i) the Margin Cover relating to the SwapClear Contracts and 

the Listed Interest Rates Contracts of the Defaulting Joint Rates 

Service Clearing Member available pursuant to Rule 15(a) of 

the Default Rules at the time of the auction process but (1) 

taking into account (to the extent applicable) the utilisation of 

such Margin Cover pursuant to Rule 2.9(a)(i) and 2.9(b)(i) of 

this Annex; and (2) notwithstanding the proviso in (ii) of Rule 

15(a) of the Default Rules, treating such available Margin 

Cover as split into two separate amounts for these purposes –

one in respect of Margin Cover delivered by the Defaulting 

Joint Rates Service Clearing Member to the Clearing House in 

respect of SwapClear Contracts and Listed Interest Rates 

Contracts relating to the House Clearing Business of such 

Defaulting Joint Rates Service Clearing Member which will be 

allocated to AIPs relating to OTC Auction Portfolios containing 
 

Default Rules - 43 - October September 2016

SwapClear Contracts relating to SwapClear Clearing House 

Business of the Defaulting Joint Rates Service Clearing 

Member, only; and the other in respect of Margin Cover 

delivered by the Defaulting Joint Rates Service Clearing 

Member or any Custodial Segregated Client of such Defaulting 

Joint Rates Service Clearing Member to the Clearing House in 

respect of SwapClear Contracts and Listed Rates Contracts 

relating to the Client Clearing Business of such Defaulting 

Joint Rates Service Clearing Member which will be allocated to 

AIPs relating to OTC Auction Portfolios containing SwapClear 

Contracts relating to the SwapClear Client Clearing Business of 

the Defaulting Joint Rates Service Clearing Member, only; and 

(ii) the SwapClear Contribution and Listed Interest Rates 

Contribution made by the Defaulting Joint Rates Service 

Clearing Member available pursuant to Rule 15(b) of the 

Default Rules at the time of the auction process taking into 

account (to the extent applicable) the utilisation of such 

Contributions pursuant to 2.9(a)(ii) and 2.9(b)(ii) of this Annex, 

will be allocated to the AIPs based on the proportion that (a) 

the risk of the relevant OTC Auction Portfolio bears to (b) the 

aggregate of the risks (on an absolute basis) for all OTC 

Auction Portfolios;

(ii) the Capped Amount available in respect of the SwapClear Business of 

the Defaulting SCM pursuant to Rule 15(c) of the Default Rules 

(taking into account (to the extent applicable) the utilisation of such 

Capped Amount pursuant to Rule 2.9(a)(iii) and 2.9(b)(iii) of this 

Annex) will be allocated to the AIPs based on the proportion that (a) 

the risk of the relevant OTC Auction Portfolio bears to (b) the 

aggregate of the risks (on an absolute basis) for all OTC Auction 

Portfolios;

(iii) the Non-Defaulters' SwapClear Contribution of each Non-Defaulting 

SCM and the total value of the SwapClear Unfunded Contributions 

that would be callable but have not been called by the Clearing House 

from each such Non-Defaulting SCM in respect of the relevant Default 

in accordance with Rule S7 of the Default Rules (the "Potential

SwapClear Unfunded Contributions") will be allocated (taking into 

account (to the extent applicable) the utilisation of such SwapClear 

Contributions pursuant to Rule 2.9(a)(v) and 2.9(b)(v) of this Annex) 

between each AIP relating to an OTC Auction Portfolio in respect of 

which the relevant Non-Defaulting SCM has Resembling Contracts

based on the proportion that: (a) the risk of the Resembling Contracts 

of such SCM related to the relevant OTC Auction Portfolio bears to (b) 

the aggregate of the amounts calculated in (a) for all of the Resembling 

Contracts of such Non-Defaulting SCM; provided that where there is 

more than one OTC Auction Portfolio that corresponds to the same 

Resembling Contracts, the Non-Defaulters' SwapClear Contributions 

and Potential SwapClear Unfunded Contributions allocated to the AIP 

related to those Resembling Contracts will be further divided for the 
 

Default Rules - 58 - October September 2016

(i) first, by applying the Margin Cover for the SwapClear Contracts and 

the Listed Interest Rates Contracts of the Defaulting Joint Rates 

Service Clearing Member available pursuant to Rule 15(a) of the 

Default Rules, provided that in no circumstances will any such Margin 

Cover transferred by the Defaulting Joint Rates Service Clearing 

Member in respect of or any Custodial Segregated Client of such 

Defaulting Joint Rates Service Clearing Member in respect of

obligations arising on a Client Account be applied by the Clearing 

House in respect of any loss attributable to the Auction of a Basis 

Listed Rates Portfolio containing Listed Interest Rates Contracts 

attributable to the House Clearing Business of the Defaulting Joint 

Rates Service Clearing Member;

(ii) second, by recourse to the SwapClear Contribution and the Listed 

Interest Rates Contribution made by the Defaulting Joint Rates Service 

Clearing Member available pursuant to Rule 15(b) of the Default Rules;

(iii) third, by a payment of the Capped Amount available in respect of the 

Rates Service Business of the Defaulting Joint Rates Service Clearing 

Member pursuant to Rule 15(c) of the Default Rules, to the extent that 

such Capped Amount is not required to be utilised in respect of losses 

incurred by the Clearing House relating to Exchange Closed-out 

Contracts in accordance with Rule 2.8 of this Annex;

(iv) fourth, by recourse to the Non-Defaulters' SwapClear Contribution of 

each Non-Defaulting Joint Rates Service Clearing Member, not 

including, for these purposes, any part of such Non-Defaulters' 

SwapClear Contributions that reflects any SwapClear Unfunded 

Contributions deposited with the Clearing House pursuant to the 

relevant Default and allocated in the following order:

(A) between the Non-Defaulters' SwapClear Contributions of 

individual Non-Defaulting Joint Rates Service Clearing 

Members based on the proportion that: (a) the risk of the Listed 

Interest Rates Contracts of the relevant Joint Rates Service 

Clearing Member bears to (b) the aggregate of the amounts 

calculated in (a) for all of the Non Defaulting Joint Rates 

Service Clearing Members;

(B) where the value of the losses attributed to an individual NonDefaulting Joint Rates Service Clearing Member pursuant to 

sub-paragraph (A) above is greater than the value of the 

SwapClear Contribution of such Non-Defaulting Joint Rates 

Service Clearing Member, the relevant excess losses will be 

attributed to each Non-Defaulting Joint Rates Service Clearing 

Member to whom losses have been attributed pursuant to subparagraph (A) above and whose SwapClear Contribution 

exceeds the value of such attributed losses (each a 

"Participating Non-Defaulting Joint Rates Service Clearing 

Member") based on the proportion that: (a) the risk of the 

Listed Interest Rates Contracts of the relevant Joint Rates 
 

Default Rules - 61 - October September 2016

relevant SwapClear-Only Clearing Members in respect of the relevant 

Default in accordance with Rule S7 of Part A to the Rates Service 

Default Fund Supplement, allocated, for these purposes, between the 

called and callable SwapClear Unfunded Contributions of individual 

SwapClear-Only Clearing Members based on the proportion that the 

value of the relevant SwapClear Unfunded Contribution bears to the 

aggregate of the values of all such SwapClear Unfunded Contributions; 

(x) tenth, by recourse to the Listed Interest Rates Unfunded Contributions 

of each Non-Defaulting Joint Rates Service Clearing Member and the 

total value of the Listed Interest Rates Unfunded Contributions that 

would be callable but have not been called by the Clearing House from 

the relevant Non-Defaulting Joint Rates Service Clearing Members in 

respect of the relevant Default in accordance with Rule L5 of Part B to 

the Rates Service Default Fund Supplement, allocated, for these 

purposes, between the called and callable Listed Interest Rates 

Unfunded Contributions of individual Joint Rates Service Clearing 

Members based on the proportion that the value of the relevant Listed 

Interest Rates Unfunded Contribution bears to the aggregate of the 

values of all such Listed Interest Rates Unfunded Contributions; and

(xi) eleventh, by recourse to the Listed Interest Rates Unfunded 

Contributions of each Listed Interest Rates Clearing Member who is 

not a Joint Rates Service Clearing Member and the total value of the 

Listed Interest Rates Unfunded Contributions that would be callable 

but have not been called by the Clearing House from the relevant 

Listed Interest Rates Clearing Members in respect of the relevant 

Default in accordance with Rule L5 of Part B to the Rates Service 

Default Fund Supplement.

(b) Those losses incurred by the Clearing House as a result of the Auction of a 

Basis Portfolio of a Defaulting Joint Rates Service Clearing Member that 

relate to the close-out of the hedging contracts of the Defaulting Joint Rates 

Service Clearing Member included in the relevant Basis Portfolio will be met 

using resources in the following order: 

(i) first, by applying the Margin Cover for the SwapClear Contracts and 

for the Listed Interest Rates Contracts of the Defaulting Joint Rates 

Service Clearing Member available pursuant to Rule 15(a) of the 

Default Rules, provided that in no circumstances will any such Margin 

Cover transferred by the Defaulting Joint Rates Service Clearing 

Member or any Custodial Segregated Client of such Defaulting Joint 

Rates Service Clearing Member in respect of obligations arising on a 

Client Account be applied by the Clearing House in respect of any loss 

attributable to the Auction of a Basis Listed Rates Portfolio containing 

Listed Interest Rates Contracts attributable to the House Clearing 

Business of the Defaulting Joint Rates Service Clearing Member;

(ii) second, by recourse to the SwapClear Contribution and the Listed 

Interest Rates Contribution made by the Defaulting Joint Rates Service 

Clearing Member available pursuant to Rule 15(b) of the Default Rules;
 

Default Rules - 115 - October September 2016

Period; and (iii) any adjusted cap as may be agreed pursuant to paragraph (d) 

of this Rule CS4.

"Loss Distribution Day" means any business day in a Loss Distribution 

Period on which the Clearing House, in consultation with the Rates Service

DMG, prior to calling for Collateral in respect of margin on such business day, 

determines that the LCH Uncovered Loss for that business day is greater than 

zero.

"Loss Distribution Period" means the period from, but excluding, the day on

which a Default occurs with respect to a Rates Service Clearing Member to 

but excluding, (1) in the case of a Defaulting Rates Service Clearing Member 

who is an SCM, the earlier of: (i) the business day on which (a) the rights and 

obligations arising out of the Auction Portfolios of the Defaulting SCM are 

transferred to those SCMs which have successfully bid for such Auction 

Portfolios in Auctions, or, if any Default occurs with respect to any other SCM 

prior to the end of a Loss Distribution Period, the rights and obligations arising 

out of the Auction Portfolios of any subsequent Defaulting SCM are 

transferred to those SCMs who have successfully bid for such Auction 

Portfolios in Auctions and (b) all payments required to be made by such SCMs 

and/or the Clearing House in respect of such Auction(s) have been made in 

full; and (ii) any Loss Distribution Day in respect of which the Clearing House 

determines that the Rates Service Adjustment Amount for any Rates Service 

Clearing Member would be equal to or greater than the Loss Distribution Cap 

Amount for such Loss Distribution Day; and (2) in the case of a Defaulter who 

is a Listed Interest Rates Clearing Member but not an SCM, any Loss 

Distribution Day in respect of which the Clearing House determines that the 

Rates Service Adjustment Amount for any Rates Service Clearing Member 

would be equal to or greater than the Loss Distribution Cap Amount for such 

Loss Distribution Day.

"Margin Account" means: (i) for a Rates Service Clearing Member, each 

Proprietary Account, Individual Segregated Account, Custodial Segregated 

Account, Non-Identified Client Omnibus Net Segregated Account, Affiliated 

Client Omnibus Net Segregated Account, Identified Client Omnibus Net 

Segregated Account and Omnibus Gross Segregated Sub-Account; and (ii) for 

each FCM Clearing Member, the Proprietary Account and each FCM Client 

Sub-Account contained within such FCM Clearing Member’s FCM Omnibus 

SwapClear Client Account with LCH).

"Omnibus Gross Segregated Sub-Account" means the sub-account allocated 

to each individual Omnibus Gross Segregated Clearing Client or each set of 

Combined Omnibus Gross Segregated Clearing Clients within an Omnibus 

Gross Segregated Account for the purposes of recording SwapClear Contracts 

referable to each such individual client or group of clients.

"Payment Currency Adjustment to Cash Payment" means one or more 

Cash Gainer Payment Currency Adjustment to Cash Payment(s) and/or one or 

more Cash Loser Payment Currency Adjustment to Cash Payment(s).
 

Default Rules - 119 - October September 2016

relation to, each Default, as contemplated in accordance with Rules 15(a) to 

15(g) of the Default Rules.

(d) Adjustment to Loss Distribution Cap Amount

If, during a Loss Distribution Period, the Clearing House considers that the 

Cash Gainer Payment Currency Adjustment to Cash Payments applied to a 

particular Margin Account of a Rates Service Clearing Member are, or are 

about to be equal to or greater than the Loss Distribution Cap Amount, the 

Clearing House may propose an adjustment to such Loss Distribution Cap 

Amount. If agreed by all Non-Defaulting Rates Service Clearing Members, 

the Loss Distribution Cap Amount as adjusted pursuant to this paragraph (d)

shall be applicable for the remainder of the relevant Loss Distribution Period.

(e) No Rebate

The payment to the Clearing House by any Rates Service Clearing Member of 

any Cash Gainer Payment Currency Adjustment to Cash Payment shall be 

final and shall not give rise to any obligation of the Clearing House to repay 

any such amount or to pay any interest thereon.

(f) Application of any Recoveries

If the Rates Service Loss Distribution Process has been invoked by the 

Clearing House in accordance with this Rule CS4, the Clearing House shall 

reimburse the Rates Service Clearing Members (irrespective of whether they 

remain Rates Service Clearing Members at the time of the recovery) and the 

Clearing House on a pro rata basis by reference to the resources which have 

been applied pursuant to Rules 15(a) to 15(g) of the Default Rules and 

including the net amount of any one or more paid by the relevant Rates 

Service Clearing Members:’

(i) any amounts received from the Defaulting Rates Service Clearing 

Member as a result of the Clearing House being a creditor of the 

Defaulting Rates Service Clearing Member in respect of the Rates 

Service Business of such Defaulting Rates Service Clearing Member in 

the context of the occurrence of any of the events under Rules 5(i) to 

5(p) of the Default Rules in respect of the Defaulting Rates Service 

Clearing Member or otherwise, other than in respect of sums due to the 

Clearing House for its own account; or

(ii) any other amounts howsoever obtained or recovered in the course of 

the Clearing House's operation of the Rates Service Default 

Management Process or which are otherwise referable to the 

Defaulting Rates Service Clearing Member,

in each case net of any related expenses incurred by the Clearing House or 

other sums owing to the Clearing House by the Defaulting Rates Service 

Clearing Member in connection with the Rates Service Business of such 

Defaulting Rates Service Clearing Member. For the avoidance of doubt, (i)

nothing in this Rule CS4paragraph (f) shall oblige the Clearing House to 
 

Default Rules - 120 - October September 2016

pursue any litigation or other action in order to recover the amounts 

contemplated in Rule CS4(f)(i) and (ii) above and, if another default fund of 

the Clearing House has also been applied as a result of the Rates Service 

Clearing Member’s Default, any amounts recovered shall be applied pari 

passu as between the relevant default funds; and (ii) the amounts in Rule 

CS4(f)(i) and (ii) exclude any Client Collateral and any proceeds of the sale, 

disposition or other realisation of such Client Collateral by the Clearing 

House.

CS5. Voluntary Payments

Where, after the Default of one or more Rates Service Clearing Members, the 

Clearing House determines that, notwithstanding the availability of any resources 

remaining under Rules 15(a) to 15(g) of the Default Rules and the availability of the 

Rates Service Loss Distribution Process in accordance with the terms of Rule CS4, it 

is clear that the Clearing House does not have sufficient resources to meet its 

obligations and liabilities arising in respect of those Rates Service Contracts to which 

it is party with Non-Defaulting Rates Service Clearing Members, the Clearing House 

will by notice in writing (a "Rates Service Voluntary Payment Notice"): (i) inform 

all Non-Defaulting Rates Service Clearing Members that it has insufficient resources 

and that it is likely to invoke Rule CS5; and (ii) invite each Non-Defaulting Rates 

Service Clearing Member to make a payment of funds (a "Rates Service Voluntary 

Payment"), in accordance with Rule 15(g) of the Default Rules, to make up for the 

relevant shortfall.

Rates Service Voluntary Payments will be made on the following terms:

(a) no Rates Service Clearing Member shall be obliged to make a Rates Service 

Voluntary Payment;

(b) any Rates Service Voluntary Payment will be made by a Rates Service 

Clearing Member by the close of business on the business day after receipt 

of the relevant Rates Service Voluntary Payment Notice;

(c) no Rates Service Voluntary Payment may be withdrawn once made; and

(d) the Clearing House shall have full discretion as to whether or not to accept 

a particular Rates Service Voluntary Payment.

Any failure by the Clearing House to deliver a Rates Service Voluntary Payment 

Notice pursuant to this Rule CS5 will not invalidate any action taken by the Clearing 

House pursuant to Rule CS5 nor give rise to any liability whatsoever on the part of the 

Clearing House.

Any Rates Service Voluntary Payments remaining unused at the time of the expiry of 

the relevant Rates Service Default Period will be accounted for rateably by the 

Clearing House as if they were amounts paid in respect of the Rates Service 

Contributions of those Rates Service Clearing Members from which Rates Service 

Voluntary Payments were accepted.
 

Default Rules - 121 - October September 2016

CS6. Rates Service Closure

Where, following the process for inviting Rates Service Voluntary Payments in 

accordance with Rule CS5, the Clearing House makes a determination (an 

"Insufficient Resources Determination") that it is clear that the Clearing House does 

not have sufficient resources to meet its obligations and liabilities arising in respect of 

those Rates Service SwapClear Contracts to which it is party with Non-Defaulting 

Rates Service Clearing Members, and the provisions of this Rule shall have effect.

(a) All outstanding Rates Service Contracts shall be closed out as of the business 

day following the date of the Insufficient Resources Determination and any 

further obligations to make any payments under or in respect of such Rates 

Service Contracts shall cease. The closing prices used shall be prices 

calculated by the Clearing House in accordance with the methodology used by 

it to carry out end of day margin runs in respect of the outstanding Rates 

Service Contracts. Where such data is not available to the Clearing House, the 

closing price shall be the last price used by the Clearing House to calculate the 

variation margin obligation for the position to be closed out.

(b) On the basis of the close out values established for each outstanding Rates 

Service Contract, an account shall be taken (as at the time of close out) of 

what is due in respect of each Rates Service Clearing Member, from that Rates 

Service Clearing Member to the Clearing House and from the Clearing House 

to that Member, as well as all other amounts owing under or in respect of such 

Rates Service Contracts and any other amounts that may be due in respect of 

the Rates Service (including for these purposes, a proportionate share of any 

amounts owed generally to or from the Clearing House), and the sums due 

from the Rates Service Clearing Member shall be set off against the sums due 

from the Clearing House and only the balance of the account shall be payable. 

