Classification: Public

 

LCH SA 

CDS Clearing Procedures 

Section 5 ‐ CDS Clearing Operations

18 May 2022

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LCH SA © [●]  2022 2   Published on [●]  16 May 2022

CONTENTS 

SECTION 5 - CDS CLEARING OPERATIONS 

5.1 THE CDS CLEARING SERVICE ....................................................................................... 35.1

 THE CDS CLEARING SERVICE ......................................................................................... 3

5.2 BACKLOADING TRANSACTIONS ....................................................................................... 3 

5.3 CLEARING OF CLIENT TRADE LEGS ................................................................................. 6 

5.4 CDS CLEARING MEMBER REPORTING ............................................................................. 8 

5.5 TRADE COMPRESSION ......................................................................................................... 8 

5.6 PRE-DEFAULT PORTABILITY ........................................................................................... 11 

5.7 EARLY TERMINATION ....................................................................................................... 17 

5.8 UPDATING THE TRADE INFORMATION WAREHOUSE ............................................... 17 

5.9 REGISTRATION OF SINGLE NAME CLEARED TRANSACTIONS ................................ 20 

5.10 DIFFERENCES IN RECORDS .............................................................................................. 20 

5.11 REGISTRATION OF CLEARED TRANSACTIONS ............................................................ 20 

5.12 HEDGING TRANSACTIONS ................................................................................................ 22 

5.13 REVERSING OF TRADES .................................................................................................... 22 

5.14 MAXIMUM NOTIONAL AMOUNT ..................................................................................... 22 

5.15 RECOUPONING ..................................................................................................................... 22 

5.16 REPORTS ................................................................................................................................ 23 

5.17 REGULATORY REPORTING ............................................................................................... 38 

5.18 END OF DAY PRICE CONTRIBUTION .............................................................................. 39 

5.19 DELEGATION BY CLEARING MEMBERS TO CLIENTS AND ELECTRONIC 

EXERCISE PLATFORM .................................................................................................... 4444

 
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Capitalised terms used in this CDS Clearing Operations Procedure and not otherwise defined herein

shall have the meaning given pursuant to the remainder of the CDS Clearing Documentation, as such

term is defined in the document entitled "CDS Clearing Rule Book" published by LCH SA, as amended

from time to time.

5.1 THE CDS CLEARING SERVICE 

(a) Membership of Industry Organisations or Systems

Pursuant to Article 2.2.6.1 of the CDS Clearing Rule Book, LCH SA designates:

(i)   the Approved Trade Source Systems identified in a Clearing Notice;

(ii)   ISDA; and

(iii)    TIW,  

asthe industry organisations of which all Clearing Members must be a member (provided that,

with respect to Approved Trade Source System membership, a Clearing Member must be a

member of at least one (but is not required to be a member of each identified Approved Trade

Source System).  LCH SA may, from time to time, and where it is reasonable for it to do so or

is otherwise necessary for a Clearing Member to utilise the CDS Clearing Service, designate

other industry organisations orsystems, and will issue a Clearing Notice where thisisthe case.

(b) Business Days

A "Business Day" is defined in the CDS Clearing Rule Book. It is every day, except days on which

TARGET2 is closed, irrespective of public holidays in France or elsewhere.

(c) Opening Hourshours

LCH SA is open from 08.00 CET until 19.30 CET on all Business Days.during the Real Time

Session. During the Opening HoursReal Time Session the operations team of LCH SA is

available. The operations team handles all questions relating to trade management. The

customer technical helpdesk is open from 07.00 CET until 22.00 CET for any problem

concerning accessing files.  

(d) Clearing Days

A "Clearing Day" is defined in the CDS Clearing Rule Book.  It is a day on which the CDS Clearing

System is open for business. For the avoidance of doubt, all Clearing Days will be Business

Days, but not all Business Days will be Clearing Days.

5.2 BACKLOADING TRANSACTIONS 

Unless otherwise provided herein, any email required to be sent to LCH SA under this

paragraph 5.2 should be sent to the CDSClear Operations Department at the following email

address: cdsclear.ops@lch.com.
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(a) Backloading Failure

Pursuant to Article 3.1.3.1 of the CDS Clearing Rule Book, if a Backloading Failure

occurs in respect of one or more Clearing Member(s), the following will be removed

from the relevant Weekly Backloading Cycle and/or Daily Backloading Cycle:

(i) the trade leg of every Backloading Transaction which was due to give rise to

the registration of a Cleared Transaction in the Trade Account(s) of the Failed

Backloading Clearing Member(s);  

(ii) the corresponding trade leg(s) for each Backloading Transaction mentioned

in Paragraph 5.2(a) (i) above and which were due to give rise to the registration of