Amounts due in respect of such Rates Service Contracts shall include, but 

shall not be limited to, returns of cash Collateral provided in respect of 

variation margin associated therewith and the repayment of any Net Cash 

Gainer Currency Adjustment to Cash Payments made in the Rates Service 

Default Period to which the Insufficient Resources Determination relates (and 

in respect of which Rule CS4(e) shall be specifically disapplied), but shall 

exclude (i) the repayment of any cash Collateral provided to the Clearing 

House by a Rates Service Clearing Member in respect of initial margin, (ii) the 

repayment of any cash Collateral provided to the Clearing House by a 

Custodial Segregated Client, or (iii) any outstanding Rates Service 

Contributions.

To the extent that the aggregate of all of the amounts owed to the Clearing 

House by Rates Service Clearing Members plus all of those other resources 

applicable to the Rates Service Business under Rules 15(a) to 15(g) of the 

Default Rules that have not been applied towards an Excess Loss is less than 

the aggregate of the amounts owed to Rates Service Clearing Members by the 

Clearing House, each amount owed to Rates Service Clearing Members by the 

Clearing House shall be reduced pro rata the shortfall.

(c) The Clearing House shall determine any amounts due to each Rates Service 

Clearing Member in respect of the repayment of cash Collateral provided in 
LCH Rule Submission

Appendix D

Procedures Section 2C (SwapClear Clearing Service)
LCH.CLEARNET LIMITED

PROCEDURES SECTION 2C

SWAPCLEAR CLEARING SERVICE
Clearing House Procedures SwapClear Service 

LCH.Clearnet Limited © 2016 - i - October September 2016

CONTENTS

Section Page

1. Swapclear Clearing Service...............................................................................................1

1.1 The Clearing Process.............................................................................................1

1.2 Operating Times and Calendars............................................................................4

1.3 Registration ...........................................................................................................4

1.4 Proprietary Accounts and Client Accounts.........................................................18

1.5 Position Accounts................................................................................................19

1.6 Collateral Accounts.............................................................................................20

1.7 Variation Margin and NPV Payments.................................................................21

1.8 Coupon Payments................................................................................................24

1.9 Initial Margin.......................................................................................................41

1.10 Tenor Basis Risk Margin Add-on .......................................................................44

1.11 Intra-Day Margin Call: Collateral Management ................................................44

1.12 Price Alignment Interest (PAI) Rate ...................................................................44

1.13 Transfer of SwapClear Contracts between Client Accounts and Proprietary 

Accounts..............................................................................................................44

1.14 Indirect Clearing..................................................................................................45

1.15 Portfolio Transfers (BAU)...................................................................................47

1.16 Compression........................................................................................................56

1.17 Duo Compression................................................................................................58

1.18 Cleared Trade Removal Agreement ....................................................................58

1.19 Amendment of Trade References........................................................................58

1.20 Trade Reference Amendment Request Form ......................................................58

1.21 SwapClear STM Contracts and SwapClear CTM Contracts – Elections and 

Conversions.........................................................................................................60

1.22 SwapClear Client Clearing..................................................................................61

1.23 Early Termination Events....................................................................................63

1.24 Termination of SwapClear Dealer Status............................................................64

1.25 Payment of Stamp Tax ........................................................................................64

1.26 Section 168, Finance Act 1994............................................................................64

1.27 Default Management ...........................................................................................65

1.28 Provision of Tax Forms.......................................................................................73

1.29 Approved Compression Services Providers........................................................74

1.30 Provision of Market Data ....................................................................................74

2. PORTFOLIO MARGINING SERVICE.........................................................................79
Clearing House Procedures SwapClear Service 

LCH.Clearnet Limited © 2016 - ii - October September 2016

2.1 Introduction .........................................................................................................79

2.2 Opt-In Procedure .................................................................................................79

2.3 PM Eligibility Criteria.........................................................................................81

2.4 Eligible Accounts................................................................................................81

2.5 Portfolio Margining Arrangements.....................................................................82

2.6 Portfolio Margining Reports ...............................................................................84

Schedule 1 Swapclear Processing Schedule ............................................................................85

Schedule 2 Swapclear Clearing Client – Partial Transfer Form..............................................86

Schedule 3 Swapclear Clearing Client – Full Transfer Form..................................................89

Schedule 4 Swapclear Clearing Client Transfer – Carrying Clearing Member Response Form

.........................................................................................................................................92

Schedule 5 Confidentiality, Non-Disclosure and Participation in the Default Management 

Group...............................................................................................................................94
Clearing House Procedures SwapClear Service 

LCH.Clearnet Limited © 2016 - 1 - September October 2016

1. SWAPCLEAR CLEARING SERVICE

1.1 The Clearing Process

The SwapClear Service is an interface that processes and stores all SwapClear 

Transactions received from an Approved Trade Source System.

Those authorised by the Clearing House to submit trades for clearing in the 

SwapClear Service fall into two categories – SwapClear Clearing Members (SCMs) 

and SwapClear Dealers (SDs). SCMs are clearing members who have applied and 

have been accepted by the Clearing House to clear in the SwapClear Service. SDs are 

not clearing members but have met the criteria for registration as a SwapClear Dealer 

and have entered into a SwapClear Dealer Clearing Agreement with an SCM and the 

Clearing House. Subject to obtaining approval from the Clearing House's Membership 

Department an SCM may offer certain SwapClear Client Clearing Services to its 

clients (SwapClear Clearing Clients). SwapClear Client Clearing Services are 

provided to SwapClear Clearing Clients through an Individual Segregated Account, a 

Custodial Segregated Account or an Omnibus Segregated Account. SCMs should 

contact the Clearing House's Membership Department for further details of the 

SwapClear Client Clearing Service and the Clearing House's approval process (+44 

(0)20 7426 7949; membership@lchclearnet.com).

Only SwapClear Clearing Members are authorised by the Clearing House to submit 

trades for clearing in the SwapClear Clearing System.

An SCM Branch must always be the same legal entity as the SCM and, subject to 

authorisation by the Clearing House, it may present SwapClear Transactions to the 

Clearing House, for registration as SwapClear Contracts in the name of the SCM, 

using its own BIC code.

Therefore, where a SwapClear Transaction is presented for clearing by an SCM 

Branch, it is deemed to have been presented by, and in the name of, the SCM of 

which it is part for registration.

1.1.1 SwapClear Service Functions

The following functions are performed within the SwapClear Service:

(a) processing and settlement of coupon payments;

(b) processing and settlement of consideration (fee) payments;

(c) calculation of initial and variation margin requirements;

(d) calculation of the net present value of SwapClear Transactions;

(e) calculation of the cumulative net present value of certain SwapClear 

Transactions;

(f) calculation of MER requirements and SwapClear Tolerance Limits; 

(g) calculation of price alignment interest and price alignment amounts;
Clearing House Procedures SwapClear Service 

LCH.Clearnet Limited © 2016 - 10 - September October 2016

the relevant registration of a SwapClear Contract where SwapClear Tolerance

was utilised.

Any failure of a SwapClear Clearing Member to satisfy a call for Collateral

relating to SwapClear Tolerance may give rise to a Default by such SwapClear 

Clearing Member, just as any failure by a SwapClear Clearing Member to 

satisfy any other call for Collateral may give rise to a Default.

Minimum Excess Requirement (“MER”)

The Clearing House has put in place arrangements (the "MER Arrangements")

(which will be optional for SwapClear Clearing Members) under which it will 

be able to call from each relevant SwapClear Clearing Member an amount of 

Collateral (the “MER Cover”) in respect of that SwapClear Clearing 

Member’s potential margin requirements (with respect to the registration of 

SwapClear Contracts) for the following day. 

The Clearing House will calculate MER for each SwapClear Clearing Member 

using the same methodology and will publish such methodology to SwapClear 

Clearing Members. The Clearing House will provide 30 days' notice before 

implementing any changes to the methodology used for calculating MER. 

SwapClear Clearing Members are not required to participate in the MER 

Arrangements unless and until they elect to do so. In the event that a 

SwapClear Clearing Member wishes to change its participation status (the 

"Participation Status") from opting in to the MER Arrangements to opting out 

or vice versa it should contact the Clearing House to request applicable 

documentation (swapclear.clientservices@lchclearnet.com). Changes in 

Participation Status are processed at the end of each month. All relevant 

documentation must be completed and returned to the Clearing House no later 

than 5 Business Days prior to the end of the month preceding the month to 

which the change in Participation Status applies. A SwapClear Clearing 

Member’s Participation Status will remain unchanged until the Business Day 

following the day that the Clearing House confirms via email that the change 

in Participation Status has been processed. The Clearing House shall be 

entitled to treat the Participation Status of a SwapClear Clearing Member as 

continuing unchanged from month to month until such time as appropriate 

notice is received from such SwapClear Clearing Member and processed by 

the Clearing House in accordance with the provisions of this paragraph.

Any MER Cover delivered by a SwapClear Clearing Member will form part of 

the Clearing Member Current Collateral Balance of that SwapClear Clearing 

Member. SwapClear Clearing Members participating in the MER 

Arrangements will be called for MER Cover separately in respect of their

Proprietary Account related to SwapClear Clearing House Business and/or

their Client Account related to SwapClear Client Clearing Business. 

However, such MER Cover will not be regarded as Required Collateral, or 

form part of any Account Balance or be deemed to form part of the Clearing 

Member Current Collateral Balance in respect of any SwapClear Clearing 

Client, of any Individual Segregated Account, a Custodial Segregated Account

or Omnibus Net Segregated Account unless such MER Cover has been 
Clearing House Procedures SwapClear Service 

LCH.Clearnet Limited © 2016 - 11 - September October 2016

attributed to any such account by the Clearing House in accordance with this 

section. 

For the avoidance of doubt, failure to deliver MER Cover when required by 

the Clearing House will constitute a breach of these Procedures and the 

Regulations. 

In relation to the registration of a SwapClear Contract on behalf of a 

SwapClear Clearing Client, the Clearing House shall determine if there is 

sufficient Collateral to enable such registration. If the SwapClear Clearing 

Member has not transferred sufficient Collateral to the Clearing Member to 

enable the registration of such SwapClear Contract, the Clearing House will 

determine whether there is any unutilised MER Cover related to SwapClear 

Client Clearing Business and, if so, will attribute the relevant part of such 

MER Cover to the relevant Individual Segregated Account, Custodial 

Segregated Account or Omnibus Net Segregated Account. In this context, the 

attribution of the MER Cover to the relevant Individual Segregated Account, 

Custodial Segregated Account or Omnibus Net Segregated Account means 

that it will be recorded as Collateral held in relation to such account and shall 

be treated as part of the Clearing Member Current Collateral Balance of such 

account.

At each end of day margin run, the Clearing House will recalculate and call, 

on an account by account basis, required Collateral in respect of the MER

requirements of each SwapClear Clearing Member currently participating in 

the MER Arrangements.

In accordance with Section 1.3.5 of these Procedures, it is a condition for 

registration of a SwapClear Contract that the applicable SwapClear Clearing 

Member transfers sufficient Collateral to the Clearing House in respect of such 

SwapClear Contract prior to registration.

1.3.4 Approved Trade Source Systems and US Trading Venues

(a) Approved Trade Source Systems

Application for approved trade source system status shall be made in 

accordance with the policies published from time to time on the Clearing 

House's website. A list of Approved Trade Source Systems currently 

approved by the Clearing House is available on the Clearing House's website. 

Where the Clearing House approves additional Approved Trade Source 

Systems, it will notify SwapClear Clearing Members via a member circular.

SwapClear Transactions presented through an Approved Trade Source System 

must be in an acceptable message format, as prescribed by the Clearing House.

Notwithstanding the designation by the Clearing House of any system as an 

Approved Trade Source System, the Clearing House makes no warranty (and 

will accept no liability) as to the effectiveness, efficiency, performance or any 

other aspect of the services provided by any Approved Trade Source System 

or the timeliness or otherwise of the delivery of any SwapClear Transaction 
Clearing House Procedures SwapClear Service 

LCH.Clearnet Limited © 2016 - 17 - September October 2016

not at the time of the execution of such trade been approved by the Clearing 

House as a US Trading Venue) or which contain invalid or incomplete 

message data or with respect to which the Clearing House has not received 

sufficient Collateral (taking into account MER, Client Buffer and/or 

SwapClear Tolerance, if any) will be rejected, except that such Collateral shall 

not be required to be provided prior to registration as a condition to the 

registration of such trade only if such trade is a Sub-Block US Trading Venue 

Transaction. If, at any time, the Clearing House does not register a trade 

presented for registration it will send to the originating Approved Trade 

Source System notification of the rejection.

1.3.9 Package Transactions

In certain circumstances a SwapClear Clearing Member may, via an Approved 

Trade Source System, present to the Clearing House, in a single submission, a 

group of two or more SwapClear Transactions for simultaneous registration 

(such group of SwapClear Transactions being a “Package Transaction”). A 

Package Transaction must be identified to the Clearing House at the time of its 

presentation in the format prescribed by the Clearing House. Where the 

Package Transaction is not presented in the prescribed format, each 

constituent SwapClear Transaction within the Package Transaction will be 

rejected.

Where the Clearing House receives a Package Transaction for registration it 

shall treat each SwapClear Transaction that forms part of the Package 

Transaction as a new SwapClear Transaction in accordance with the Rulebook 

and, where each constituent SwapClear Transaction within the Package 

Transaction meets the registration requirements as set out in the Rulebook 

(including a Necessary Consent and the provision of Collateral, where 

applicable), the Clearing House will simultaneously register all of the 

SwapClear Transactions within that Package Transaction. Where one or more 

of the constituent SwapClear Transactions does not meet the Clearing House’s 

registration requirements then all the constituent SwapClear Transactions of 

the Package Transaction shall be rejected.

Where a constituent SwapClear Transaction of a Package Transaction is a US 

Trading Venue Transaction, it is a condition of registration that all of the 

constituent SwapClear Transactions of such Package Transaction be US 

Trading Venue Transactions; where such condition is not met, all constituent 

SwapClear Transactions of the Package Transaction will be rejected. In 

respect of a Package Transaction comprising SwapClear Transactions that are 

not executed on any US Trading Venue, the Clearing House will send a

Notification to the relevant SwapClear Clearing Member(s) for the acceptance 

of each such constituent SwapClear Transaction. 

In respect of a Package Transaction submitted in a SwapClear Clearing 

Member’s name, such SwapClear Clearing Member’s Mmargin requirement 

will be assessed based on the net Mmargin call for all of the constituent

SwapClear Transactions of such Package Transaction. Where one or more of 

the constituent SwapClear Transactions in a Package Transaction is not a SubBlock US Trading Venue Transaction then the relevant SwapClear Clearing 
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Member is required to provide the Clearing House with sufficient Collateral 

prior to registration of the entire Package Transaction as a condition thereto 

(taking into account available SwapClear Tolerance, if any). 

The Clearing House may limit the number of SwapClear Transactions that 

may be included in a Package Transaction by way of member circular.

1.4 Proprietary Accounts and Client Accounts

1.4.1 Proprietary Accounts

A SwapClear Clearing Member may request that the Clearing House opens 

one or more Proprietary Accounts in respect of its House Clearing Business. 

Each Proprietary Account will map to two or more sub-accounts:

(a) a position account; and

(b) one or more collateral accounts (including, where relevant, a Client 

Buffer Account).

1.4.2 Client Accounts

(a) Types of Client Account

Subject to Regulation 11 (Client Clearing Business) of the General 

Regulations and Section 1.21 below, a SwapClear Clearing Member 

may request that the Clearing House opens, in respect of its Client 

Clearing Business, one or more:

(i) Individual Segregated Accounts;

(ii) Custodial Segregated Accounts;

(ii)(iii) Non-Identified Client Omnibus Net Segregated Accounts;

(iii)(iv)Identified Client Omnibus Net Segregated Accounts; 

(iv)(v) Affiliated Client Omnibus Net Segregated Accounts; and/or

(v)(vi) Omnibus Gross Segregated Accounts.

(b) Each Client Account will map to two sub-accounts:

(i) a position account; and

(ii) a collateral account.
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Any request for the Clearing House to approve an agent or designee for 

the purposes of this Section 1.5.2 must be made in writing and using 

the Clearing House’s standard documentation. Through making a 

request, an SCM is deemed to represent and warrant that the individual 

making the request is appropriately authorized to do so.

1.6 Collateral Accounts

Clearing Member position accounts have collateral accounts associated with them. 

These are, inter alia, used to record cash balances and securities. Information 

contained within a position-keeping account is consolidated with the associated 

collateral account, as follows:

1.6.1 Relationship with Position-Keeping Accounts and Collateral Accounts

Position-keeping Account Collateral Account

H Proprietary H

C Client C

Each client "C" position-keeping account and the client "C" collateral account 

of an SCM may hold any number of segregated sub-accounts. Each Individual 

Segregated Account of the SCM will map onto one such segregated subaccount in the client "C" position-keeping account and one such segregated 

sub-account in the client "C" collateral account, each Custodial Segregated 

Account of the SCM will map onto one such segregated sub-account in the 

client "C" position-keeping account and one such segregated sub-account in 

the client "C" collateral account, and each Omnibus Segregated Account will 

map onto one such segregated sub-account in the client "C" position-keeping 

account and one such segregated sub-account in the client "C" collateral 

account.

In the case of Omnibus Gross Segregated Accounts, the relevant segregated 

sub-accounts of the client "C" collateral account and "C" position-keeping 

account will be further segregated into sub-accounts for each Omnibus Gross 

Segregated Clearing Client or, where applicable, a group of Combined 

Omnibus Gross Segregated Clearing Clients together. 

1.6.2 Further accounts

At the Clearing House's discretion, further accounts may be opened from time 

to time.

1.6.3 Client Excess

A Clearing Member can transfer Client Excess in accordance with Section 

1.10 of Procedure 4 (Margin and Collateral).
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1.6.4 Default Fund (DF) Account

Each SCM's Default Fund Contribution is held on a separate account. The DF 

account code is "F".

1.7 Variation Margin and NPV Payments

All SwapClear Transactions will, on submission to the Clearing House, be marked-tomarket using the Clearing House's zero coupon yield curves. In accordance with 

Regulation 57 (Collateralisation of SwapClear CTM Contracts) and Regulations 57A

(Settlement of SwapClear STM Contracts and Conversion to SwapClear STM 

Contract), the Clearing House will use these curves to calculate the net present value 

of the SwapClear Transaction to the Clearing House or, as the case may be, to an 

SCM.

In respect of each SwapClear Transaction that is settled-to-market daily in accordance 

with Regulations 57A, the obligation of either the relevant SCM or the Clearing 

House to pay to the other an amount in respect of the change in the net present value 

of a SwapClear Transaction shall, for the purposes of this Procedure, be referred to as 

the “NPV Payment”.