Cleared Transaction(s) in any Trade Account(s) of any Clearing Member other than the

Failed Backloading Clearing Member(s) (the “Counterparty Clearing Member(s)”); and

(iii) the following Backloading Transactions, which are “linked” to the Backloading

Transactions referenced in Paragraph 5.2(a)(i) and (ii) above for the purposes of

Article 3.1.3.1 of the CDS Clearing Rule Book, and comprise:

(a) the trade legs of any other Backloading Transactions due to give rise to the

registration of a Cleared Transaction in any Trade Account of the Counterparty

Clearing Member;

(b) the corresponding trade legs of each Backloading Transaction mentioned in

Paragraph 5.3 (a)(iii)(a) above and which were due to give rise to the registration

of Cleared Transaction(s) in any Trade Account(s) of any Clearing Members other

than the Failed Backloading Clearing Member(s) and the Counterparty Clearing

Member(s) (the “Indirect Counterparty Clearing Member(s)”).

The provisions of Paragraph 5.3(a)(iii) shall apply mutatis mutandis to the Backloading

Transactions to which the Indirect Counterparty Clearing Member(s) are party;

accordingly, any Backloading Transaction which is “linked” to a Backloading

Transaction entered into by an Indirect Counterparty Clearing Member will also be

removed from the relevant Weekly Backloading Cycle and/or Daily Backloading Cycle.
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The following diagram illustrates the Backloading Transactions which will be removed from

the relevant Weekly Backloading Cycle and/or Daily Backloading Cycle.

In this diagram, Backloading Transactions entered into between seven Clearing Members have

been considered:

- CM1 has entered into Backloading Transactions with CM2 and CM3;

- CM2 has entered into Backloading Transactions with CM1 and CM4;

- CM3 has entered into Backloading Transactions with CM1;  

- CM4 has entered into Backloading Transactions with CM2; and

- CM5, CM6 and CM7 have entered into Backloading Transactions with each other.

Assuming CM1 is a Failed Backloading Clearing Member, the following Backloading

Transactions will be removed from the relevant Weekly Backloading Cycle and/or Daily

Backloading Cycle and shall become Rejected Transactions:

- Backloading Transactions entered into by CM1;

- Backloading Transactions entered into by CM2 and CM3, including any Backloading

Transaction which has not been entered into with CM1; and

- Backloading Transactions entered into by CM4 (for the avoidance of doubt, which would

also include any Backloading Transaction which was not entered into with CM2 but with

other Clearing Members, should it be the case).

Only the Backloading Transactions entered into by CM5, CM6 and CM7 will be novated.
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(b) Weekly Backloading Cycle

Pursuant to Section 3.1.1 of the CDS Clearing Rule Book, LCH SA operates a Weekly

Backloading Cycle in accordance with the timetable set out in a Clearing Notice. For the

avoidance of doubt, only CDS or Index Swaption with two House Trade Legs can be submitted

for clearing through the Weekly Backloading Cycle.

(c) Daily Backloading Cycle

Pursuant to Section 3.1.2 of the CDS Clearing Rule Book, LCH SA operatesthe Daily Backloading

Cycle in accordance with the timetable set out in a Clearing Notice. Forthe avoidance of doubt,

CDS or Index Swaption having either House Trade Legs or Client Trade Legs can be submitted

for clearing through the Daily Backloading Cycle.

5.3 CLEARING OF CLIENT TRADE LEGS 

(a) The Client Transaction Checks

Upon successful completion of the Eligibility Controls of:

(i)   an Intraday Transaction, other than an Intraday Transaction that is a Trading Venue

Transaction, comprising one or more Client Trade Leg(s), or  

(ii) a Client Backloading Transaction,  

LCH SA will request the consent (the “Consent Request”) of the Nominated Clearing

Member(s) by carrying out the following process:

(i)   if such Intraday Transaction or Client Backloading Transaction has two Client Trade

Legs and the relevant Clients do not have the same Nominated Clearing Member: LCH SA will

send a Consent Request to each Nominated Clearing Member;

(ii) if such Intraday Transaction or Client Backloading Transaction has two Client Trade

Legs and the relevant Clients have the same Nominated Clearing Member, LCH SA will send

two separate Consent Requests, in relation to the relevant Intraday Transaction or Client

Backloading Transaction, to such Nominated Clearing Member;

(iii)   if such Intraday Transaction or Client Backloading Transaction has only one Client

Trade Leg, LCH SA will send (x) a Consent Request to the Nominated Clearing Member and (y)

an automated message to the Clearing Member holding the House Trade Leg confirming the

submission for clearing to LCH SA of such Intraday Transaction or Client Backloading

Transaction.  

A Consent Requestshall be processed in accordance with either paragraph 5.3(b) or paragraph

5.3(c).
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(b) Intraday Transactions and Client Backloading Transactions – Automatic Clearing

Member take‐up process

Each Clearing Member may, in respect of each of its Clients, configure the CDS Clearing System

so that Intraday Transactions, which are not Trading Venue Transactions, and/or Client

Backloading Transactions:

(i)   which are entered into by any such Clients, and  

(ii) in respect of which it is a Nominated Clearing Member,  

are deemed to be automatically accepted for clearing upon the sending of the relevant

Consent Request(s) to such Nominated Clearing Member (the “Automatic Take‐up Process”).

For the avoidance of doubt, such Nominated Clearing Member shall, in each case, not be

requested to respond to the relevant Consent Request(s).

(c) Intraday Transactions and Client Backloading Transactions – Manual Clearing Member

take‐up process

For each Client in respect of which no Automatic Take‐up Process has been set up by its

Clearing Member:

(i)   LCH SA shall send a Consent Request to such Clearing Member, acting in its capacity

as Nominated Clearing Member, for each Intraday Transaction, other than an Intraday

Transaction that is a Trading Venue Transaction, or Client Backloading Transaction

entered into by such Client; and

(ii)   the relevant Nominated Clearing Member must accept or rejectsuch Consent Request

(the “Manual Take‐up Process”). If the relevant Nominated Clearing Member has not

responded to such Consent Request within the required timeframe, if any, under

Applicable Law, or otherwise by the End of Real Time on the relevant Clearing Day,

the Nominated Clearing Member will be deemed to have rejected the Consent

Request and the related Intraday Transaction or Client Backloading Transaction will

become a Rejected Transaction.

(d) Intraday Transactions and Client Backloading Transactions ‐ Notifications

Following the Automatic Take‐up Process or the Manual Take‐up Process, LCH SA will notify

the relevant Approved Trade Source System, Trading Venue and/or Clearing Member(s) (as

applicable) whether the relevant Intraday Transaction or Client Backloading Transaction has

been accepted or rejected for clearing within the required timeframe, if any, under Applicable

Law.

(e) Indirect clearing

When a CCM Client providing indirect clearing servicesto CCM Indirect Clientssubmits a Client

Trade Leg of a CDS or of an Index Swaption for the account of a CCM Indirect Client for clearing

by LCH SA via an Approved Trade Source System, that CCM Client will indicate the specific

trading code allowing for the proper identification of Client Trade Legs submitted for its CCM

Indirect Client.   LCH SA will then use that specific trading code, together with the Original

Transaction Data, received from the Approved Trade Source System to determine the

appropriate CCM Client Trade Account of the relevant CCM Indirect Client Segregated Account

Structure in which to register such Client Trade Leg.
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(f) Clients and CCM Indirect Clients’ branches

Each Client of a Clearing Member may opt for multi‐branch management allowing such Client

to allocate Client Cleared Transactions registered in the relevant Client Trade Account to one

of its branches or as the case may be, CCM Indirect Clients’ branches, through which such

Client, or CCM Indirect Client, operates. For this purpose, the Client will provide a specific code

identifying its branch or the CCM Indirect Client’s branch for a Client Trade Leg submitted for

clearing to LCH SA by the relevant ATSS Participant.

The Clearing Member may update the allocation of Client Cleared Transactions registered in

a Client Trade Account of such Client between its branches or, as the case may be, between

the CCM Indirect Clients’ branches, through the LCH Portal. Where each branch of a Client or

a CCM Indirect Client’s branch is identified in the TIW with a specific code, LCH SA will reflect

each reallocation in the records of the TIW on its own behalf and on behalf of the relevant

Clearing Member.

“LCH Portal” is the single sign‐on solution for various LCH SA applications to which Clearing

Members may have access over secured Internet.

For the avoidance of doubt, identification per branch of a Client or a CCM Indirect Client only

affects Client Cleared Transactions held in the relevant Client Trade Account and has no effect

on the net position held in the corresponding Client Margin Account. Furthermore,

identification per branch of a Client or a CCM Indirect Client has no effect on the risk

calculation which is based on the net position held in the relevant Client Margin Account.

5.4 CDS CLEARING MEMBER REPORTING 

(a) Means of access and reporting mechanisms

LCH SA will ensure that all CDS Clearing System reports and files are accessible by Clearing

Members through any means of access or reporting mechanism specified in a Clearing Notice.

(b) ClearLink gateway

Messages relating to the acceptance or rejection of Consent Requests, the novation and

registration of Original Transactions and the various reports related to Cleared Transactions

will be sent and received by LCH SA, the Clearing Members, the Approved Trade Source

Systems using the ClearLink gateway.