A single separate calculation in respect of the variation margin and/or NPV Payment 

owed by or to the relevant SCM shall be performed for (i) an SCM's Proprietary 

Accounts and (ii) for each Individual Segregated Client Account, Custodial 

Segregated Account and Omnibus Segregated Account (other than an Affiliated 

Client Omnibus Gross Segregated Account). 

In respect of each Omnibus Gross Segregated Clearing Client (other than a Combined 

Omnibus Gross Segregated Clearing Client) a single separate calculation in respect of 

the variation margin and/or NPV Payments owed by or to the relevant SCM shall be

performed in respect of the SwapClear Contracts entered into by the relevant SCM on 

behalf of such Omnibus Gross Segregated Clearing Client. 

In respect of a group of Combined Omnibus Gross Segregated Clearing Clients a 

single separate calculation in respect of the variation margin and/or NPV Payments 

owed by or to the relevant SCM shall be performed in respect of SwapClear Contracts 

entered into by the relevant SCM on behalf of such Combined Omnibus Gross 

Segregated Clearing Clients.

No offset between the "C" and the "H" accounts is allowed and, (except (i) pursuant 

to Rule 8(d) of the Default Rules or any Insufficient Resources Determination Rule, 

or (ii) in relation to the transfer of House Excess or Client Buffer in accordance with 

the Rulebook) and a Cross-ISA Client Excess Deduction, no offset is allowed 

between any Client Accounts is allowed (except pursuant to Rule 15(a)(ii) of the 

Default Rules, a Cross-ISA Client Excess Deduction or any Insufficient Resources 

Determination Rule).

Collateral and/or NPV Payments (as applicable) that are provided pursuant to this 

Procedure must, subject to intra-day registration, be in the form of cash in the 

currency of the SwapClear Transaction. Where a SwapClear Transaction is registered 

intra-day, and the variation margin obligation and/or NPV Payment obligations (as 
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Kingdom”, or relevant Successor Index, measuring the all items 

rate of inflation in the United Kingdom expressed as an index 

and published by the relevant Index Sponsor. The first 

publication or announcement of a level of such index for a 

Reference Month shall be final and conclusive and later 

revisions to the level for such Reference Month will not be 

used in any calculations.

(iv) “USA – Non-revised Consumer Price Index – Urban (CPI-U)” 

means the “Non-revised index of Consumer Prices for All 

Urban Consumers (CPI-U) before seasonal adjustment”, or 

relevant Successor Index, measuring the rate of inflation in the 

United States expressed as an index and published by the 

relevant Index Sponsor. The first publication or announcement 

of a level of such index for such Reference Month shall be final 

and conclusive and later revisions to the level for such 

Reference Month will not be used in any calculations.

1.8.14 Index Final

The Clearing House will calculate the Index Final by taking the relevant Index 

level for the applicable Reference Month. In the event of no Index being 

available the Clearing House will, at its sole discretion, determine a value for 

the Index level.

1.9 Initial Margin

The Clearing House will require SCMs to transfer Collateral in respect of their initial 

margin obligations, which are not discharged. This amount will be determined by the 

prevailing market conditions and the expected time to close out the portfolio. The 

Portfolio Approach to Interest Rate Scenarios (PAIRS) will be used to calculate initial 

margin requirements for SwapClear Contracts.

Separate initial margin calculations are performed for an SCM's Proprietary Accounts 

and for each Individual Segregated Client Account, Custodial Segregated Account

and Omnibus Segregated Account (other than an Affiliated Client Omnibus Gross 

Segregated Account). In respect of each Omnibus Gross Segregated Clearing Client 

(other than a Combined Omnibus Gross Segregated Clearing Client) separate initial 

margin calculations are performed in respect of the SwapClear Contracts entered into 

by the relevant SCM on behalf of such Omnibus Gross Segregated Clearing Client. In 

respect of a group of Combined Omnibus Gross Segregated Clearing Clients a single 

initial margin calculation is performed in respect of SwapClear Contracts entered into 

by the relevant SCM on behalf of such Combined Omnibus Gross Segregated 

Clearing Clients.

No offset between the "C" and the "H" accounts is allowed (and, except (i) pursuant 

to a Cross-ISA Client Excess Deduction Rule 8(d) of the Default Rules or any 

Insufficient Resources Determination Rule, or (ii) in relation to the transfer of House 

Excess or Client Buffer in accordance with the Rulebook) and, no offset is allowed 

between any Client Accounts is allowed (except pursuant to Rule 15(a)(ii) of the 
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Default Rules, a Cross-ISA Client Excess Deduction or any Insufficient Resources 

Determination Rule).

1.9.1 Margin Parameters

The Clearing House Risk Management Department uses appropriate yield 

curve scenarios, both in terms of shape and magnitude of movement, to 

capture potential losses based on an observed history - the primary component 

of the initial margin calculation. These scenarios will be continually 

monitored and reviewed periodically or on an ad hoc basis according to 

market conditions. However, in accordance with the Regulations, the Clearing 

House retains the right at its discretion to vary the rates for the whole market 

or for a specific SCM's Proprietary Account and/or Client Accounts.

1.9.2 Counterparty Risk Multiplier

Where a risk multiplier is applied to an SCM that has SwapClear Clearing 

Clients, that multiplier will be applied only to SwapClear Clearing Clients that 

have no Backup Clearing Member.

The Clearing House reserves the right to require additional amounts of 

Collateral from a specific SCM or from all SCMs in accordance with 

Regulation 20 (Margin and Collateral).

1.9.3 Liquidity Multiplier

Risk Management apply a liquidity multiplier based on scenario values

exceeding certain thresholds on the SCM's whole portfolio and individual 

currencies. The threshold amounts and multipliers are reviewed on an ongoing 

basis. 

1.9.4 Intra-day Margin Calls

In accordance with the Regulations, the Clearing House is entitled, where 

considered necessary, to demand that a Clearing Member transfer additional 

Collateral to the Clearing House the same day (intra-day margin calls). Intraday margin calls can be made at any time throughout the business day (08:30 

to 21:00 hours London time). Intra-day margin calls will usually be made via 

the Protected Payments System (PPS) (see Section 1.11).

In certain circumstances the Clearing House may require a Clearing Member 

to transfer additional cash Collateral to the Clearing House after the closure of 

London PPS facilities at 16:00 hours London time. In this event the Clearing 

House will require payment of additional cash Collateral through PPS 

facilities in the USA (see Section 1.3 of Procedure 3 (Financial 

Transactions)). Members must ensure, in these circumstances, that they 

are in a position to comply with such demands through their nominated 

US PPS account within one hour of the demand.

1.9.5 Calculation of Initial Margin

(a) Portfolio Approach to Interest Rate Scenarios (PAIRS)
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(v) The SwapClear Clearing Members on either side of the trades 

(which may include an FCM SwapClear Clearing Member (as 

defined in the FCM Rulebook)) are advised of the economic 

details of the IMMES Trades, and their respective identities and 

contact details.

(vi) The SwapClear Clearing Members may but are not required to 

enter into the IMMES Trades. Any IMMES Trades entered into 

must be submitted to the Clearing House for registration.

1.9.7 Collateral for Stress Loss Exposure

(i) In response to a request from a SwapClear Clearing Member, 

the Clearing House may, in its sole discretion, require 

additional Collateral to cover such SwapClear Clearing 

Member’s stress loss exposure with respect to a Client Account.

1.10 Tenor Basis Risk Margin Add-on

An add-on margin requirement will be applied in respect of tenor basis risk.

1.11 Intra-Day Margin Call: Collateral Management

The methods for covering intra-day margin calls are set out in Section 1.11 of 

Procedure 4 (Margin and Collateral). 

1.12 Price Alignment Interest (PAI) Rate

The calculation of PAI and Price Alignment Amount shall use the applicable interest 

rate specified and published on the Clearing House's website. 

The Clearing House shall not change the interest rates used for the calculation of PAI

and Price Alignment Amount in respect of USD, EUR, GBP, JPY and CHF without 

the consent of all SwapClear Clearing Members holding open contracts in such 

currencies.

1.13 Transfer of SwapClear Contracts between Client Accounts and Proprietary 

Accounts

1.13.1 If at any time an early termination date (howsoever described) occurs in 

respect of one or more of the transactions between a SwapClear Clearing 

Member and a SwapClear Clearing Client in respect of which such SwapClear 

Clearing Member (i) is a party to Related SwapClear Contracts and (ii) at the 

time of such early termination date, is not a Defaulting SCM, that SwapClear 

Clearing Member may instruct the Clearing House to transfer the relevant 

Related SwapClear Contracts from its Client Account to its Proprietary 

Account.

For the purposes of this Section 1.13.1 below a "Related SwapClear 

Contract" means, in respect of a transaction between a SwapClear Clearing 

Member and a SwapClear Clearing Client which has been terminated on an 

early termination date, the open position represented by the SwapClear 
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Contract entered into with the Clearing House by such SwapClear Clearing 

Member on behalf of the relevant SwapClear Clearing Client on equal and 

opposite terms to such transaction.

A transfer pursuant to this Section 1.13.1 will be subject to receipt by the 

Clearing House of the following:

(a) a copy of the notice from the relevant SwapClear Clearing Member to 

the relevant SwapClear Clearing Client or from the relevant 

SwapClear Clearing Client to the relevant SwapClear Clearing 

Member designating the relevant early termination date or, if such 

early termination date has occurred automatically, evidence of the 

relevant event of default or termination event;

(b) a copy of a notice served by the relevant SwapClear Clearing 

Member on the relevant SwapClear Clearing Client alerting that 

SwapClear Clearing Client of its intention to request a transfer of the 

relevant Related SwapClear Contracts pursuant to this Section 1.13; 

and

(c) an indemnity from the relevant SwapClear Clearing Member in a 

form suitable to the Clearing House

The Clearing House will usually arrange a transfer of Related SwapClear 

Contracts within 24 hours of receipt (to the extent applicable) of the 

documents listed in paragraphs (a) to (c) above, unless such transfer is 

contested by the relevant SwapClear Clearing Client.

1.13.2 In any other circumstance not covered by Section 1.13.1 or Section 1.14 below, 

a SwapClear Clearing Member may only instruct the Clearing House to 

transfer a SwapClear Contract from its Client Account to its Proprietary 

Account in circumstances where the Clearing House has received from the 

SwapClear Clearing Member:

(a) evidence of the relevant SwapClear Clearing Client's consent to such 

transfer in a form suitable to the Clearing House; and

(b) an indemnity in a form suitable to the Clearing House.

The Clearing House will usually arrange a transfer of any SwapClear Contract 

to be transferred pursuant to this Section 1.13.2 within 24 hours of receipt (to 

the extent applicable) of the documents listed in paragraphs (a) and (b) above, 

unless such transfer is contested by the relevant SwapClear Clearing Client.

1.14 Indirect Clearing

1.14.1 In circumstances where an early termination date (howsoever described) 

occurs in respect of all of the transactions between a SwapClear Clearing 

Member and a SwapClear Clearing Client acting on behalf of Indirect 

Clearing Clients comprising an Indirect Omnibus Segregated Account in 

respect of which such SwapClear Clearing Member (i) is a party to Related 

SwapClear Contracts and (ii) at the time of such early termination date, is not 
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a Defaulting SCM, that SwapClear Clearing Member may instruct the 

Clearing House to take one of the following steps:

(a) in circumstances where (i) the SwapClear Clearing Member notifies a 

single Backup Client in respect of all of the relevant Indirect Clients 

and (ii) within such time as the Clearing House may determine of the 

receipt of the relevant instructions from the SwapClear Clearing 

Member, the Clearing House has received confirmation in writing 

from the Backup Client of its agreement to act as Backup Client in 

relation to the arrangement described in this paragraph (a) (in such 

form as the Clearing House may require at the relevant time), transfer 

to the appointed Backup Client all of the open Related SwapClear 

Contracts and the balance of the Collateral recorded by the Clearing 

House as being credited to the relevant Indirect Omnibus Segregated 

Account (a "Client to Client Porting");

(b) transfer the relevant Related SwapClear Contracts from the relevant 

Indirect Omnibus Segregated Account to a new Omnibus Segregated 

Account opened within the Clearing House by the relevant 

SwapClear Clearing Member directly on behalf of the relevant clients

(a "Direct Account Opening"); or

(c) transfer the relevant Related SwapClear Contracts from the relevant 

Indirect Omnibus Segregated Account to its Proprietary Account (an 

"Initial Transfer").

The Clearing House will determine whether a Client to Client Porting or a 

Direct Account Opening is possible within the period of time considered by 

the Clearing House (in its sole discretion) to be appropriate in the relevant 

circumstances and published on its website in relation to the relevant 

SwapClear Clearing Client. In the event of a determination by the Clearing 

House that the relevant step is impossible (an "Impossibility 

Determination"), the Clearing House will arrange a transfer of the Related 

SwapClear Contracts to the SwapClear Clearing Member's Proprietary 

Account (a "Fallback Transfer").

1.14.2 Each of the steps referred to in paragraphs (a), (b) and (c) of 1.14.1 above and 

any Fallback Transfer will be subject to receipt by the Clearing House of the 

following:

(a) a copy of the notice from the relevant SwapClear Clearing Member to 

the relevant SwapClear Clearing Client or from the relevant 

SwapClear Clearing Client to the relevant SwapClear Clearing 

Member, copied to each of the relevant Indirect Clearing Clients, 

designating the relevant early termination date or, if such early 

termination date has occurred automatically, evidence of the relevant 

event of default or termination event;

(b) a copy of a notice served by the relevant SwapClear Clearing 

Member on the relevant SwapClear Clearing Client and copied to 

each of the relevant Indirect Clearing Clients, alerting that SwapClear 
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Clearing Client and those Indirect Clearing Clients (i) of its intention 

to request a Client to Client Porting, a Direct Account Opening or an 

Initial Transfer (as applicable) in respect of the relevant Related 

SwapClear Contracts; and (ii) that, in the event of an Impossibility 

Determination in respect of a request for Porting or a Direct Account 

Opening, a Fallback Transfer is likely to occur; and

(c) an indemnity from the relevant SwapClear Clearing Member in a 

form suitable to the Clearing House.

Unless contested by the relevant SwapClear Clearing Client, tThe Clearing House will 

usually arrange a transfer of Related SwapClear Contracts: (i) in the case of an Initial 

Transfer, within 24 hours of receipt (to the extent applicable) of the documents listed 

in paragraphs (a), (b) and (c) of this of 1.14.2; and (ii) in the case of a Fallback 

Transfer, within 24 hours of the relevant Impossibility Determination.

For the purposes of this Section 1.14 a "Related SwapClear Contract" has the same 

meaning as ascribed to such term in Section 1.13.1 save that, in this Section 1.14, the

SwapClear Clearing Client is acting on behalf of Indirect Clearing Clients comprising 

an Indirect Omnibus Segregated Account.

1.15 Portfolio Transfers (BAU)

1.15.1 Introduction

The SwapClear Clearing System provides functionality for transfer of one or more 

Transferring SwapClear Contracts between the Transfer Account of an Eligible 

Transferor to the Transfer Account of an Eligible Transferee, including, where 

relevant, the transfer of an Associated Collateral Balance. For the avoidance of doubt, 

and subject to the requirements of FCM Regulation 46(p), an FCM Clearing Member, 

acting for its own account or for the account of an FCM Client, may be an Eligible 

Transferor or an Eligible Transferee.

For transfers other than Permitted Transfers (as defined in Section 1.15.2 below), 

please contact the Clearing House Risk Management Department.

SwapClear Dealers who wish to change their SCM will be required to execute a new 

SwapClear Dealer Clearing Agreement with their intended new SCM. The Clearing 

House will, if all parties are in agreement, effect a transfer of positions from one SCM 

to the other.

1.15.2 Permitted Transfers

An End-of-Day Full Transfer, End-of-Day Partial Transfer, Intra-Day NonBulk Transfer or Intra-Day Bulk Transfer that meets the criteria in any of (a) 

through (g) below shall be a “Permitted Transfer” for purposes of 

Regulation 60 (Transfers) and this Section 1.15. For the avoidance of doubt, a 

Permitted Transfer may be effected for all or part of the notional amount 

associated with the Transferring SwapClear Contracts.

(a) a transfer of one or more Transferring SwapClear Contracts where: 

(A) the Transfer Account of the Eligible Transferor is a Client 
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Account; (B) the Transfer Account of the Eligible Transferee is a 

Client Account; and (C) the Receiving Clearing Member and the 

Carrying Clearing Member are separate legal entities;

(b) a transfer of one or more Transferring SwapClear Contracts where: 

(A) the Transfer Account of the Eligible Transferor is a Client 

Account; (B) the Transfer Account of the Eligible Transferee is a 

Client Account; and (C) the Receiving Clearing Member and the 

Carrying Clearing Member are the same legal entity, provided that;

(i) the Transferring SwapClear Contracts are owned or 

beneficially owned by the same Clearing Client; or

(ii) an error has been made in the registration of a SwapClear 

Contract and the error is discovered and the transfer is 

completed within three Business Days (or such other longer 

period that the Clearing House may agree to in its sole 

discretion) after the registration of the SwapClear Contract;

(c) a transfer of one or more Transferring SwapClear Contracts where: 

(A) the Transfer Account of the Eligible Transferor is a Client 

Account; (B) the Transfer Account of the Eligible Transferee is a 

Proprietary Account; and (C) the Receiving Clearing Member and the 

Carrying Clearing Member are separate legal entities;

(d) a transfer of one or more Transferring SwapClear Contracts where: 

(A) the Transfer Account of the Eligible Transferor is a Proprietary 

Account; (B) the Transfer Account of the Eligible Transferee is a 

Client Account; and (C) the Receiving Clearing Member and the 

Carrying Clearing Member are separate legal entities; and

(e) a transfer of one or more Transferring SwapClear Contracts where: 

(A) the Transfer Account of the Eligible Transferor is a Proprietary 

Account; (B) the Transfer Account of the Eligible Transferee is a 

Client Account; and (C) the Receiving Clearing Member and the 

Carrying Clearing Member are the same legal entity;

(f) a transfer of one or more Transferring SwapClear Contracts where: 

(A) the Transfer Account of the Eligible Transferor is a Client 

Account; (B) the Transfer Account of the Eligible Transferee is a 

Proprietary Account; and (C) the Receiving Clearing Member and the 

Carrying Clearing Member are the same legal entity; and

(g) any transfer that the Clearing House otherwise approves in its sole 

discretion.