5.5 TRADE COMPRESSION 

LCH SA will provide trade compression services to Clearing Members on an ad hoc and on an

automatic basisto allow Clearing Membersto reduce the number of Cleared Transactionsthey

hold in their House Trade Account and in each of their Client Trade Accounts.  This allows,

among other things, Clearing Members to reduce the administration associated with their

portfolio of Cleared Transactions. For the avoidance of doubt, LCH SA will provide trade

compression to Clearing Members on both an ad hoc and automatic basis on any Clearing Day.

Each Clearing Member or Client, as applicable, may elect to compress any or all of its Cleared

Transactions in any of its Trade Accounts provided that:  

(i)   such Cleared Transactions are of the same CDS Type or Swaption Type;   
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(ii) the Initial Payment Amounts or in respect of the ad‐hoc compression of Index

Swaption Cleared Transactions, Premiums, relating to such Cleared Transactions have been

settled; and

(iii)   where a Client has opted for multi‐branch management of the corresponding Client

Trade Account of its Clearing Member, automatic trade compression will be processed at the

level of the branches within the same Client Trade Account, subject to the election by a

Clearing Member to exclude some of the branches from this process as set in Paragraph 5.5

(b) below.

In respect of the compression of Cleared Transactions that are Index Cleared Transactions or

Single Name Clearing Transactions:

(x)   the Fixed Rate Payer Calculation Amount for the new Cleared Transaction will be the

absolute value of the sum of Fixed Rate Payer Calculation Amounts for Cleared Transactions

where the Clearing Member is the CDS Buyer less the sum of Fixed Rate Payer Calculation

Amounts for Cleared Transactions where the Clearing Member is the CDS Seller;

(y)   if the sum of Fixed Rate Payer Calculation Amounts for Cleared Transactions where

the Clearing Member is the CDS Buyer is greater than the sum of Fixed Rate Payer Calculation

Amounts for Cleared Transactions where the Clearing Member is the CDS Seller then the

Clearing Member will be the CDS Buyer on the resultant Cleared Transaction. If the opposite

is true then the Clearing Member will be the CDS Seller on the resultant Cleared Transaction;

(z)   if the sum of Fixed Rate Payer Calculation Amounts for Cleared Transactions where

the Clearing Member is the CDS Buyer is equal to the sum of Fixed Rate Payer Calculation

Amounts for Cleared Transactions where the Clearing Member is the CDS Seller then no

resultant trade is booked.

In respect of the compression of Cleared Transactions that are Index Swaption Cleared

Transactions:

(x)   the Original Notional Amount for the new Cleared Transaction will be the absolute

value of the sum of Original Notional Amounts for Cleared Transactions where the Clearing

Member is the Index Swaption Buyer less the sum of Original Notional Amounts for Cleared

Transactions where the Clearing Member is the Index Swaption Seller;

(y)   if the sum of Original Notional Amounts for Cleared Transactions where the Clearing

Member is the Index Swaption Buyer is greater than the sum of Original Notional Amounts for

Cleared Transactions where the Clearing Member is the Index Swaption Seller then the

Clearing Member will be the Index Swaption Buyer on the resultant Cleared Transaction. If the

opposite is true then the Clearing Member will be the Index Swaption Seller on the resultant

Cleared Transaction;

(z)   if the sum of Original Notional Amounts for Cleared Transactions where the Clearing

Member is the Index Swaption Buyer is equal to the sum of Original Notional Amounts for

Cleared Transactions where the Clearing Member is the Index Swaption Seller then no

resultant trade is booked.

For the avoidance of doubt, compression only affects Cleared Transactions held in the relevant

Trade Account and has no effect on the net position held in the Margin Account.  Furthermore,

compression has no effect on the risk calculation which is based on the net position held in

the Margin Account.
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(a) Ad‐hoc compression

A Clearing Member or Client may request ad‐hoc compression in accordance with Title III,

Chapter 3 of the CDS Clearing Rule Book by up‐loading an Ad‐Hoc Compression Order File.  The

Ad‐Hoc Compression Order File lists the Cleared Transactions that are to be compressed. The

Ad‐Hoc Compression Order File should be up‐loaded by the Clearing Member or the Client, as

applicable, on any means of access specified on the LCH website.

Clearing Members or Clients may only request ad‐hoc compression in relation to Index Cleared

Transactions, Single Name Cleared Transactions and/or Index Swaption Cleared Transactions

which have already been registered in the TIW, in accordance with Article 3.3.1.1(i) of the CDS

Clearing Rule Book.

The Ad‐Hoc Compression Order File must be received by LCH SA on any Clearing Day through

any means of access specified on the LCH website during the Real Time Session in order for

the request to be processed and the related Cleared Transactions to be compressed on that

same day (day “D”). LCH SA will include the results of the compression in the Cleared Trades

Report and Compression Results File in respect of such Clearing Member or Client, as

applicable.  LCH SA will publish such Cleared Trades Report and Compression Results File via

any reporting mechanism specified in a Clearing Notice as soon as practicable on the same

Clearing Day as such Clearing Member's request for compression or Client's request for

compression, as applicable, and following the implementation of such Clearing Member's

request for compression or Client's request for compression, as applicable. Where LCH SA

receives such request after the End of Real Time, such request shall be deemed to not have

been up‐loaded and shall be of no effect.

A Clearing Member may request ad hoc compression in accordance with Title III, Chapter 3 of

the CDS Clearing Rule Book and this paragraph 5.5(a) in respect of Cleared Transactions

notwithstanding that such Clearing Member has also requested automatic compression in

accordance with Title III, Chapter 3 of the CDS Clearing Rule Book and paragraph 5.5(b) below.

(b) Automatic Compression

Automatic Compression as described under this paragraph 5.5(b) can be set up by a Clearing

Member in respect of:

(i) Cleared Transactions which have been novated as part of the Daily

Backloading Cycle and/or Weekly Backloading Cycle but have not been yet

registered in the TIW; such Cleared Transactions may be compressed either

with: (x) other Cleared Transactions which have been novated as part of the

same Daily Backloading Cycle or Weekly Backloading Cycle, as applicable,

and/or (y) other Cleared Transactions which have been already registered in

the TIW (each a “Backloading Compression”); and/or

(ii) Cleared Transactions which are already registered in the TIW.

A Clearing Member may configure the CDS Clearing System to perform automatic compression

in respect of any Trade Account in accordance with Title III, Chapter 3 of the CDS Clearing Rule

Book. Such a configuration allows the relevant Clearing Member to make the following

elections:

(i)   whether the automatic trade compression is processed at the level of (x) the relevant

Trade Account or (y) different desks within the same Trade Account,  
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(ii)   in respect of an automatic compression (other than a Backloading Compression),

whether it shall occur on a daily or weekly basis, and

(iii) whether a list of desks or in respect of Client Trade Accounts, a list of branches of

Clients or, as the case may be, a list of branches of CCM Indirect Clients, shall be excluded for

the purposes of automatic trade compression.  

A Clearing Member may request LCH SA to change its previous election in respect of automatic

compression through submitting a request via any means of access specified in a Clearing

Notice at any time. Where LCH SA receives such a request by 19:30 CET via any means of

access specified in a Clearing Notice on a Clearing Day (day "D"), the election will be effective

from and including the following Clearing Day (day "D+1") unless and until a further request is

made. Where LCH SA receives a request after 19:30 CET via any means of access specified in

a Clearing Notice, such request will be effective from and including the second following

Clearing Day (day "D+2") unless and until a further request is made.   

Compression (other than a Backloading Compression) on a daily basis is performed on each

Clearing Day as part of the morning batch process before 09.15 CET and after the registration

in TIW has occurred.  

Compression (other than a Backloading Compression) on a weekly basis is performed as part

of the morning batch process before 09.15 CET on Wednesdays (or, if such Wednesday is not

a Clearing Day, the next following Wednesday that is a Clearing Day) and after the registration

in TIW has occurred.

Backloading Compression is performed as part of the Daily and/or Weekly Backloading Cycle

and in any case before the registration in TIW has occurred.  

(c) Restructuring Credit Event

Following the occurrence of a Restructuring Credit Event relating to:

(i) a Single Name Cleared Transaction; or  

(ii) a Reference Entity referenced by an Underlying Index Transaction to which a

set of Index Swaption Cleared Transactions of the same Swaption Type relates,  

LCH SA will compress such Single Name Cleared Transaction or as the case may be, such Index

Swaption Cleared Transactions resulting in a single position for a Trade Account, on the day

determined by the industry for such purposes. If no automatic compression rules have been

specified, then compression will be made per desk in respect of each Trade Account.

(d) Registration of Single Names Cleared Transaction  

Single Name Cleared Transactions resulting from any compression as described under this

paragraph 5.5 will be registered in the Clearing System under the CDSClear Preferred

Reference Obligation as defined under Section 4 of the Procedures.

5.6 PRE-DEFAULT PORTABILITY 

In certain circumstances, LCH SA will transfer Client Cleared Transactions from a Carrying

Clearing Member to a Receiving Clearing Member, pursuant to Title V Chapter 3 and Title VI

Chapter 3 of the CDS Clearing Rule Book. Any actions required to be taken by a Clearing
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Member or LCH SA, in order to effect such transfer of Client Cleared Transactions, shall be

effected in accordance with the timetable set out in paragraph 5.6 (d) of these Procedures. In

the event that the relevant timing and notice requirements are not complied with, unless

agreed otherwise between LCH SA and the relevant Clearing Members, the relevant transfer

shall not take effect.