1.15.3 Transfer Requests

(a) Each transfer request (“Transfer Request”) pursuant to Regulation 

60 (Transfer), and this Section 1.15 and (where applicable) any 

relevant Collateral Management Agreement may only be made in 
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respect of a Permitted Transfer and must be prepared and submitted 

in the form and manner prescribed by the Clearing House from time 

to time. The Transfer Request shall list all of the Transferring 

SwapClear Contracts that are to be transferred (including, where 

relevant, any relevant Associated Collateral Balance). Following 

receipt of a Transfer Request, the Clearing House shall notify the 

Carrying Clearing Member that a Transfer Request has been received 

to transfer Transferring SwapClear Contracts.

(b) In respect of any Permitted Transfer that involves the transfer of all 

(and not some) of the SwapClear Contracts from the Transfer 

Account of an Eligible Transferor (with or without the transfer of an 

Associated Collateral Balance), once the Carrying Clearing Member 

receives notice that a Transfer Request has been received, the 

Carrying Clearing Member shall not be permitted to submit additional 

SwapClear Contracts in the Transfer Account of the Eligible 

Transferor whose SwapClear Contracts are to be subject to transfer 

until the time at which the relevant transfer (including the transfer of 

any relevant Associated Collateral Balance, if applicable) is actually 

effected, fails or is rejected in accordance with Regulation 60 

(Transfer), and these Procedures and (where applicable) any relevant 

Collateral Management Agreement.

1.15.4 Transfer Notice Period

The timing for Transfer Requests pursuant to Regulation 60 (Transfer), and 

this Section 1.15 and (where applicable) any relevant Collateral Management 

Agreement will be as prescribed by the Clearing House by way of a member 

circular.

1.15.5 Conditions Precedent to Permitted Transfer

It is a condition precedent to any Permitted Transfer from the Transfer 

Account of an Eligible Transferor to the Transfer Account of an Eligible 

Transferee pursuant to Regulation 60 (Transfer) and this Section 1.15 that:

(a) the transfer is a Permitted Transfer as defined in Section 1.15.2;

(b) the Receiving Clearing Member has provided the Clearing House 

with: 

(i) a Transfer Request in the form and manner prescribed by the 

Clearing House; and 

(ii) such evidence of the authorisation of the Permitted Transfer by 

the Eligible Transferor, Eligible Transferee and SwapClear 

Clearing Client, as applicable as the Clearing House may 

require in its sole discretion;

(c) neither the Eligible Transferor nor the Eligible Transferee nor the 

SwapClear Clearing Client, as applicable, has become insolvent (each 
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Eligible Transferor, Eligible Transferee and SwapClear Clearing 

Client, as the case may be, will be presumed to be solvent by the 

Clearing House unless evidenced to the contrary by the Carrying 

Clearing Member in the manner reasonably determined by the 

Clearing House);

(d) neither the Carrying Clearing Member nor the Receiving Clearing 

Member is a Defaulter;

(e) such transfer would not violate or result in the violation of any 

Applicable Law or regulation, including:

(i) the authorisation, registration or other regulatory requirements, 

if any, that may apply to the Receiving Clearing Member as a 

consequence of the transfer; and

(ii) where the transfer leads to a change in beneficial ownership, 

the requirements, if any, that may apply to the method of 

execution by which the Eligible Transferor has sold the 

Transferring SwapClear Contracts to the Eligible Transferee;

(f) the Eligible Transferor, Eligible Transferee, the Receiving Clearing 

Member, the Carrying Clearing Member and SwapClear Clearing 

Client, as applicable, have each executed all documents necessary or 

required by the Clearing House in order to effect such transfer 

(including, where applicable, a Security Deed, Deed of Charge, Client 

Charge, Collateral Management Agreement, Clearing Membership 

Agreement and/or a Clearing Agreement);

(g) the Receiving Clearing Member has consented to the transfer of the 

Transferring SwapClear Contracts and, where relevant, the 

Associated Collateral Balance(s);

(h) the Receiving Clearing Member has transferred (or has made 

available) sufficient Collateral to the Clearing House in respect of its 

current SwapClear Contracts and the Transferring SwapClear 

Contracts;

(i) the Carrying Clearing Member has not rejected such transfer in 

accordance with Section 1.15.6 (it being presumed that the Carrying 

Clearing Member has not so rejected the transfer unless evidenced to 

the contrary by the Carrying Clearing Member in accordance with 

this Section 1.15 or as otherwise reasonably determined by the 

Clearing House); and

(j) in the event that the transfer will lead to a requirement for the 

Carrying Clearing Member to transfer (or make available) additional 

Collateral to the Clearing House, the Carrying Clearing Member 

transfers sufficient Collateral to the Clearing House; and
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(j)(k) in relation to a Custodial Segregated Account, any additional 

conditions that have been agreed between the Clearing House, the 

Carrying Clearing Member, the Receiving Clearing Member and/or 

any Custodial Segregated Client have been satisfied.

In the event that any of the conditions set forth above are not satisfied, 

including where the Carrying Clearing Member notifies the Clearing House 

that certain conditions have not been satisfied in a manner reasonably 

acceptable to the Clearing House, the Clearing House shall not proceed with 

the transfer of the Transferring SwapClear Contracts or, if applicable, the 

transfer of any Associated Collateral Balance, and shall promptly notify the 

Receiving Clearing Member of such outcome. If the Receiving Clearing 

Member wishes to proceed with such transfer or any other transfer of 

Transferring SwapClear Contracts of the Eligible Transferor(s), it shall be 

required to submit a new Transfer Request in accordance with these 

Procedures.

By requesting a transfer of the Transferring SwapClear Contracts from the 

Transfer Account of an Eligible Transferor and, if applicable, the Associated 

Collateral Balance(s) pursuant to Regulation 60, this Section 1.15 and (where 

applicable) any relevant Collateral Management Agreement, the Receiving 

Clearing Member shall be deemed to have represented to the Clearing House 

that all of the conditions to such transfer set forth herein have been satisfied.

1.15.6 Rejection of Transfer Request

For purposes of paragraph (i) of Section 1.15.5 above, the Carrying Clearing 

Member may be entitled to reject a particular Transfer Request by notifying 

the Clearing House (in either electronic or written form as prescribed by the 

Clearing House) only if:

(a) the Eligible Transferor has failed to satisfy all outstanding obligations 

that are due and payable to the Carrying Clearing Member and/or its 

Affiliates, including any requirement for additional collateral that 

may result from the proposed transfer, where, with the respect to 

obligations owed to Affiliates of the Carrying Clearing Member by an 

Eligible Transferor, “obligations” shall consist only of those 

obligations that arise as a result of cross-margining, cross-netting or 

other similar arrangements with respect to the Transferring 

SwapClear Contracts of that Eligible Transferor that are being 

transferred or that Eligible Transferor’s related collateral;

(b) the transfer of the Transferring SwapClear Contracts of that Eligible 

Transferor would result in the Eligible Transferor breaching exposure 

limits with, and/or other risk parameters set by, the Carrying Clearing 

Member and/or its Affiliates; or

(c) such rejection is in accordance with terms agreed as between the 

Carrying Clearing Member and the relevant Eligible Transferor.

1.15.7 Right to Call Collateral
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LCH.Clearnet Limited © 2016 - 52 - September October 2016

Permitted Transfers will only be effected once adequate Collateral is available 

(which may be as a consequence of margin forbearance or the transfer of an 

Associated Collateral Balance) in respect of both Transfer Accounts affected 

by the transfer. In connection with any Permitted Transfer, the Clearing House 

may call for Collateral in respect of initial and/or variation margin to be 

deposited in such amounts and at such times as the Clearing House, in its sole 

discretion, requires. Any Collateral so called and deposited shall be reserved 

and made available solely in connection with the Permitted Transfer.

1.15.8 Transfer of Associated Collateral Balance

Where a Receiving Clearing Member notifies the Clearing House of a 

proposal to transfer an Associated Collateral Balance in connection with a 

Permitted Transfer, the Clearing House shall notify the Carrying Clearing 

Member of such request. Following such notification and upon request from 

the Clearing House, the Carrying Clearing Member shall confirm to the 

Clearing House the specific collateral which should comprise such Associated 

Collateral Balance(s). In the event that the Carrying Clearing Member fails to 

notify the Clearing House of the specific collateral which should comprise the 

Associated Collateral Balance(s), the Clearing House shall identify and select 

the Collateral it deems appropriate to comprise the Associated Collateral 

Balance(s) attributable to the Transferring SwapClear Contracts, in its sole 

discretion. Any Collateral so identified shall be reserved and made available 

solely in connection with the Permitted Transfer. Once the relevant Associated 

Collateral Balance(s) of the transfer have been notified by the Clearing House 

to the Receiving Clearing Member, the Receiving Clearing Member may elect 

to reject the transfer of some or all of such Associated Collateral Balance(s).

Any such election will not, of itself, prevent the transfer of the Transferring 

SwapClear Contracts of the Eligible Transferor and any Associated Collateral 

Balance which has been accepted by the Receiving Clearing Member, 

provided that the conditions set out in Section 1.15.4 above are satisfied in 

relation to such transfer. The Clearing House shall transfer the Associated 

Collateral Balance that has been identified and consented to be the Receiving 

Clearing Member. In the event that, for whatever reason, the Clearing House 

is unable to transfer such Associated Collateral Balance, the Clearing House 

will not proceed with the transfer of the Transferring SwapClear Contracts. In 

such circumstances, the Clearing House will notify the Receiving Clearing 

Member that the Associated Collateral Balance will not be transferred and, in 

order to proceed with the transfer of the associated Transferring SwapClear 

Contracts, the Receiving Clearing Member will have to furnish to the Clearing 

House sufficient collateral in respect of the Transferring SwapClear Contracts.

Where: (i) the Clearing House transfers an Associated Collateral Balance 

pursuant to these Procedures and the Regulations; or (ii) a Permitted Transfer 

does not lead to a change in beneficial ownership, the Clearing House will also 

transfer the aggregate balance held in respect of variation margin and next day 

settlement coupons and fees associated with the Transferring SwapClear 

Contracts.
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LCH.Clearnet Limited © 2016 - 53 - September October 2016

In the case where a transfer of Transferring SwapClear Contracts pursuant to 

this Section 1.15.8 will include the transfer of the Associated Collateral 

Balance(s) to the Transfer Account of the Eligible Transferee:

(a) In respect of an Associated Collateral Balance that is subject to a 

Deed of Charge entered into between the Carrying Clearing Member 

and the Clearing House, such transfer shall be effected as follows:

(i) the Carrying Clearing Member shall relinquish all rights to 

such Associated Collateral Balance (including, for the 

avoidance of doubt, any beneficial interest and/or equity of 

redemption in respect thereof);

(ii) such Associated Collateral Balance shall immediately upon 

such relinquishment be held by the Clearing House on behalf of 

the Receiving Clearing Member; 

(iii) where the Receiving Clearing Member is not an FCM Clearing 

Member, its rights to such Associated Collateral Balance 

arising as described in sub-paragraph (a)(ii) above shall become, 

in respect of the Transferring SwapClear Contracts, subject to 

the relevant Deed of Charge entered into between the 

Receiving Clearing Member and the Clearing House (such 

rights thereby becoming Charged Property within the meaning 

of that Deed of Charge); and

(iv) where the Receiving Clearing Member is an FCM Clearing 

Member, the Associated Collateral Balance shall be deemed to 

have been delivered by the Receiving Clearing Member to the 

Clearing House by way of a first-priority security interest 

granted by the Receiving Clearing Member to the Clearing 

House under the FCM Regulations and the FCM Clearing 

Membership Agreement between the Receiving Clearing 

Member and the Clearing House.

(b) In respect of any part of an Associated Collateral Balance that is not 

subject to a Client Charge or the Deed of Charge entered into between 

the Carrying Clearing Member and the Clearing House, such transfer 

shall be by novation of the Carrying Clearing Member’s rights and 

obligations in respect of such part of the Associated Collateral 

Balance to the Receiving Clearing Member.

(c) In respect of any part of an Associated Collateral Balance that is 

subject to the Client Charge entered into between a Custodial 

Segregated Client, the Clearing House and the Carrying Clearing 

Member, such transfer shall be effected as set out in and in 

accordance with: (i) the relevant Collateral Management Agreement 

entered into between such Custodial Segregated Client, the Clearing 

House and the Carrying Clearing Member, and (ii) the relevant 

Collateral Management Agreement entered into between such 
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LCH.Clearnet Limited © 2016 - 54 - September October 2016

Custodial Segregated Client, the Clearing House and the Receiving 

Clearing Member.

(c)(d) For the avoidance of doubt, the Carrying Clearing Member shall have 

no right or entitlement to assert any claim over, or right with respect 

to, the Associated Collateral Balance Transferred.

(d)(e) The transfer of the Transferring SwapClear Contracts and Associated 

Collateral Balance shall be deemed to occur simultaneously, and the 

transfer of the Transferring SwapClear Contracts shall be conditioned 

on the transfer of the Associated Collateral Balance, and vice versa.

(e)(f) If the transfer of the Transferring SwapClear Contracts and 

Associated Collateral Balance is not completed for any reason, then 

any actual transfer of any part of the Associated Collateral Balance or 

Transferring SwapClear Contracts that has occurred, as the case may 

be, shall be deemed not to have occurred, and any actual transfer of 

any part of the Associated Collateral Balance or Transferring 

SwapClear Contracts that has occurred shall be immediately unwound.

(f)(g) That portion (if any) of:

(i) the Clearing House Current Collateral Balance in respect of the 

Carrying Clearing Member which is attributable to the 

Transferring SwapClear Contracts (the “Relevant Portion”) 

shall be reduced to zero; and

(ii) the Clearing House Current Collateral Balance in respect of the 

Receiving Clearing Member shall be increased by an amount 

equal to the value of the Relevant Portion immediately prior to 

the reduction referred to in (i) immediately above.

1.15.9 Verification and Reliance

(a) Subject to paragraph (b) below, but otherwise notwithstanding 

anything to the contrary in the Regulations or these Procedures, in 

making any Transfer Request in accordance with Regulation 60 

(Transfer) and this Section 1.15 and (where applicable) any relevant 

Collateral Management Agreement, the Clearing House shall be 

authorised and entitled to rely conclusively on the instructions of, and 

information provided by, the Receiving Clearing Member and the 

Carrying Clearing Member, which shall be solely responsible for all 

such instructions and information.

(b) The Clearing House shall verify that the Transferring SwapClear 

Contracts identified to it by a Receiving Clearing Member as being 

the subject of such Transfer Request correspond to SwapClear 

Contracts which, according to its records, are registered in the 

Transfer Account of the Carrying Clearing Member on behalf of the 

Eligible Transferor. In the event that the Clearing House identifies a 

discrepancy, it will notify the Receiving Clearing Member and the 
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LCH.Clearnet Limited © 2016 - 55 - September October 2016

Carrying Clearing Member and no transfer will occur until such time 

as the Transferring SwapClear Contracts identified to the Clearing 

House can be verified to the Clearing House.

1.15.10 Intra-Clearing Member Transfers

In connection with any Permitted Transfer of Transferring SwapClear

Contracts where the Transfer Account of the Eligible Transferor and the 

Transfer Account of the Eligible Transferee are held by the same SCM (i.e.,

where the same SCM serves as both the Carrying Clearing Member and the 

Receiving Clearing Member), such SCM shall be deemed to make the 

following agreements, acknowledgements and representations:

(a) the contractual terms of the Transferring SwapClear Contracts will 

not change solely as a result of the Clearing House effecting the 

Permitted Transfer;

(b) the SCM will remain liable to the Clearing House for all obligations 

under the Transferring SwapClear Contracts prior to, during and after 

the Permitted Transfer;

(c) the Clearing House may require that certain changes be made to the 

books and records of one of more Approved Trade Source Systems in 

order to reflect the Permitted Transfer;

(d) the Clearing House is acting solely upon the SCM’s instructions as 

detailed to the Clearing House in writing and in reliance on the 

SwapClear Clearing Member’s agreements and representations 

(including as set out in this Section 1.15.10) in connection therewith;

(e) the Permitted Transfer is permissible under Applicable Law and is not 

in violation of Applicable Law, and the SCM has obtained any and all 

necessary and appropriate consents, authorisations and approvals, and 

has taken any other actions required under Applicable Law in 

connection with the Permitted Transfer; and

(f) the Clearing House shall not be liable for any costs, expenses, 

damages or losses, whether direct or indirect, suffered by any of the 

parties hereto, or by the Eligible Transferor or Eligible Transferee, as 

a result of any actions taken by the Clearing House in connection with 

the Permitted Transfer.

1.15.11 Fees

Any Permitted Transfer effected pursuant to Regulation 60 and in accordance 

with these Procedures and (where applicable) any relevant Collateral 

Management Agreement will be subject to such fees as are established by the 

Clearing House from time to time in its sole and absolute discretion, and 

notified to SwapClear Clearing Members via a member circular.
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LCH.Clearnet Limited © 2016 - 60 - September October 2016

of each trade set out in the Trade Reference Amendment Request – namely 

"amended" or "rejected". All records of the Clearing House and data held in 

the SwapClear clearing system will then be updated overnight following the 

close of business on that day.

1.20.3 Legal Documentation

The Clearing House will provide the requesting SwapClear Clearing Member

with legal documentation in Clearing House standard form for that SwapClear 

Clearing Member to sign. No trade reference will be amended unless such 

documentation is completed and signed. The documentation must be signed 

by a person within the SCM with appropriate signing authority. Evidence of 

such authority may be required by the Clearing House. No amendment to 

such documentation will be accepted by the Clearing House.

1.20.4 Notification

Subject to the requesting SwapClear Clearing Member meeting all the 

Clearing House's requirements (including completion and submission of all 

documentation and such other additional requirements as the Clearing House 

may be set by the Clearing House in its discretion), the Clearing House will 

notify the SwapClear Clearing Member of its agreement to the amendment of 

its records of the SwapClear Clearing Member's trade reference in respect of 

the trades identified in the Trade Reference Amendment Request Form, and 

advise of the anticipated date of amendment (the "anticipated date of 

amendment").

1.21 Custodial Segregated Accounts

A Custodial Segregated Account allows a Custodial Segregated Client to provide 

Collateral directly to the Clearing House to meet certain obligations of the relevant 

SwapClear Clearing Member, in respect of such Custodial Segregated Account, in 

accordance with the terms of the relevant Collateral Management Agreement and 

Client Charge. 

A SwapClear Clearing Member may request that the Clearing House opens a 

Custodial Segregated Account in respect of a Clearing Client and must execute, and 

procure that the Clearing Client executes, such documentation as the Clearing House 

specifies.

1.211.22 SwapClear STM Contracts and SwapClear CTM Contracts – Elections 

and Conversions

If a SwapClear Clearing Member wishes to make an election pursuant to Regulation 

55(c) or a conversion pursuant to Regulation 57A(m) it must complete and deliver to 

the Clearing House such documentation as the Clearing House shall make available 

for such purposes from time to time. A SwapClear Clearing Member wishing to make 

such an election or conversion should 

contact swapclearclientservices@lchclearnet.com
Clearing House Procedures SwapClear Service 

LCH.Clearnet Limited © 2016 - 81 - September October 2016

Member, but owes no duty or obligation to the relevant SwapClear Clearing 

Member to do so.