Any form referred to in this paragraph 5.6 is available upon request to LCH SA’s CDSClear

Operations department (CDSClear.ops@lch.com).

(a) Partial Transfers

Where a Receiving Clearing Member wishes, pursuant to:

(i)   Article 5.3.3.1 of the CDS Clearing Rule Book, to receive a transfer of some but not all

of the Client Cleared Transactions held with a Carrying Clearing Member for a CCM Individual

Segregated Account Client ;  

(ii)   Article 5.3.3.2 of the CDS Clearing Rule Book, to receive a transfer of some but not all

of the Client Cleared Transactions held with a Carrying Clearing Member for an CCM Net

Omnibus Client Set;  

(iii)   Article 5.3.3.3 of the CDS Clearing Rule Book, to receive a transfer of some but not all

of the Client Cleared Transactions held with a Carrying Clearing Member for a CCM Gross

Omnibus Multi Sub‐Account Client Set;

(iii)   Article 5.3.3.4 of the CDS Clearing Rule Book, to receive a transfer of some but not all

of the Client Cleared Transactions held with a Carrying Clearing Member for a CCM Gross

Omnibus Single Sub‐Account Client ;  

(iv) Article 5.3.3.5 of the CDS Clearing Rule Book, to receive a transfer of a portion of the

portfolio of Client Cleared Transactions registered in the CCM Client Trade Account(s) of a

CCM Indirect Client Segregated Account Structure of a Carrying Clearing Member; or

(v) Article 6.3.3.1 of the CDS Clearing Rule Book, to receive a portion of the Client Cleared

Transactions registered in the FCM/BD Client Trade Account of an FCM/BD Client;

it shall provide LCH SA with a form entitled “Client Partial Transfer Form”, signed by or on

behalf of the relevant Client(s). Such form shall list all of the Client Cleared Transactions that

are to be transferred to it pursuant to these Procedures. Following receipt of a form entitled

“Client Partial Transfer Form”, LCH SA shall notify the Carrying Clearing Member that a request

has been received to transfer Client Cleared Transactions. In the event that any of the

conditions set forth in Article 5.3.3.1, Article 5.3.3.2, Article 5.3.3.3, Article 5.3.3.4 or 6.3.3.1,

as applicable, of the CDS Clearing Rule Book are not satisfied, including where the Carrying

Clearing Member notifies LCH SA that certain of the conditions have not been satisfied, using

the form entitled “Carrying Member Response Form”, LCH SA shall not proceed with the

transfer of the Client Cleared Transactions and shall promptly notify the Receiving Clearing

Member that the transfer will not proceed.  

If the Receiving Clearing Member wishes to proceed with such transfer, it shall be required to

submit a new form entitled “Client Partial Transfer Form” in accordance with these Procedures.
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(b) Full Transfer

Where a Receiving Clearing Member wishes, pursuant to:  

(i)   Article 5.3.2.1 of the CDS Clearing Rule Book, to receive a transfer of the entire

portfolio (and not less than an entire portfolio) of the Client Cleared Transactions registered

in a CCM Client Trade Account of a CCM Individual Segregated Account Client of a Carrying

Clearing Member;

(ii)   Article 5.3.2.2 of the CDS Clearing Rule Book, to receive a transfer of all of the Client

Cleared Transactions registered in the CCM Client Trade Accounts of the CCM Net Omnibus

Segregated Account Clients within a CCM Net Omnibus Client Set of a Carrying Clearing

Member;  

(iii)   Article 5.3.2.3 of the CDS Clearing Rule Book, to receive a transfer of all of the Client

Cleared Transactions registered in the CCM Client Trade Accounts of CCM Gross Omnibus

Multi Sub‐Account Clients within a CCM Gross Omnibus Multi Sub‐Account Client Set of a

Carrying Clearing Member;

(iv)    Article 5.3.2.4 of the CDS Clearing Rule Book, to receive the entire portfolio (and not less

than an entire portfolio) of the Client Cleared Transactionsregistered in a CCM Gross Omnibus

Single Sub‐Account Structure of a CCM Gross Omnibus Single Sub‐Account Client of a Carrying

Clearing Member;  

(v)    Article 5.3.2.5 of the CDS Clearing Rule Book, to receive the entire portfolio (and not less

than an entire portfolio) of the Client Cleared Transactions registered in the CCM Client Trade

Account(s) of a CCM Indirect Client Segregated Account Structure of a Carrying Clearing

Member; or

(vi)   Article 6.3.2.1 of the CDS Clearing Rule Book, to receive a transfer of all the Client

Cleared Transactions registered in the FCM/BD Client Trade Account of an FCM/BD Client;

such Receiving Clearing Membershall provide LCH SA with a form entitled “Client Full Transfer

Form”, in respect of (and signed by or on behalf of) each Client on behalf of whom the relevant

transfer would be made. Each such form shall confirm that all Client Cleared Transactions

registered in the Client Trade Account(s) shall be transferred pursuant to these Procedures.   