In order to prevent abuse of the Portfolio Margining Service, following the 

termination of the Portfolio Margining Service in respect of certain Nominated 

Accounts, a Portfolio Margining Clearing Member will not be entitled to 

submit a Portfolio Margining Request respect of the same Nominated 

Accounts for a period of 30 calendar days following termination of the 

Portfolio Margining Service in respect of such Nominated Accounts.

2.3 PM Eligibility Criteria

2.3.1 Joint Rates Service Clearing Member

The SwapClear Clearing Member must also be a Listed Interest Rates 

Clearing Member (i.e., a Joint Rates Service Clearing Member).

2.3.2 Client Consent

Where the Nominated Accounts are Client Accounts, the Joint Rates Service 

Clearing Member must confirm to the Clearing House (in the form of a written 

representation) that the relevant Clearing Clients(s) have provided their 

consent to the operation of the Portfolio Margining Arrangements in respect of 

the relevant Client Accounts.

2.3.3 Recent Termination

Portfolio Margining Arrangements in respect of the Nominated Accounts have 

not, in the last 30 calendar days, been terminated in accordance with paragraph 

2.2.5 above.

2.4 Eligible Accounts

2.4.1 Proprietary and Client Accounts

In order to be eligible for the Portfolio Margining Service, each of the 

Nominated Accounts must be either:

(i) Proprietary Accounts which each reference the same legal entity; or

(ii) Client Accounts which reference the same legal entity as the 

underlying Clearing Client(s) and meet the criteria set out in paragraph 

2.4.2 below.

It is not possible to apply the Portfolio Margining Arrangements across a 

Proprietary Account and a Client Account.

2.4.2 Additional Eligibility Criteria in respect of Client Accounts

The Nominated Accounts must fall into one of the following pairings:
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LCH.Clearnet Limited © 2016 - 82 - September October 2016

(i) Individual Segregated Accounts held on behalf of the same Individual 

Segregated Account Clearing Client; or

(ii) the relevant sub-accounts of Omnibus Gross Segregated Accounts each 

of which is held on behalf of the same Omnibus Gross Segregated 

Clearing Client; or

(iii) an Individual Segregated Account held on behalf of an Individual 

Segregated Account Clearing Client and the relevant sub-account of an 

Omnibus Gross Segregated Account which is held on behalf of that

Clearing Client Individual Segregated Clearing Client; 

(iv) a Custodial Segregated Account held on behalf of a Custodial 

Segregated Client and an Individual Segregated Account held on behalf 

of that Clearing Client; or

(iii)(v) a Custodial Segregated Account held on behalf of a Custodial 

Segregated Client and the relevant sub-account of an Omnibus Gross 

Segregated Account held on behalf of that Clearing Client. .

2.5 Portfolio Margining Arrangements

2.5.1 Portfolio Margining Calculation Tool

The Clearing House has developed a risk management tool which identifies 

portfolio-margining opportunities as between SwapClear Contracts held in 

accounts in a SwapClear Eligible Account and Eligible Listed Interest Rates 

Contracts held in the paired Listed Interest Rates Eligible Account (the 

"Portfolio Margining Calculation Tool"). Portfolio Margining Clearing 

Members will receive certain information in relation to the operation of the 

Portfolio Margining Service, as described in more detail in paragraph 2.6 

below.

A list of Eligible Listed Interest Rates Contracts is set out in the Product 

Specific Contract Terms and Eligibility Criteria Manual as published on the 

Clearing House's website from time to time.

2.5.2 Portfolio Margining Process

2.5.2.1 At a predetermined time following the close of the relevant Listed 

Interest Rates Service on each business day, the Clearing House will 

run the Portfolio Margining Calculation Tool. The Portfolio Margining 

Calculation Tool will identify, in respect of each pair of Eligible 

Accounts, any off-setting positions between SwapClear Contracts and 

Eligible Listed Interest Rates Contracts including any eligible Listed 

Interest Rate Contracts that are Portfolio Margined Contracts (the 

"Identified Off-Setting Listed Interest Rates Contracts").

2.5.2.2 The Portfolio Margining Calculation Tool is a risk management tool 

which is not designed to provide Portfolio Margining Clearing 

Members with optimal margining treatment or reduce margin calls. 

Accordingly, the Clearing House makes no representations or 
LCH Rule Submission

Appendix E

Procedures Section 2J (Listed Interest Rates Clearing Service)
LCH.CLEARNET LIMITED

PROCEDURES SECTION 2J

LISTED INTEREST RATES CLEARING SERVICE
 

LCH.Clearnet Limited © 2016 - i - August 2016

CONTENTS

Section Page

1. The LISTED INTEREST RATES Clearing Service.........................................................1

1.1 Introduction ...........................................................................................................1

1.2 General Information ..............................................................................................3

1.3 Registration ...........................................................................................................4

1.4 Proprietary Accounts and Client Accounts...........................................................7

1.5 Margin and Collateral............................................................................................9

1.6 Trade and Position Management.........................................................................11

1.7 Option Exercise and Expiry ................................................................................13

1.8 [Reserved] ...........................................................................................................15

1.9 Deliverable Bond Futures – Delivery Procedures...............................................15

1.10 Long Gilt .............................................................................................................18

1.11 German Government Bond (Euro Bund) ............................................................24

1.12 German Government Bond (BOBL)...................................................................30

1.13 German Government Bond (Schatz)...................................................................36

1.14 Listed Interest Rates Client Clearing...................................................................42

1.15 Indirect Clearing..................................................................................................43

2. PORTFOLIO MARGINING SERVICE.........................................................................46

Schedule 1 Account Sale .........................................................................................................47

Schedule 2 Invoice (Gilts) .......................................................................................................48

Schedule 3 Long Gilt Future Delivery Instruction for Sellers (Gilts) .....................................49

Schedule 4 Long Gilt Future Delivery Instruction for Buyers (Gilts).....................................50

Schedule 5 Account Sale (Euro Bund) ....................................................................................51

Schedule 6 Invoice (Euro Bund)..............................................................................................52

Schedule 7 German Govt. Bond (Euro Bund) Future Delivery Instruction for Sellers (Euro 

Bund)...............................................................................................................................53

Schedule 8 German Govt. Bond (Euro Bund) Future Delivery Instruction for Buyers (Euro 

Bund)...............................................................................................................................54

Schedule 9 Account Sale (BOBL)...........................................................................................55

Schedule 10 Invoice.................................................................................................................56

Schedule 11 BOBL Future Delivery Instruction for Sellers....................................................57

Schedule 12 BOBL Future Delivery Instruction for Buyers (BOBL).....................................58

Schedule 13 Account Sale (Schatz).........................................................................................59

Schedule 14 Invoice (Schatz)...................................................................................................60

Schedule 15 Schatz Future Delivery Instruction for Sellers (Schatz)......................................61
 

LCH.Clearnet Limited © 2016 - ii - August 2016

Schedule 16 Schatz Future Delivery Instruction for Buyers ...................................................62
Clearing House Procedures Listed Interest Rates Service

LCH.Clearnet Limited © 2016 - 9 - August 2016

1.5 Margin and Collateral

1.5.1 Initial Margin

Separate initial margin calculations are performed for a Listed Interest Rates 

Clearing Member's Proprietary Account and for each Client Account. No offset 

between the Proprietary Accounts and the Client Accounts is allowed (except 

pursuant to Rule 8(d) of the Default Rules or any Insufficient Resources 

Determination Rule) and , except pursuant to a Cross-ISA Client Excess 

Deduction, no offset is allowed between any Client Accounts is allowed (except 

pursuant to Rule 15(a)(ii) of the Default Rules, a Cross-ISA Client Excess 

Deduction or any Insufficient Resources Determination Rule).

Margin requirements in respect of each Listed Interest Rates Contract are 

calculated net per account, meaning that if long and short positions are held in 

the same account in the same delivery month for futures, or the same series for 

options, the initial margin requirement is calculated by reference to the net 

position in the Listed Interest Rates Eligible Product. The Clearing House will 

calculate an account’s net position in respect of any Designated Listed Interest 

Rates Contract by reference to all trading in such Contract on Designated Rates

Exchanges.

(a) Initial Margin Parameters

Initial margin parameters are set by the Clearing House after 

consultation with the relevant Rates Exchange(s). However, in 

accordance with the Regulations, the Clearing House retains the right at 

its discretion to vary the rates for the whole market or for a Clearing 

Member's accounts.

Clearing Members will be notified by the Clearing House of alterations 

to initial margin parameters no later than the day before PPS Calls are 

made based on the new rates.

(b) Intra-day Margin Calls

In accordance with the Regulations the Clearing House is entitled to 

make additional margin calls for payment the same day (intra-day 

margin calls) where it considers necessary. Intra-day margin calls will 

be made via the Protected Payments System (see Section 1.3 of 

Procedure 3 (Financial Transactions)).

(c) Calculation of Initial Margin

(i) Value At Risk (VaR)

Initial margin obligations are re-calculated at the close of each 

business day using a VaR algorithm developed to calculate 

margin requirements on Listed Interest Rates Contracts.

Technical questions about this algorithm should be directed to 

the Clearing House Risk Management Department on +44 (0)20 

7426 7520.
Clearing House Procedures Listed Interest Rates Service

LCH.Clearnet Limited © 2016 - 10 - August 2016

1.5.2 Variation Margin

All open contracts are marked to market daily by the Clearing House in 

accordance with the Listed Interest Rates Contract Terms. The official 

quotation is used as the market price. Profits or losses are either credited to or 

debited from a Clearing Member’s Proprietary Account or Client Account (as 

applicable) (realised margin) or they form non-realised contingent liabilities or 

credits.

Separate variation margin calculations are performed for a Clearing Member's 

Proprietary Account and for each Client Account. No offset between the 

Proprietary Accounts and the Client Account is allowed ( and, except pursuant 

to a Cross-ISA Client Excess Deduction Rule 8(d) of the Default Rules or any 

Insufficient Resources Determination Rule) and, no offset is allowed between 

any Client Accounts is allowed (except pursuant to Rule 15(a)(ii) of the Default 

Rules, a Cross-ISA Client Excess Deduction or any Insufficient Resources 

Determination Rule).

(a) Realised Margin

Realised margin is the calculated profit or loss arising from a 

comparison between the value of open positions at the relevant official 

quotations with the value of positions recorded in the Clearing System -

i.e. the trade price for new trades and the previous day's official 

quotation for other positions. Variation margin for the following types 

of contract is realised into postings to the relevant Proprietary Account 

or Client Account (as applicable).

(b) Variation Margin

Variation margin for the following types of contract is realised into 

postings to the relevant Proprietary Account or Client Account (as 

applicable).

Contingent Variation Margin. Contingent variation margin is calculated 

with reference to the official quotation at which a contract went to 

delivery and the underlying asset value or the next nearest futures 

delivery month official quotation, dependent on the terms of the Listed 

Interest Rates Contract or these Procedures. Contingent variation 

margin is calculated for Listed Interest Rates Contracts that are subject 

to delivery of an underlying asset.

Option Variation Margin. Option variation margin is the value of 

unexpired options, calculated with reference to the official quotation. 

Bought and sold options generate credit and debit option variation 

margin respectively.

1.5.3 Additional Margin

In accordance with Regulation 20 (Margin and Collateral), the Clearing House 

may call additional amounts of Collateral (on top of the amounts of Collateral 

previously transferred to the Clearing House in respect of initial margin and 
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1.12.5 Transaction cut off times and Clearing House deadlines

Clearing Members should note that the deadlines quoted by the Clearing House 

may vary from those quoted by the delivery systems or agents.

It is each Clearing Member's responsibility to ensure that they and their agents 

are aware of, and adhere to, the Clearing House deadlines.

1.12.6 Delivery Procedures

(a) Deliverable Bonds

A Deliverable Bond is a bond which is listed on the final list of 

deliverable bonds for a delivery month as defined in the Listed Interest 

Rates Contract Terms. The initial list of bonds will be available from 

the Delivery System until such time as the final list is published.

(b) Last Trading, Notice and Settlement Day Definition

The Last Trading Day, Notice Day and Settlement Day are as defined in 

the Listed Interest Rates Contract Terms for the Bobl Futures Contract. 

The Settlement Day is usually the tenth day of the delivery month, 

unless this is not a Frankfurt working day, in which case the Frankfurt 

working day immediately following it is the Settlement Day.

(c) Last Trading Day (LTD)

At 11:30

Trading ceases in the delivery month.

By 12:00

The FSP is announced by the Exchange.

By 17:00 hours - Delivery Notice Deadline

Clearing Members must ensure that all give ups, take ups and 

settlements are performed via Synαpse by the 17:00 hours deadline. 

Clearing Members with open positions in the expired contract month are 

obliged to make or take delivery.

Sellers must submit a Seller's Delivery Notice to the Clearing House via 

the Delivery System.

At 17:30 hours

The Clearing House allocates deliveries to Buyers.

By 18:00 hours

The Clearing House makes the following available:

• Account Sales (Schedule 90)
- 35-

• Invoices (Schedule 100)

• Delivery Instructions for Sellers (Schedule 110)

• Delivery Instructions for Buyers (Schedule 120).

In order to meet the relevant deadlines, Buyers and Sellers should 

ensure that all Clearing House instructions are given priority by 

their respective Settlement Departments.

Clearing Members shall have given instructions to, or shall have briefed 

their delivery agent to have given instructions to the delivery centre 

specified in the Delivery Instructions for Sellers/Buyers. The 

instructions as described must be utilised by Clearing Members in order 

to match the instructions entered by the Clearing House.

Clearing Members should endeavour to match with the Clearing House 

at the earliest possible time. The time stipulated below is the latest 

possible time for matching.

(d) S-1 on or before the first Frankfurt working day following the last 

trading day (LTD)

By 10:00 hours

Clearing Members or their delivery agents shall have instructed their 

respective delivery system to match all instructions (stated in the 

Delivery Instructions) given by the Clearing House.

By 14:00 hours

All instructions must be matched with the Clearing House.

Failure to match with the Clearing House contravenes Clearing 

House procedures.

(e) S Settlement Day (LTD + 2)

By 08:00 hours Central European time

The Seller's delivery system or agent shall have transferred Bonds to the 

Clearing House's account at the relevant delivery system, against 

payment. The Clearing House shall have transferred Bonds to the 

Buyer's account at the relevant delivery system against payment.

During Euroclear/Clearstream Luxemburg Overnight Processing

Where the Clearing House is taking delivery of Bonds, via Euroclear or 

Clearstream Luxemburg, and a Seller fails to deliver Deliverable Bonds 

to the Clearing House in the overnight processing cycle of Euroclear or 

Clearstream Luxemburg, the Clearing House will invoke automatic 

borrowing procedures, subject to supply.
 

Click here to enter text. - 40-

1.13.5 Transaction cut off times and Clearing House deadlines

Clearing Members should note that the deadlines quoted by the Clearing House 

may vary from those quoted by the delivery systems or agents.

It is each Clearing Member's responsibility to ensure that they and their agents 

are made aware of Clearing House deadlines.

1.13.6 Delivery Procedures

(a) Deliverable Bonds

A Deliverable Bond is a bond which is listed on the final list of 

deliverable bonds for a delivery month as defined in the Listed Interest 

Rates Contract Terms. A Deliverable Bond is a bond which is listed on 

the final list of deliverable bonds for a delivery month as defined in the 

Listed Interest Rates Contract Terms. The initial list of bonds will be 

available from the Delivery System until such time as the final list is 

published.

(b) Last Trading, Notice and Settlement Day Definition

The Last Trading Day, Notice Day and Settlement Day are as defined in

the Listed Interest Rates Contract Terms for the Schatz Futures 

Contract. The Settlement Day is usually the tenth day of the delivery 

month, unless this is not a Frankfurt working day, in which case the 

Frankfurt working day immediately following it is the Settlement Day.

(c) Last Trading Day (LTD)

At 11:30 hours

Trading ceases in the delivery month.

By 12:00 hours

The FSP is announced by the Exchange.

By 17:00 hours - Delivery Notice Deadline

Clearing Members must ensure that all give ups, take ups and 

settlements are performed via Synαpse by the 13:30 hours deadline. 

Clearing Members with open positions in the expired contract month are 

obliged to make or take delivery.

Sellers must submit a Seller's Delivery Notice to the Clearing House via 

the Delivery System.

At 17:30 hours

The Clearing House allocates deliveries to Buyers.

By 18:00 hours
 

Click here to enter text. - 41-

The Clearing House makes the following available:

• Account Sales (Schedule 130)

• Invoices (Schedule 140)

• Delivery Instructions for Sellers (Schedule 150)

• Delivery Instructions for Buyers (Schedule 160).

In order to meet the relevant deadlines, Buyers and Sellers should 

ensure that all Clearing House instructions are given priority by 

their respective Settlement Departments.

Clearing Members shall have given instructions to, or shall have briefed 

their delivery agent to have given instructions to the delivery centre 

specified in the Delivery Instructions for Sellers/Buyers. The 

instructions as described must be utilised by Clearing Members, their 

delivery system and or agent in order to match the instructions entered 

by the Clearing House.

Clearing Members should endeavour to match with the Clearing House 

at the earliest possible time. The time stipulated below is the latest 

possible time for matching.

(d) S-1 on or before the first Frankfurt working day following the last 

trading day (LTD)

By 10:00 hours

Clearing Members or their delivery agents shall have instructed their 

respective delivery system to match all instructions (stated in the 

Delivery Instructions) given by the Clearing House.

By 14:00 hours

All instructions must be matched with the Clearing House.

Failure to match with the Clearing House contravenes Clearing House 

procedures and the Listed Interest Rates Contract Terms for the Schatz 

Future Contract.

(e) S Delivery Day (LTD + 2)

By 08:00 hours Central European time

The Seller's delivery system or agent shall have transferred Bonds to the 

Clearing House's account at the relevant delivery system against 

payment. The Clearing House shall have transferred Bonds to the 

Transferee's account at the relevant delivery system against payment.

During Euroclear/Clearstream Luxemburg Overnight Processing
LCH Rule Submission

Appendix F

Procedures Section 3 (Financial Transactions)
LCH.CLEARNET LIMITED

PROCEDURES SECTION 3

FINANCIAL TRANSACTIONS
LCH.Clearnet Limited © 2016 - i - September October 2016

CONTENTS

Section Page

1. Financial Transactions.......................................................................................................1

1.1 Accounts and ledgers.............................................................................................1

1.2 Financial Transaction Reporting ...........................................................................2

1.3 Protected Payments System (PPS) ........................................................................3

1.4 Acceptable Forms of Collateral.............................................................................9

1.5 Distribution of Collateral.....................................................................................10

1.6 Interest.................................................................................................................12

1.7 Fees......................................................................................................................13

1.8 VAT Status..........................................................................................................13

1.9 Participation Monies............................................................................................13

1.10 Clearing House Reporting...................................................................................15

Schedule 1 LCH.Clearnet Bank Accounts in Hong Kong.......................................................16
Clearing House Procedures Financial Transaction Service


LCH.Clearnet Limited © 2016 - 2 - October September 2016

Details of Collateral balances, valuations and instructions are available using the 

on-line Collateral Management System ("CMS").