Where a Receiving Clearing Member submits a form entitled “Client Full Transfer Form”, it

must confirm whether or not the Client(s) also wishes to transfer Client Assets. Following

receipt of a form entitled “Client Full Transfer Form”, LCH SA shall notify the Carrying Clearing

Member that a request has been received to transfer Client Cleared Transactions.   

In the eventthat any of the conditionssetforth in Article 5.3.2.1, Article 5.3.2.2, Article 5.3.2.3,

Article 5.3.2.4, Article 5.3.2.5 or Article 6.3.2.1, as applicable, of the CDS Clearing Rule Book

are not satisfied, including where the Carrying Clearing Member notifies LCH SA that certain

conditions have not been satisfied, using the form entitled “Carrying Member Response Form”,

LCH SA shall not proceed with the transfer of the Client Cleared Transactions or the transfer

of Client Assets (where applicable) and shall promptly notify the Receiving Clearing Member

that the transfer will not proceed.  

If the Receiving Clearing Member wishes to proceed with such transfer or any other transfer

of the Client Cleared Transactions, it shall be required to submit a new form entitled “Client
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LCH SA © [●]  2022 14   Published on [●]  16 May 2022

Full Transfer Form” or a new form entitled “Client Partial Transfer Form” in accordance with

these Procedures.

Once a Carrying Clearing Member has been informed that a form entitled “Client Full Transfer

Form” has been received, the Carrying Clearing Member shall not be permitted to submit

additional Original Transactions, having Client Trade Leg(s) attributable to the relevant

Client(s), for clearing. Such restriction will apply for the period commencing at the End of Real

Time on the Business Day on which the relevant Clearing Member receives such notice from

LCH SA and ending at the time at which the relevant transfer (including the transfer of the

relevant Client Assets, if applicable) is actually effected, fails or is rejected in accordance with

Section 5.3.2 or Section 6.3.2, as applicable, of the CDS Clearing Rule Book and these

Procedures.

(c) Transfer of Client Assets

Where a Receiving Clearing Member notifies LCH SA that a Client wishes to transfer Client

Assets from the Carrying Clearing Member to the Receiving Clearing Member, LCH SA shall

notify the Carrying Clearing Member of such request.

With respect to the transfer of a CCM Individual Segregated Account Client, in accordance

with Article 5.3.2.1, a CCM Net Omnibus Client Set, in accordance with Article 5.3.2.2, or a

CCM Indirect Client Segregated Account Structure, in accordance with Article 5.3.2.5 of the

CDS Clearing Rule Book, LCH SA will provide details of the relevant Client Assets to the

Receiving Clearing Member and give the Receiving Clearing Member opportunity to reject a

transfer of some or all of the Client Assets in accordance with the timetable below.  

With respect to the transfer of a CCM Gross Omnibus Multi    Sub‐Account Client Set, in

accordance with Article 5.3.2.3, a CCM Gross Omnibus Single Sub‐Account Client, in

accordance with Article 5.3.2.4, or an FCM/BD Client, in accordance with Article 6.3.2.1,  of

the CDS Clearing Rule Book, the Carrying Clearing Member shall confirm to LCH SA, using the

form entitled “Carrying Member Response Form” which Client Assets are attributable to the

CCM Gross Omnibus Gross Multi Sub‐Account Client Set, CCM Gross Omnibus Single Sub‐

Account Client or FCM/BD Client and the Client Cleared Transactions.  In the event that the

Carrying Clearing Member fails to do so in accordance with the timetable below, LCH SA shall

determine (in its sole discretion) the Client Assets that are to be transferred from the Carrying

Clearing Member’srelevant CCM Client Collateral Account in the case of a CCM Gross Omnibus

Gross Multi Sub‐Account Client Set or a CCM Gross Omnibus Single Sub‐Account Client and

FCM/BD Client Financial Account in the case of an FCM/BD Client. LCH SA shall notify the

Carrying Clearing Member and the Receiving Clearing Member of the Client Assets that will be

transferred in accordance with the timetable below. Following receipt of such notification by

LCH SA, the Receiving Clearing Member may elect to reject the transfer of some or all of the

relevant Client Assets in accordance with Article 5.3.4.2 or Article 6.3.4.2 of the CDS Clearing

Rule Book.