1.1.4 Ledgers

(a) Each collateral account may comprise one or more ledgers including:

(i) non-cover ledger (for coupons on securities held as cCollateral and 

NPV and coupons relating to SwapClear FRA cash flows); and

(ii) cover ledger (for all other items).

Liabilities arising from trading activity are recorded against the relevant 

collateral account only. Ledgers are used to record cash movements 

between the Clearing House and the Clearing Member. Postings may be 

applied to collateral, tender and other ledger accounts.

1.1.5 Default Fund Account

Each Clearing Member will be provided with a Default Fund ("DF") account for 

each Service in which it participates.

1.2 Financial Transaction Reporting

Banking reports are generated each day and provide members with data relating to but 

not limited to: liabilities by market, cash balances, non-cash balances, cash posting and 

interest rates.

All reports are available via the Member Reporting Web Site (Member Live site) and can 

be downloaded via the user interface or directly to Member back office systems via an 

SFTP connection.

Details of valuations, Collateral instructions and cash and non-cash balances are available 

through CMS.

A "Banking Reports Reference Pack" can be requested from the Clearing House LCH 

Client Training Team. This contains definitions and examples of each of the available 

reports.

1.3 Protected Payments System (PPS)

The Clearing House operates a direct debit system, known as the Protected Payments 

System ("PPS"), for the transfer of funds to and from Clearing Members.

PPS is operated in London ("UK PPS"), the United States ("US PPS")and Australia 

("“Australian PPS"”).

Clearing Members should note that the PPS (in each location mentioned above) is a 

system for facilitating payment to the Clearing House of moneys due from Clearing 

Members to the Clearing House and vice versa. The giving of a commitment by a 

participating bank through PPS to make any payment, and the receipt of that commitment 
Clearing House Procedures Financial Transaction Service


LCH.Clearnet Limited © 2016 - 5 - October September 2016

Normally the Clearing House will call intra-day margin through UK PPS 

accounts. However, where the Clearing House wishes to make such an 

intra-day call after UK PPS closes (16:00 London time), such a call will be 

made upon the Clearing Member's nominated US PPS account.

Clearing Members must designate a currency ("GBP", "EUR" or "USD")

that will be called by default during the hours of UK PPS for each 

mnemonic/sub-account. Clearing Members must request a change to the 

default currency no later than 09:30 London time in order for the change 

to be undertaken the following day. Members can submit a request to 

change their currency at the following link: http://www.lch.com/riskcollateral-management/collateral-management/acceptablecollateral/preferred-currency.

The Clearing House has the ability to call US dollars in respect of an intraday margin call up until 16:00 New York time (21:00 London time).

The Clearing House may not accept delivery of US dollar cash other than 

in satisfaction of an intra-day margin call after 14:00 hours New York 

time.

The Clearing House must receive confirmation of payment from the 

Clearing Member's nominated PPS bank(s) within one hour of receipt of 

the intra-day call by the relevant bank.

Failure of a bank to confirm a PPS call within one hour may result in the 

Clearing Member being declared in default. Late confirmation of PPS 

calls are reported to the regulators oClearing House.

(e) Use of UK and US PPS

Generally UK PPS will be used for Morning PPS Calls (including 

Contributions to the Default Fund), remitting surplus cash balances to a 

Clearing Member, and for intra-day margin calls up to 16:00 hours 

London time. However Clearing Members should be aware that the 

Clearing House reserves the right to direct a morning PPS call or intra-day 

margin calls before 16:00 hours London time to a Clearing Member's US 

PPS account in exceptional circumstances (an "Exceptional PPS Call"). 

The Clearing House will use all reasonable commercial endeavours to 

notify the Clearing Member in advance of issuing any such Exceptional 

PPS Call.

(f) Auto-repay

Clearing Members may request that they are automatically repaid any 

excess cash balances that remain on their accounts (other than an 

Individual Segregated Account or a Custodial Segregated Account) at the 

end of each day where the relevant Service of which the Clearing Member 

is a member provides an auto-repay mechanism. Clearing Members must 

contact Treasury Operations in order to have auto-repay applied to their

accounts. (collateral.clientservices@lchcom or Tel +44 (0)20 7426 7505)
Clearing House Procedures Financial Transaction Service


LCH.Clearnet Limited © 2016 - 6 - October September 2016

Those Clearing Members who are not on auto-repay may request that any 

cash balances on their accounts (other than an Individual Segregated 

Account or a Custodial Segregated Account) be repaid on the same day, 

provided that such request is received by the Clearing House by 09:30 

London time.

In certain circumstances and following notification to one or more relevant 

Regulatory Bodies, the Clearing House may disable the auto-repay 

functionality for all Clearing Members of a Service. The Clearing House 

will notify affected Clearing Members via Clearing member Circular in 

the event that the functionality is disabled.

(g) Value Date

PPS calls and payments are for value the same day as the day of the CAD, 

EUR, GBP and USDand with value for the next day for all currencies, 

subject to Section 1.3.1(g). Call instructions issued on a day when the

Clearing House is not open for business (e.g. Saturdays) are for value the 

next day for CAD, EUR, GBP and USD and for value two days are the 

instruction for all all other currencies. Payment instructions will not be 

issued on a day when the Clearing is not open for business. 

(i) If, under 1.3.1(f), a PPS call or payment in a particular currency 

would be due to be made for value on a day (“Payment Date”) 

which is a holiday in respect of that currency, the value date for 

such PPS transaction will be the first day which is not a holiday in 

respect of that currency occurring after the Payment Date; and

(ii) in respect of AUD, if the PPS call or payment is instructed day

which is a holiday for AUD or on a day when the Clearing House 

is not open for business (e.g. Saturdays), the value date for such 

PPS call or payment will be the second day which is not a holiday 

in respect of AUD occurring after the Payment Date.

Example 1: 20 August is a currently a holiday in the USA. The Clearing 

House is open. 21 August is not a currency holiday in the USA.

On 20 August, the Clearing House will issue USD instructions to PPS 

banks, and receive confirmation in response to the PPS calls on the same 

day; the value date for such calls will be 21 August.

Example 2: 20 August is a currency holiday in the UK. The Clearing 

House is open. 21 August is a currency holiday in Japan. 22 August is not 

a currency holiday in Japan.

On 20 August, the Clearing House will issue JPY instructions to PPS 

banks, and receive confirmations in response to the PPS calls on the same 

day; the value date for such calls will be 22 August.

Example 3: 16 January is a Saturday. The Clearing House is not open. 18 

and 19 January are not currency holidays in Australia.
Clearing House Procedures Financial Transaction Service


LCH.Clearnet Limited © 2016 - 10 - October September 2016

1.4.1 Cash

In order not to fall within the scope of deposit-taking regulations applying to 

banks and similar institutions, the Clearing House can accept cash from Clearing 

Members only in relation to current or anticipated obligations.

Cash used as Collateral need not be provided in the same currency as that of the 

liability. In such cases, currencies will be notionally converted with reference to 

quoted exchange rates determined at approximately 16:45 London time the 

previous business day.

Clearing Members must give the Clearing House’s LCH.Clearnet Limited 

Treasury Operations no less than two business days' notice of their intention to 

substitute existing cash Collateral with non-cash Collateral or cash Collateral in a 

different currency where the amount of cash is 50 million GBP or greater. Where 

a Clearing Member fails to give such notice, the Clearing House may decline to 

transfer or release the cash Collateral to be withdrawn until the end of the required 

notice period.

1.4.2 Securities

Please refer to the following pages on our website for both prevailing haircuts and 

notes on Collateral acceptable to the Clearing House:

http://www.lchclearnet.com/risk_management/ltd/acceptable_collateral.asp

1.4.3 Value Notification

Clearing Members may obtain details on the value ascribed to non-cash Collateral

recorded to on their account via:

(a) for the purpose of calculating their Current Collateral Value by viewing 

the relevant reports available on the Clearing House Member Reporting 

Wwebsite portal;

(b) the CMS; and/or

(a)(c) SWIFT message sent from the Clearing House to the relevant Clearing 

Member. The value of Collateral can be viewed on the Clearing 

Management System. Details of Collateral balances, valuations and 

instructions are also available using the on-line Collateral Management 

System (CMS).

1.4.4 Use of Credits as Collateral

The following credit amounts are not paid in cash, but may (subject to the 

restrictions described below) be offset against certain specific margin obligations, 

with the result that the relevant Clearing Member will need to provide less 

Collateral in respect of those margin obligations:
Clearing House Procedures Financial Transaction Service


LCH.Clearnet Limited © 2016 - 11 - October September 2016

(a) EquityClear credit contingent margin may be used to offset EquityClear 

debit contingent variation margin and initial margin across currencies; 

(b) LSEDM credit contingent variation margin (for forwards) and credit net 

liquidating value may be used to offset LSEDM debit contingent variation 

margin, debit net liquidating value and initial margin across currencies; 

and

(c) EnClear credit net liquidating value may be used to offset EnClear debit 

net liquidating value and initial margin across currencies; and

(d) Rates Exchange credit contingent variation margin may be used to offset 

Rates Exchange debit contingent variation margin and initial margin 

across currencies.

1.5 Distribution of Collateral

The following procedures are not in any way intended to restrict, vary, or 

alter the Clearing House's rights to apply Collateral held (including any 

described in Clearing House reports/records as "unutilised" or "excess") 

to meet the Clearing Member's liabilities/obligations to the Clearing 

House.

1.5.1 Collateral Application

In the absence of a Clearing Member election, the Clearing House will apply a 

Clearing Member’s Collateral (in turn) to each liability in the following order:

(a) non-cash Collateral denominated in the same currency as the liability; 

(b) non-cash Collateral denominated in other currencies, in the following 

order:

(i) GBP;

(ii) USD;

(iii) CHF;

(iv) EUR;

(v) JPY;

(vi) SEK;

(vii) CAD;

(viii) NOK

(ix) DKK,
Clearing House Procedures Financial Transaction Service


LCH.Clearnet Limited © 2016 - 12 - October September 2016

(x) AUD; then

(c) cash Collateral in the same currency as the liability; then

(d) cash Collateral in a different currency to the liability, in the nominated 

currency preference order.

Clearing Members may make the following choices:

(i) whether to have cash Collateral applied before or after non-cash 

Collateral;

(ii) whether to apply non-cash Collateral to liabilities in a different 

currency; and

(iii) whether to apply cash Collateral to liabilities in a different 

currency.

1.5.2 Cash Currency Preference

Clearing Members may nominate the sequence of cash Collateral distribution.

In the absence of a nominated sequence of currency preferences, a Clearing 

Member’s liabilities will be covered by cash in the same currency as the liability. 

This means that a GBP liability will be covered in GBP cash, a EUR liability will 

be covered in EUR cash and so forth. Any further liabilities in the relevant 

currency will be covered by cash called via PPS.

Clearing Members may define their own sequence of cash Collateral utilisation 

for each mnemonic and each account type (i.e. House or Client). The sequence 

does not have to be on a like for like basis and a Clearing Member may choose 

any eligible currency to cover its liability (for example, a GBP liability can be 

covered in EUR cash).

Any changes to a Clearing Member’s nominated currency sequence, or a request 

relating to excess cash currency balances in a particular currency, should be 

notified to the Clearing House by providing a minimum of two business days’ 

notice.

1.5.3 Record of Collateral Provided

Charges and interest shall be calculated in accordance with the information 

published on the website of the Clearing House.

1.5.4 Use of a Defaulter's Collateral in the Event of a Default

The order of priority (in which cash and non-cash Collateral are applied to cover 

Clearing Members' liabilities), set out elsewhere in this Section 1.5, does not 

necessarily reflect the order of priority of realisation or application of Collateral 

which the Clearing House may follow in the case of Ddefault by a Clearing 
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LCH.Clearnet Limited © 2016 - 13 - October September 2016

Member. Post-dDefault the Clearing House is entitled to realise and/or apply 

Collateral in whatever order it deems appropriate.

1.6 Interest 

1.6.1 Interest Rates

The Clearing House applies interest to Clearing Member's cleared cash balances 

as published on the Clearing House's website. This provision 1.6.1 does not deal 

with Price Alignment Interest, which is covered by the applicable provisions of 

Procedures Section 2C (SwapClear Clearing Service).

1.6.2 Payment of Interest and Charges

Interest and accommodation charges are charged monthly, from the last day of the 

previous month to the penultimate day of the current month. Interest and 

accommodation charges are calculated on a daily basis and the resultant monthly 

total is posted to the relevant collateral account(s) of the Clearing Member for 

value on the third business day following the penultimate day of the month. A 

VAT invoice is also issued on the third business day of each month detailing the 

interest and accommodation charges applicable for the previous month. Separate 

invoices are issued for each currency which can be found on the Member 

Reporting Website. Accommodation charges are published on the Clearing 

House’s website.

VAT is charged, dependent on contract and accommodation charges, at current 

rates. On foreign currency amounts VAT is charged in sterling on the converted 

value of any relevant charges. The sterling collateral account shows separate 

postings for sterling VAT amounts arising from foreign currency charges.

The net invoice value for each currency is posted to the relevant collateral account 

for value on the second working day for the relevant currency of the month 

succeeding the month in which the charges arose.

The invoice provides detail in respect of:

(a) interest due to be credited or debited; and

(b) accommodation charges.

VAT on accommodation charges is subject to the standard rate; some markets 

may be excluded.

1.6.3 Cash Balance Interest Rate

The Clearing House applies interest to a Clearing Member’s cleared cash 

balances. The following rates are applied:

(a) LDR – London Deposit Rate – the rate at which the Clearing House will 

pay or charge interest on credit cash balances (excluding Contributions). 

The LDR calculation methodology utilises published market rates minus a 
LCH Rule Submission

Appendix G

Procedures Section 4 (Margin and Collateral)
LCH.CLEARNET LIMITED

PROCEDURES SECTION 4

MARGIN AND COLLATERAL
LCH.Clearnet Limited © 2016 - i - October February 2016

CONTENTS

Section Page

1. Collateral ...........................................................................................................................1

1.1 General Information ..............................................................................................1

1.2 Documentation ......................................................................................................5

1.3 Instructions via CMS.............................................................................................7

1.4 Settlement Procedures – Securities provided on a bilateral basis.........................8

1.5 Tax Arrangements...............................................................................................10

1.6 References...........................................................................................................12

1.7 Contingency Arrangements.................................................................................12

1.8 Triparty Service with Euroclear, Clearstream and BNY Mellon ........................13

1.9 Intentionally Left Blank ......................................................................................14

1.10 Client Excess Spreadsheet...................................................................................15

1.11 SwapClear Intra-Day Margin Call: Collateral Management...............................15

Schedule 1 Client Consent Form .............................................................................................21

Schedule 2 Clearing House Prescribed Language ...................................................................22

Schedule 3 Cleared Trade Removal Agreement......................................................................26

Schedule A The Registered Contracts .....................................................................................30

Schedule 4 Contingency Member Triparty Lodgement Form.................................................31

Schedule 5 Contingency Member Triparty Amendment Form ...............................................32

Schedule 6 Contingency Member Triparty Closing Form.......................................................33

Schedule 7 Contingency Member Triparty Lodgement Form.................................................34

Schedule 8 Contingency Member Triparty Amendment Form ...............................................36

Schedule 9 Contingency Member Triparty Closing Form.......................................................38

Schedule 10 Contingency Member Triparty Lodgement Form...............................................39

Schedule 11 Contingency Member Triparty Amendment Form .............................................40

Schedule 12 Contingency Member Triparty Closing Form.....................................................41

Schedule 13 Contingency Collateral Lodgement Form...........................................................42

Schedule 14 Contingency Collateral Release Form.................................................................44

Schedule 15 Client Excess Spreadsheet, Appendix.................................................................46

Schedule 16 Intra-Day House Cash Excess Transfer Form.....................................................47

Schedule 17 Contingency Custodial Segregated Account Affirmation Form.......................474
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 1 - April October 2016

1. COLLATERAL

1.1 General Information

The Clearing House is, at its sole discretion, entitled to determine what will be 

acceptable to it as Collateral and to determine when collateral will cease to be acceptable 

as Collateral.

If any instrument or security, lodged in accordance with any of the following 

Procedures, is in any way found to be unacceptable, it will immediately be given a 

zero value for the purposes of calculating the value of the Clearing Member Current 

Collateral Balance (the "Current Collateral Value"). Replacement Collateral may be 

required immediately from the Clearing Member.

1.1.1 Instructions

The Clearing House accepts instructions to lodge, release and transfer cash, 

securities and triparty Collateral via the online Collateral Management System 

("CMS"). Instructions for other types of Collateral must be sent via fax using 

the appropriate form in the Schedules. The lodgement/release forms must be 

sent in by fax and email to:

Email to: collateral.ops.uk@lchclearnet.com

Fax: +44 (0)20 7375 3518

Collateral Operations can be contacted on +44 (0)20 7426 7593.

The Clearing House is entitled to act upon CMS instructions and faxed 

instructions or communications appearing to have been issued by, on behalf 

of, or to have come from, a Clearing Member. These will be accepted by the 

Clearing House as genuine, even if, for example, they are later found:

(a) to be inaccurate, whether in whole or in part; or

(b) not to have been given by the Clearing Member or a client or with the 

authority of the Clearing Member or client.

The Clearing House will only accept delivery of non-cash Collateral from a 

Clearing Member in accordance with these Procedures, and will not sell or 

purchase or cash or non-cash Collateral for Clearing Members, except in so far 

as it is acting under its Default Rules and related Regulations or in relation to 

Exchange Rules.

The Clearing House reserves the right to require a Clearing Member to 

execute revised versions of the Form Deed of Charge and Client Consent 

documentation whenever the Clearing House, at its sole discretion, considers 

that it would be appropriate to do so.

The Clearing House reserves the right to change the information required on 

instructions received via the CMS, whenever the Clearing House, at its sole 

discretion, considers that it would be appropriate to do so.
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 2 - April October 2016

1.1.2 Excess Collateral

The Clearing House shall, at least once on each business day, notify each 

Clearing Member of the Required Margin Amount and the Total Required 

Margin Amount.

If a Clearing Member's Current Collateral Value exceeds the sum of that 

Clearing Member's Total Required Margin Amount and any other amounts 

which the Clearing Member is required to transfer to the Clearing House under 

Applicable Law (such excess being referred to in this Section 1.1.2 as the 

"excess collateral value"), then that Clearing Member may, in accordance 

with Sections 1.3 and 1.4 of the Procedures, request that some or all of the 

Collateral comprising its Clearing Member Current Collateral Balance (other 

than any Client Collateral) having a value not exceeding the excess collateral 

value (such Collateral being referred to in this Section 1.1.2 as "excess 

collateral") be returned or repaid by the Clearing House to, or to the order of, 

that Clearing Member.

In the event that the Clearing House expressly notifies the Clearing Member of 

a positive excess collateral value and that the Clearing House intends to levy a 

charge in respect of the excess collateral with effect from a date notified in 

that notification, and the Clearing Member does not take all reasonable steps 

to eliminate make a request for the return of the positive excess collateral 

value before the date so notified, the Clearing House may, in its discretion, but 

only from the date so notified, charge the Clearing Member in respect of the 

any such excess collateral at the rate of 1 basis point per day until the excess 

collateral is eliminated. Payment of this charge shall be collected on a monthly 

basis through that Clearing Member’s PPS sterling account.

If the Clearing House has received a request to return excess collateral, the 

Clearing House shall promptly take such steps as are necessary in accordance 

with Section 1.4 of the Procedures to transfer the amount of excess collateral 

specified in that request to or to the order of the relevant Clearing Member in 

respect of each account held by the Clearing Member with the Clearing 

House, provided that:

(ia) the Clearing House shall only be obliged to take such steps with 

respect to any Collateral pursuant to this Section 1.1.2 to the extent that 

it constitutes excess collateral;

and (iib) where the Clearing Member has requested that non-cash 

Collateral of a particular type in respect of an account be transferred, 

the Clearing House shall transfer such non-cash Collateral unless it 

determines, acting in a commercially reasonable manner, that 

transferring such non-cash Collateral would result in the Clearing 

House being unable to satisfy its policies on concentration limits in 

respect of the various types of non-cash Collateral held by it from time 

to time ("Concentration Limits”), in which case it shall (to the extent 

that alternative excess collateral is held in, or attributed to, such 

account and subject to the satisfaction of the Concentration Limits and 

any Cash Requirement (as defined in Section 1.1.2(c) below) in respect 
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 3 - April October 2016

of the account) transfer Collateral of a different type which has the 

same value as the requested Collateral and which, in the case of noncash Collateral, has been transferred to the Clearing House by that 

Clearing Member in respect of that particular account; and

(c) where the Clearing Member has requested that cash Collateral of a 

particular currency in respect of an account be transferred, the Clearing 

House shall transfer such cash Collateral unless it determines, acting in 

a commercially reasonable manner, that transferring such cash 

Collateral would result in the account not satisfying the Clearing 

House’s requirement for a minimum amount of cash Collateral in a 

particular currency to be held in, or attributed to, such account ("Cash 

Requirement"), in which case the Clearing House shall notify the 

Clearing Member thereof and shall not be obliged to transfer the 

requested cash Collateral.

Whether or not an excess collateral value exists in respect of an account of a 

Clearing Member, a Clearing Member may request that any cash amounts that 

are subject to the relevant Deed of cCharge as prescribed by the Clearing 

House from time to time and published on the Clearing House's website (such 

as, for example, interest payments received in connection with non-cash 

Collateral) be released from such charge and transferred to the Clearing House 

to be held as cash Collateral in respect of an account of that Clearing Member 

(a "Cash Transfer Request").

If the Clearing House has received a Cash Transfer Request, the Clearing 

House may, in its sole discretion, release the cash amount to which that Cash 

Transfer Request relates from the Deed of Ccharge as prescribed by the 

Clearing House from time to time and published on the Clearing House's 

website and treat that cash as having been transferred to the Clearing House by 

the relevant Clearing Member as cash Collateral in respect of the relevant 

account.

1.1.3 Substitution of non-cash Collateral

At any time, a Clearing Member may notify the Clearing House in accordance 

with Sections 1.3 and 1.4 of the Procedures that it wishes to substitute any 

non-cash Collateral in respect of an account which is subject to the charge 

referred to in Section 1.2.1 of the Procedures (the "Original Collateral") with 

replacement Collateral in respect of such account having a value not less than 

the Original Collateral (the "New Collateral") (such request being a 

"Substitution Request").

If the Clearing House has received a Substitution Request, it shall, promptly 

following the Clearing House being satisfied that the New Collateral has been 

transferred to the Clearing House in accordance with Section 1.3 and 1.4, take 

such steps as are necessary to transfer such Original Collateral to or to the 

order of the Clearing Member in respect of that particular account, provided 

that, if the Clearing House determines, acting in a commercially reasonable 

manner, that following such substitution the Clearing House would be unable 

to satisfy its policies on cConcentration lLimits in respect of the various types 
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 4 - April October 2016

of Collateral held by it from time to time, it shall notify the Clearing Member 

thereof and shall not be obliged to transfer the Original Collateral. If a 

Substitution Request is rejected, any New Collateral already transferred to the 

Clearing House in connection with that request shall be returned to the 

relevant Clearing Member as soon as reasonably practicable and in any case 

no later than two business days from the rejection of the relevant Substitution 

Request.

1.1.4 Lodgement of non-cash Collateral as replacement for cash Collateral

Clearing Members should note that they must give the Clearing House’s 

Treasury Operations no less than two business days' notice of their intention to 

transfer to the Clearing House non-cash Collateral with a value of £50 million 

sterling or more, and which is reasonably likely to have the effect that cash 

Collateral of a similar value is repayable by the Clearing House to that

Clearing Member as a result of such transfer. Treasury Operations must be 

advised no later than 15:30 two business days prior to the transfer. In the event 

that a Clearing Member requests the return of such cash Collateral without 

giving such notice, the Clearing House will decline to release such cash 

Collateral until the end of the required notice period. The Clearing House may 

extend the required notice period or vary the minimum Collateral value by 

written notice to Clearing Members.

1.1.5 Force Majeure

The Clearing House will not be liable for any failure, hindrance or delay in the 

performance (in whole or in part) of any of its obligations to Clearing 

Members with regard to non-cash Collateral where such failure, hindrance or 

delay arises from causes beyond the control of the Clearing House, such as 

(but not limited to) the failure (whether partial or total), interruption or 

suspension of any Collateral Agent, depository or custodian or other service 

("depository") that the Clearing House is using; the termination or suspension 

of the Clearing House's membership or use of the depository or any variation 

of the depository's operational timetable, whether or not occasioned by action 

of the depository operator or any other party; or any embargo, unavailability 

or restriction of bank transfer systems or wires; malfunction or overload of the 

depository; or any other emergency. This provision is without prejudice to the 

force majeure provisions of Clearing Members' agreements with the Clearing 

House.

1.1.6 Regulatory and Supervisory Information

In every case, the Clearing House will be entitled to supply a depository or 

Collateral Agent with all the information it requires for any purposes relating 

to a Clearing Member or a Clearing Client, or relating to non-cash Collateral 

received by the Clearing House from a Clearing Member or a Custodial 

Segregated Client which is, or may at any time have been, held by the 

depository or Collateral Agent. Non-cash Collateral that a Clearing Member or 

a Custodial Segregated Client provides to the Clearing House will be lodged 

and held with such depository or other systems as the Clearing House may 

select or allow, subject to the conditions of such systems, to any Applicable 
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 5 - April October 2016

Law and subordinate rules relating thereto, as well as to the terms of the

Clearing House's relevant Form Deed of Charge, Client Charge, Collateral 

Management Agreement, and charge documentation and these Procedures.

1.1.7 Interest Payments (coupons)

The Clearing House will remit interest amounts that arise in respect of noncash Collateral of a Clearing Member, taking into account any withheld tax, to 

such Clearing Members' relevant PPS banks on the appropriate value date, 

except where such Clearing Member is a Defaulter.

Any payment made under this Section 1.1.7 is processed using "Tender" 

ledgers designated "I" for Proprietary Accounts or "L" for Client Accounts.

1.1.8 Other Charges

The Clearing House will collect any other charges incurred as deemed 

necessary using PPS. Examples of such charges may include a Collateral 

Agent's overnight custody charge, transfer charges or any charges relating to 

the movement of non-cash Collateral. For a list of the Clearing House's 

Custody services fees, please refer to: http://www.lchclearnet.com/membersclients/members/fees-ltd/custody-services

1.2 Documentation

1.2.1 Form Deed of Charge

Clearing Members wishing to transfer non-cash Collateral to the Clearing 

House must complete and maintain a Deed Form of Charge document for the 

relevant type of Collateral (, e.g. securities). This document establishes a fixed 

charge over the Clearing Member's interests pursuant to the custody 

relationship which arises upon specified non-cash Collateral being transferred 

into an account with the Clearing House by the Clearing Member. The 

document is required to be executed in accordance with the instructions which 

accompany it. The Form Deed of Charge document covers non-cash Collateral 

that is transferred to the Clearing House via bilateral settlement or via triparty 

arrangements. For triparty arrangements using US domiciled custodians an 

equivalent to the Form Deed of Charge is incorporated within the relevant 

triparty agreement documentation. To operate triparty arrangements with the 

Clearing House an additional Collateral Services Agreement (or equivalent) 

must also be executed with the relevant triparty provider.

Charge documentation is available from the Clearing House Risk Department 

and should be returned on completion to that department. Where a Clearing 

Member transfers Collateral to the Clearing House to cover both a Proprietary 

Account and a Client Account it must execute two separate Deeds of Charge.

1.2.2 Segregation Rules

Instructions relating to transfers and requests for the return of Collateral must 

indicate the particular account to which they relate. Any Collateral transferred 
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 6 - April October 2016

to the Clearing House will be applied against the Clearing Member's 

(proprietary or client) margin liabilities as per the relevant documentation.

Collateral transferred to the Clearing House in respect of a Clearing Member's 

Client Account will not be applied by the Clearing House to the Clearing 

Member’s his liabilities on a Proprietary Account (see Regulation 10(d)

(Accounts)) or on another Client Account, except in the case of Cross-ISA 

Client Excess Deduction or pursuant to Rule 15(a)(ii) of the Default Rules or 

any Insufficient Resources Determination Rule.

Collateral transferred to the Clearing House in respect of a Clearing Member's 

Proprietary Account may be applied by the Clearing House towards the 

payment of any sum whatsoever due by the Clearing Member to the Clearing 

House, save that, subject to Rule 8(d) of the Default Rules and any Insufficient 

Resources Determination Rule, no Collateral (other than House Excess and, to 

the extent not already included in the relevant Clearing Member Current 

Collateral Balance, Client Buffer) charged transferred in respect of a Clearing 

Member's Proprietary Account shall be applied on or towards payment or 

satisfaction of any of the Clearing Member's liabilities to the Clearing House 

on any of the Clearing Member's Client Accounts.

1.2.3 Clearing Client Collateral

Where a Clearing Member wishes to transfer a Clearing Client's Collateral to 

the Clearing House, the Clearing Member must, inter alia, ensure that at all 

times it remains expressly agreed with the Clearing Client that the Clearing 

Member may charge the Collateral to the Clearing House, on the Clearing 

House's terms and free of the Clearing Client's or another owner's interest, to 

secure the Clearing Member's obligations to the Clearing House.

Where a Clearing Client's Collateral is to be transferred to the Clearing House, 

the Clearing Member must ensure that a Client Consent Form is completed by 

the beneficial owner (see Schedule 1).

The Clearing House gives no undertaking that, on the default of a Clearing 

Member, it will not utilise Clearing Clients' Collateral which has been 

transferred to it by a Clearing Member, before utilising any other form of 

Collateral the Clearing House may hold.

Section 7 of the Deed of Charge prohibits the existence of any other charge or 

security interest, whether created before or after the Clearing House's interest, 

without the Clearing House's prior written consent (except a deferred charge in 

favour of the Clearing Member himself). The Clearing House consents to 

certain such other charges as follows.

Where a Clearing Member accepts business from a non-clearing broker and 

transfers to the Clearing House as Collateral securities belonging to a client of 

that broker with the client's express agreement, Section 7(2) of the Deed of 

Charge will allow the Clearing Member to have a security interest in the 

securities deferred to that of the Clearing House. In addition, by the 

notification issued under Section 7(1) of the Deed of Charge, the Clearing 
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 8 - April October 2016

1.4 Settlement Procedures – Securities pProvided by a Clearing Member to the 

Clearing House on a bBilateral bBasis

All transactions to transfer securities non-cash Collateral from a Clearing Member to or

from the Clearing House or from the Clearing House to a Clearing Member will be 

executed free of payment.

1.4.1 Instruction Deadlines

Clearing Members may input security instructions via the CMS at any time.

Instructions will only be actioned by the Clearing House during operational 

hours.

The Collateral Team operational hours are: Monday – to Friday 08:00 –

21:00hrs UK time.

For settlement in Austraclear, the Collateral Team in Sydney are available 

from 09.:00 – 16.:30 (AEST).

Instruction deadlines for same day settlement:

CSD/cCustodian

Deadline for 

instructions

Euroclear UK/IE (CREST) 14.:00 (UK time)

Euroclear internal 17:00 (UK time)

Fedwire - Citi and BNYMellon

Austraclear

19:00 (UK time)

15:30 (AEST)

The Clearing House will input matching instructions to the relevant 

CSD/custodian for same day settlement when the instructions are received 

prior to the deadlines above.

1.4.2 Deliveries to and from Local Markets

The Clearing House is bound by the settlement deadlines of the relevant 

CSD/custodian. Clearing Members should refer to the relevant CSD/custodian 

for these deadlines. Note that for transactions from local markets the 

settlement deadline may be earlier than the Clearing House hours of operation 

and should therefore be instructed the day before the settlement date (i.e. on 

S-1). Instructions to the Clearing House must be provided at least one hour 

before the market deadline for same day settlement.

For example:
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 9 - April October 2016

Deliveries from Local Market

Custodian 

Deadline

Instruction Deadline 

to Clearing House 

(UK time)

Japan 07.55 17.00 on S-1

Belgium 14.50 13.50 on S

Italy 15.00 14.00 on S

1.4.3 Transfer of Securities from a Clearing Member to the Clearing House

Instructions for the transfer of securities from a Clearing Member to the 

Clearing House must be input via the CMS prior to the deadlines above for 

same day settlement. Settled transactions will be taken into account for the 

purposes of calculating the Clearing Member's Current Collateral Value

following settlement.

Transfer instructions for future settlement dates will be instructed same day if 

received prior to the deadlines. Instructions received after the deadlines will be 

instructed the following day.

1.4.4 Transfer of Securities from the Clearing House to a Clearing Member

(a) Release where Sufficient Collateral is Available

Instructions to release existing securities Collateral of a Clearing 

Member that are input via the CMS prior to the deadlines above for 

same day settlement will be actioned and the Collateral specified in 

those instructions will no longer be included when calculating the 

Clearing Member's Current Collateral Value (in each case subject to 

Section 1.1.2) on confirmation of those instructions by the Clearing 

House.

(b) Release where Sufficient Collateral is Unavailable

Instructions to release existing securities Collateral of a Clearing 

Member must be input via the CMS before 09:30 UK time. The 

Clearing Member will then be requested to transfer additional cash 

Collateral. Following confirmation of the cash call, the settlement 

instruction will, subject to Section 1.1.2, be sent to the CSD/custodian 

by the Clearing House and the Collateral specified in those instructions 

will, subject to Section 1.1.2, no longer be included when calculating 

the Clearing Member's Current Collateral Value.

1.4.5 Substitutions

Substitution instructions may be input via the CMS, and will, subject to 

Section 1.1.3 and to confirmation of those instructions by the Clearing House, 

be actioned on the same day if input prior to the deadlines above.
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 11 - April October 2016

Clearing Members may obtain originals of forms W-8BEN and W-9 from 

Treasury Operations.

Note: The Clearing House's arrangements with its custodians only allow for 

securities holdings of US corporations or foreign (i.e. non-US) entities 

or individuals. Clearing Members who wish to discuss the possibility 

of lodging securities belonging to owners excluded from this 

arrangement should contact Treasury Operations.

Unless the Clearing House has already received the appropriate tax form, 

transfers into A/c #090401 or #735136 must be accompanied by form W-9 and 

transfers into A/c #090372 or #735137 normally by form W-8BEN.

The Clearing House's acceptance of US securities does not indicate any 

responsibility for the adequacy or otherwise of tax documentation. Any 

queries in relation to these tax forms should be referred to your company 

accountant or professional advisers.

Completed tax forms should be returned to Treasury Operations for onward 

transmission to the Custodians.

1.5.2 Italian Securities

For tax purposes the Clearing House operates an account with Euroclear Bank 

specifically for deliveries of Italian securities from a Clearing Member –

account 91737.

This account is operated by the Clearing House in accordance with "Euroclear 

Procedures to Obtain Exemption from Italian Withholding Tax on Italian 

Domestic Debt Securities".

Beneficial owners are entitled to exemption at source from Italian Withholding 

Tax on Italian securities if they are:

(a) resident in a country that has entered into a double taxation agreement 

with Italy (except black list countries/countries that do not have a tax 

treaty with Italy); or

(b) a corporation resident in Italy; or

(c) a supranational organisation recognised by Italian law.

Beneficial owners are required to supply duly completed and executed official 

forms as proof of eligibility to the exemption and where applicable supply 

additional documentation, before a delivery can be made into this account.

Official forms are available on request from the Treasury Operations 

Department.

Original forms are to be received by the Clearing House before Italian 

securities can be accepted within the gross account 91737.
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 13 - April October 2016

1.8 Triparty Service with Euroclear, Clearstream and BNY Mellon 

1.8.1 General Information

In order for a Clearing Member to transfer securities to the Clearing House 

using a triparty arrangement, such Clearing Members, the relevant triparty 

agent and the Clearing House must have completed and signed the relevant 

documentation. Please contact Treasury Operations on +44 (0)207 426 7237 

for more information.

Clearing Members may execute a 'Triparty' trade denominated in Euro, 

Sterling or United States dollars to cover initial margin requirements at the 

Clearing House. Triparty instructions must be provided to the Clearing House 

via the CMS.

Instructions for Euroclear Bank and Clearstream may be input for future 

settlement dates. Instructions with BNY Mellon must be for same day 

settlement.

The Clearing House supports triparty arrangements at BNY Mellon using their 

US domestic platform and only for US eligible securities.

Under the triparty arrangement, beneficial ownership for all securities must 

belong to the Clearing Member.

In the event that Clearing Members are unable to make triparty instructions via 

the Collateral Management System (CMS), it will be possible to instruct using 

the relevant triparty contingency forms found in the appendices of this section.

Triparty transactions must be a minimum of one million GBP, EUR or USD. 

Note: In these procedures, "S" refers to the settlement day, and "S-1" to the 

working day before the settlement day.

1.8.2 Lodgement and Increase Procedure

Last instruction 

deadline to the Clearing 

House for (UK Time):

Euroclear Bank Clearstream BNY Mellon

Same day settlement 17.00 18.00 22.30

Next day settlement 17.00 (S-1) 18.00 (S-1) N/A
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 14 - April October 2016

1.8.3 Decrease and Closing Procedure

Last instruction 

deadline to the Clearing 

House for (UK Time):

Euroclear Bank Clearstream BNY Mellon

Same day settlement 17.00 18.00 22.30

Next day settlement 17.00 (S-1) 18.00 (S-1) N/A

Sufficient Collateral:

Where the Clearing Member has sufficient Collateral available, the release or 

closure of the triparty transaction will be processed on the same day and the 

reduction will be taken into account for the purpose of calculating the Clearing 

Member's Current Collateral Value.

Insufficient Collateral:

Where the Clearing Member has insufficient Collateral to release the triparty 

transaction, the Clearing Member's Current Collateral Value will be deemed to 

be decreased overnight. The following morning the Clearing House will only 

release the triparty transaction after 09.00 when any PPS cash calls have been 

confirmed.

Triparty deficits:

In the event that the Clearing House determines that a shortfall exists under a 

triparty arrangement, whether because of a decrease in the value of securities 

provided or otherwise, and such shortfall has not been made good by the 

inclusion of additional securities, the Clearing House shall be entitled to make 

one or more PPS cash calls in respect of such shortfall. Cash calls in relation 

to shortfalls will be called in accordance with paragraph 1.3 (Protected 

Payments System (PPS)) of Section 3 of the Procedures (Financial 

Transactions) and held in a separate account. Such cash shall either be

credited to the Clearing Member upon the Clearing Member or the relevant 

Custodial Segregated Client making good the deficit pursuant to the triparty 

arrangement or retained as Collateral if the Clearing Member or a relevant 

Custodial Segregated Client does not make good the deficit.

1.9 Custodial Segregated Accounts 

A Clearing Member may, in respect of a Custodial Segregated Account, affirm an 

increase or decrease of the transaction amount of a triparty transaction between the 

Clearing House, the relevant Custodial Segregated Client (or its custodian) and the 

triparty agent in the circumstances set out in the relevant Collateral Management 

Agreement.
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 15 - April October 2016

A Clearing Member may, via the CMS, elect to make such affirmation either 

manually ("Manual Affirmation") or using the auto-affirmation options in CMS. If 

a Clearing Member has elected Manual Affirmation, then the deadline by which it 

may affirm an increase or decrease of the transaction amount of a triparty transaction, 

via the CMS, is as follows: 

Manual Affirmation deadline 17:00 (UK time)

1.9 Intentionally Left Blank

1.10 Client Excess Spreadsheet

A SwapClear Clearing Member can transfer non-cash Client Excess in respect of a 

Client Account or request that the Clearing House calls Client Excess in the form of 

cash directly from the SwapClear Clearing Member.

The SwapClear Clearing Member is responsible for maintaining a record of the Client 

Excess held on behalf of each Omnibus Gross Segregated Clearing Client (other than 

a Combined Omnibus Gross Segregated Clearing Client) or a group of Combined 

Omnibus Gross Segregated Clearing Clients (see Client Excess Spreadsheet, Schedule 

15).

The Client Excess Spreadsheet submitted by a SwapClear Clearing Member to the 

Clearing House is the primary record of the Client Excess held on behalf of each 

Omnibus Gross Segregated Clearing Client or group of Combined Omnibus Gross

Segregated Clearing Clients (as applicable) in an Omnibus Gross Segregated 

Account. A SwapClear Clearing Member must provide an updated version to the 

Clearing House whenever Client Excess is utilised to discharge margin obligations 

relating to an Omnibus Gross Segregated Clearing Client in an Omnibus Gross 

Segregated Account.

1.11 SwapClear Intra-Day Margin Call: Collateral Management

For the avoidance of doubt, this Section 1.11 applies only in respect of the SwapClear 

Service. 

1.11.1 General – Intra-day Margining

Following an intra-day margin call and unless notified otherwise by a 

SwapClear Clearing Member at the time of an intra-day margin call, the 

Clearing House will deduct cash, in the appropriate currency, directly from the 

relevant SwapClear Clearing Member's PPS account to cover that intra-day 

margin call.

Standard Clearing House rules as to the currencies in which cash Collateral 

may be transferred to the Clearing House to satisfy an intra-day Collateral 

requirement will apply.
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 31 - April October 2016

SCHEDULE 4

CONTINGENCY MEMBER TRIPARTY LODGEMENT FORM

MEMBER TRIPARTY 

LODGEMENT FORM

EUROCLEAR

Version 1: July 2007

To LCH.Clearnet Limited ("the Clearing House")

LCH.Clearnet Limited Ref No: 00001ATS

From Clearing Member (full name) ............................................................................................................

House/Client* Mnemonic ................................................... * Please delete as 

appropriate

We are entitled to the entire beneficial interest in these securities.

We acknowledge that these securities may be held by any custodian in any depository, securities 

clearing or settlement system (in the United Kingdom or elsewhere) which may for the time being be 

customarily used in connection with securities of similar kinds on a fungible basis and subject to the 

rules of the relative system and the terms and conditions of its operator, and the Clearing House has 

no responsibility for the performance of any such custodian, system or operator and in particular we 

consent to the securities being held in the Euroclear clearance system subject to fungibility regime 

organised by the Belgian Royal Decree No. 62 of 10 November 1967 promoting the circulation of 

securities as amended from time to time.

Execution Date Currency Nominal Amount

Collateral Giver 

Account Number

Collateral Taker 

Account Number

Signatories for and on behalf of 

The Clearing Member

1. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

2. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

Date: ............................
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 32 - April October 2016

SCHEDULE 5

CONTINGENCY MEMBER TRIPARTY AMENDMENT FORM

MEMBER TRIPARTY 

AMENDMENT FORM

EUROCLEAR

Version 1: May 2007

To LCH.Clearnet Limited ("the Clearing House")

From Clearing Member (full name) ............................................................................................................

House/Client* Mnemonic ................................................... * Please delete as 

appropriate

We are entitled to the entire beneficial interest in these securities.

We acknowledge that these securities may be held by any custodian in any depository, securities 

clearing or settlement system (in the United Kingdom or elsewhere) which may for the time being be 

customarily used in connection with securities of similar kinds on a fungible basis and subject to the 

rules of the relative system and the terms and conditions of its operator, and the Clearing House has 

no responsibility for the performance of any such custodian, system or operator and in particular we 

consent to the securities being held in the Euroclear clearance system subject to fungibility regime 

organised by the Belgian Royal Decree No. 62 of 10 November 1967 promoting the circulation of 

securities as amended from time to time.

Execution 

Date

Lodgement 

Number

Increase/ 

Decrease

Amount of 

Increase/ 

Decrease Currency

New 

Nominal 

Amount

Collateral 

Giver Account 

Number

Collateral 

Taker 

Account 

Number

Signatories for and on behalf of 

The Clearing Member

1. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

2. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

Date: ............................
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 33 - April October 2016

SCHEDULE 6

CONTINGENCY MEMBER TRIPARTY CLOSING FORM

MEMBER TRIPARTY CLOSING

FORM

EUROCLEAR

Version 1: May 2007

To LCH.Clearnet Limited ("the Clearing House")

From Clearing Member (full name) ............................................................................................................

House/Client* Mnemonic ................................................... * Please delete as 

appropriate

Lodgement 

Number

Closing Date 

& Execution 

Date Currency

Nominal 

Amount

Collateral 

Giver 

Account 

Number

Collateral 

Taker Account 

Number

Signatories for and on behalf of 

The Clearing Member

1. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

2. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

Date: ............................
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 34 - April October 2016

SCHEDULE 7

CONTINGENCY MEMBER TRIPARTY LODGEMENT FORM

MEMBER TRIPARTY 

LODGEMENT FORM

CLEARSTREAM

Version 1: July 2007

To LCH.Clearnet Limited ("the Clearing House")

LCH.Clearnet Limited Ref No:

From Clearing Member (full name) ............................................................................................................

House/Client* Mnemonic ................................................... * Please delete as 

appropriate

We are entitled to the entire beneficial interest in these securities.

We acknowledge that these securities may be held by any custodian in any depository, securities 

clearing or settlement system (in the United Kingdom or elsewhere) which may for the time being be 

customarily used in connection with securities of similar kinds on a fungible basis and subject to the 

rules of the relative system and the terms and conditions of its operator, and the Clearing House has 

no responsibility for the performance of any such custodian, system or operator and in particular we 

consent to the securities being held in the Clearstream clearance system subject to the fungibility 

regime organised by the Luxembourg Law of 1 August 2001 on the circulation of securities and other 

financial instruments as amended from time to time.

Execution Date Currency

Nominal 

Amount

Collateral 

Giver Account 

Number

Collateral 

Taker Account 

Number

Signatories for and on behalf of 

The Clearing Member

1. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

2. ............................ ............................ ...........................

(Signature) (Print Name) (Position)
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 35 - April October 2016

Date: ............................
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 36 - April October 2016

SCHEDULE 8

CONTINGENCY MEMBER TRIPARTY AMENDMENT FORM

MEMBER TRIPARTY 

AMENDMENT FORM

CLEARSTREAM

Version 1: May 2007

To LCH.Clearnet Limited ("the Clearing House")

From Clearing Member (full name) ............................................................................................................

House/Client* Mnemonic ................................................... * Please delete as 

appropriate

We are entitled to the entire beneficial interest in these securities.

We acknowledge that these securities may be held by any custodian in any depository, securities 

clearing or settlement system (in the United Kingdom or elsewhere) which may for the time being be 

customarily used in connection with securities of similar kinds on a fungible basis and subject to the 

rules of the relative system and the terms and conditions of its operator, and the Clearing House has 

no responsibility for the performance of any such custodian, system or operator and in particular we 

consent to the securities being held in the Clearstream clearance system subject to the fungibility 

regime organised by the Luxembourg Law of 1 August 2001 on the circulation of securities and other 

financial instruments as amended from time to time..

Execution 

Date

Lodgement 

Number

Increase/ 

Decrease

Amount of 

Increase/ 

Decrease Currency

New 

Nominal 

Amount

Collateral 

Giver Account 

Number

Collateral 

Taker 

Account 

Number

Signatories for and on behalf of 

The Clearing Member

1. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

2. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

Date: ............................
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 38 - April October 2016

SCHEDULE 9

CONTINGENCY MEMBER TRIPARTY CLOSING FORM

MEMBER TRIPARTY CLOSING

FORM

CLEARSTREAM

Version 1: May 2007

To LCH.Clearnet Limited ("the Clearing House")

From Clearing Member (full name) ............................................................................................................

House/Client* Mnemonic ................................................... * Please delete as 

appropriate

Lodgement 

Number

Closing Date 

& Execution 

Date Currency

Nominal 

Amount

Collateral 

Giver 

Account 

Number

Collateral 

Taker Account 

Number

Signatories for and on behalf of 

The Clearing Member

1. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

2. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

Date: ............................
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 39 - April October 2016

SCHEDULE 10

CONTINGENCY MEMBER TRIPARTY LODGEMENT FORM

MEMBER TRIPARTY 

LODGEMENT FORM

BNY Mellon US domestic platform 

(GSCX)

Version 1: Mar 2014

To LCH.Clearnet Limited ("the Clearing House")

LCH.Clearnet Limited Ref No:

From Clearing Member (full name) ............................................................................................................

House/Client* Mnemonic ................................................... * Please delete as 

appropriate

We are entitled to the entire beneficial interest in these securities.

We acknowledge that these securities may be held by any custodian in any depository, securities

clearing or settlement system which may for the time being be customarily used in connection with 

securities of similar kinds on a fungible basis and subject to the rules of the relative system and the 

terms and conditions of its operator, and the Clearing House has no responsibility for the performance 

of any such custodian, system or operator.

Execution Date

Currency (USD

only) Amount

Collateral 

Giver Account 

Number

Collateral 

Taker Account 

Number

Signatories for and on behalf of 

The Clearing Member

1. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

2. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

Date: ............................
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 40 - April October 2016

SCHEDULE 11

CONTINGENCY MEMBER TRIPARTY AMENDMENT FORM

MEMBER TRIPARTY 

AMENDMENT FORM

BNY Mellon US domestic platform 

(GSCX)

Version 1: Mar 2014

To LCH.Clearnet Limited ("the Clearing House")

From Clearing Member (full name) ............................................................................................................

House/Client* Mnemonic ................................................... * Please delete as 

appropriate

We are entitled to the entire beneficial interest in these securities.

We acknowledge that these securities may be held by any custodian in any depository, securities 

clearing or settlement system which may for the time being be customarily used in connection with 

securities of similar kinds on a fungible basis and subject to the rules of the relative system and the 

terms and conditions of its operator, and the Clearing House has no responsibility for the performance 

of any such custodian, system or operator.

Execution 

Date

CMS 

Reference

Increase/ 

Decrease Currency

New 

Amount

Collateral Giver 

Account Number

Collateral Taker 

Account Number

Signatories for and on behalf of 

The Clearing Member

1. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

2. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

Date: ............................
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 41 - April October 2016

SCHEDULE 12

CONTINGENCY MEMBER TRIPARTY CLOSING FORM

MEMBER TRIPARTY CLOSING

FORM

BNY Mellon US domestic platform 

(GSCX)

Version 1: Mar 2014

To LCH.Clearnet Limited ("the Clearing House")

From Clearing Member (full name) ............................................................................................................

House/Client* Mnemonic ................................................... * Please delete as 

appropriate

CMS 

Reference

Closing Date 

& Execution 

Date Currency Amount

Collateral 

Giver 

Account 

Number

Collateral 

Taker Account 

Number

Signatories for and on behalf of 

The Clearing Member

1. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

2. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

Date: ............................
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 42 - April October 2016

SCHEDULE 13

CONTINGENCY COLLATERAL LODGEMENT FORM

CONTINGENCY COLLATERAL LODGEMENT FORM

Version 1: December 2011

To: LCH.Clearnet Limited (the "Clearing House") LCH.Clearnet Limited Ref No:

From: Clearing Member (full name) ....................................................................................................................................

House/Client/Buffer* Mnemonic:.................................................... *Please delete as appropriate

We are/A client is* entitled to the entire beneficial interest in these securities. (If a client is entitled to the entire beneficial 

interest, a Client Consent Form must be completed by the client and submitted to the Clearing House.)

*Please delete as appropriate

Beneficial Owner Name (full name) _____________________________________________________________

We acknowledge that these securities may be held by any custodian in any depository, securities clearing or settlement 

system (in the United Kingdom or elsewhere) which may for the time being be customarily used in connection with 

securities of similar kinds on a fungible basis and subject to the rules of the relative system and the terms and conditions of 

its operator, and the Clearing House has no responsibility for the performance of any such custodian, system or operator and 

in particular we consent to the securities being held in the Euroclear clearance system subject to the fungibility regime 

organised by the Belgian Royal Decree No. 62 of 10 November 1967 promoting the circulation of securities as amended 

from time to time.

Security Code Number Settlement Date Trade Date Amount/Nominal Value

Description of 

Security

Delivery from: Depository/Agent

(for US Securities, Broker Code):

Account Holder:

Account Number:

Beneficial Owner Italian Tax ID:

Delivery to:

BONY (US 

Owners)

BONY (NonUS Owners)Citibank (US 

Owners)

Citibank 

(Non-US 

Owners)

Euroclear 

Bank (Global)

Euroclear 

Bank (Italian)

Euroclear UK 

& Ireland 

(Crestco)

735136 735137 090401 090372 91205 91737 5165

Signatories for and on behalf of The 

Clearing Member

1.

(Signature) (Print Name) (Position)

2.

(Signature) (Print Name) (Position)
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 43 - April October 2016

Date:
Clearing House Procedures Collateral

LCH.Clearnet Limited © 2016 - 44 - April October 2016

SCHEDULE 14

CONTINGENCY COLLATERAL RELEASE FORM

CONTINGENCY COLLATERAL RELEASE FORM

Version 1: February 2011

To: LCH.Clearnet Limited (the "Clearing House")

From: Clearing Member (full name) ....................................................................................................................................

House/Client/Buffer* Mnemonic:................................................... *Please delete as appropriate

We hereby request you to release the securities described below.

Security Code Number 

(e.g.: ISIN) Delivery Date Trade Date

Amount/Nominal 

Value(Issue - Coupon -

Maturity)

Description of 

Security

(The Clearing House Ref No: (from lodgement form)

Delivery to: Depository/Agent

US Securities, Broker Code

Account Holder:

Account Number

Signatories for and on behalf of The 

Clearing Member

1.

(Signature) (Print Name) (Position)

2.

(Signature) (Print Name) (Position)

Date:

To: THE ABOVE-NAMED CLEARING MEMBER

The release of the above-mentioned securities is agreed.

For and on behalf of LCH.Clearnet Limited Date Time

(Authorised Signatory)

Registered in England No. 25932 Registered Office: Aldgate House, 33 Aldgate High Street, London EC3N 1EA

Recognised as a Clearing House under the Financial Services and Markets Act 2000.LCH.
LCH.Clearnet Limited © 2016 - 47 - October February 2016

SCHEDULE 16

INTRA-DAY HOUSE CASH EXCESS TRANSFER FORM

Version 2: 2013

Completed forms should be sent to the Clearing House Treasury Department 

(scmcollateral@lchclearnet.com).

From: Clearing Member (full name) House Account:

To: Client Account Mnemonic:

We wish to transfer the following amount of cash Collateral from our Proprietary Account to 

the Client Account as detailed above. We confirm that we are duly authorised, on behalf of 

the Clearing Member detailed above, to instruct the Clearing House to make this transfer.

Amount

Signatories for and on behalf of 

the Clearing Member: 1.

(Signature) (Print Name) (Position)

2.

(Signature) (Print Name) (Position)

Date:
LCH.Clearnet Limited © 2016 - 48 - October February 2016

SCHEDULE 17 

CONTINGENCY CUSTODIAL SEGREGATED ACCOUNT AFFIRMATION FORM 

CUSTODIAL SEGREGATED ACCOUNT 

AFFIRMATION FORM 

To LCH.Clearnet Limited ("the Clearing House")

From Clearing Member (full name) ..............................................................................................................................

Mnemonic: Sub Account: Client ID:

Agent 

Reference

Execution 

Date Currency

New 

Amount

Collateral 

Giver 

Account 

Number

Collateral 

Taker 

Account 

Number

Set 

Code

We confirm that we:

(please circle the action you 

wish to take) 

affirm the new triparty 

transaction amount specified 

above under “New Amount”

do not affirm the new triparty 

transaction amount specified 

above under “New Amount”. 

Signatories for and on behalf of the 

Clearing Member

1. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

2. ............................ ............................ ...........................

(Signature) (Print Name) (Position)

Date: ............................

[PLEASE NOTE – THIS FORM IS TO BE COMPLETED BY THE CLEARING 

HOUSE AND SENT TO THE CLEARING MEMBER FOR SELECTION OF THE 

APPLICABLE OPTION AND SIGNING]