In the eventthat any of the conditionssetforth in Article 5.3.2.1, Article 5.3.2.2, Article 5.3.2.3,

Article 5.3.2.4, Article 5.3.2.5 or Article 6.3.2.1 of the CDS Clearing Rule Book, as applicable,

are not satisfied, including where the Carrying Clearing Member notifies LCH SA that certain

conditions have not been satisfied using the form entitled “Carrying Member Response Form”,

such that the Client Cleared Transactions will not be transferred, LCH SA shall not proceed

with the transfer of the relevant Client Assets.  
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In the event that LCH SA transfers Client Assets pursuant to these Procedures and the CDS

Clearing Rule Book, it will also transfer the aggregate Variation Margin and/or rights over

aggregate NPV Amounts and next day settlement coupons and fees associated with the

transferring Client Cleared Transactions.

(d) Timetable for Client Transfers

No. Time  

(all references below

are to Continental

European Time)

Partial Transfer Full Transfer (with

Collateral)

Full Transfer (without

Collateral)

1 Day 0: 17:00 Deadline for receipt from

Receiving Clearing

Member of a form

entitled “Client Partial

Transfer Form”.

Deadline for receipt

from Receiving Clearing

Member of a form

entitled “Client Full

Transfer Form” and

confirmation that the

Client(s) wish Client

Assets to be

transferred.

Deadline for receipt

from Receiving

Clearing Member of a

form entitled “Client

Full Transfer Form”.

2 Day 0: 19:30 Deadline for LCH SA to

notify Carrying Clearing

Member of receipt by LCH

SA of a form entitled

“Client Partial Transfer

Form”.

Deadline for LCH SA to

notify Carrying Clearing

Member of receipt by

LCH SA of a form

entitled “Client Full

Transfer Form”.

Deadline for LCH SA to

notify Carrying

Clearing Member of

receipt by LCH SA of a

form entitled “Client

Full Transfer Form”.

3 Day 1: 10:00 Deadline for: (i)

notification by LCH SA to

the Carrying Clearing

Member and the

Receiving Clearing

Member that LCH SA

intends to transfer the

Client Cleared

Transactions pursuant to

a request from the

Receiving Clearing

Member; and (ii)

provision by LCH SA of

details to the Carrying

Clearing Member and the

Receiving Clearing

Member of the Client

Cleared Transactions to

be transferred.

Deadline for: (i)

notification by LCH SA

to the Carrying Clearing

Member and the

Receiving Clearing

Member that LCH SA

intends to transfer the

Client Cleared

Transactions pursuant

to a request from the

Receiving Clearing

Member; and (ii)

provision of details to

the Carrying Clearing

Member and the

Receiving Clearing

Member of the Client

Cleared Transactions to

be transferred.

Deadline for: (i)

notification by LCH SA

to the Carrying

Clearing Member and

the Receiving Clearing

Member that LCH SA

intends to transfer the

Client Cleared

Transactions pursuant

to a request from the

Receiving Clearing

Member; and (ii)

provision of details to

the Carrying Clearing

Member and the

Receiving Clearing

Member of the Client

Cleared Transactions

to be transferred.

4 Day 2: 12:00 Deadline for notification

(if any) from Carrying

Clearing Member that it is

rejecting the transfer (in

accordance with Article

5.3.3.1(v), Article

5.3.3.2(v), Article

5.3.3.3(v), Article

Deadline for notification

(if any) from Carrying

Clearing Member that it

is rejecting the transfer

(in accordance with

Article 5.3.2.1(vi),

Article 5.3.2.2(vi),

Article 5.3.2.3(vi),

Deadline for

notification (if any)

from Carrying Clearing

Member that  it is

rejecting the transfer

(in accordance with

Article 5.3.2.1(vi),  

Article 5.3.2.2(vi)
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No. Time  

(all references below

are to Continental

European Time)

Partial Transfer Full Transfer (with

Collateral)

Full Transfer (without

Collateral)

5.3.3.4(v) or Article

5.3.3.5(vi) of the CDS

Clearing Rule Book).

Article 5.3.2.4(vi), or

Article 5.3.2.5(vii) of the

CDS Clearing Rule Book

(as applicable)).

Article 5.3.2.3(vi),

Article 5.3.2.4(vi), or

Article 5.3.2.5(vii) of

the CDS Clearing Rule

Book (as applicable)).

5 Day 2: 12:00 (For

transfer of FCM/BD

Clients and CCM Gross

Omnibus Segregated

Account Clients only)

N/A Deadline for

confirmation from

Carrying Clearing

Member of the Client

Assets which are

available to be

transferred to the

Receiving Clearing

Member.

N/A

6 Day 2: 12:00 to 14:00 N/A LCH SA notifies the

Receiving Clearing

Member of the Client

Assets that would be

transferred.

N/A

7 Day 2: 17:00 Deadline for receipt by

LCH SA of consent to

transfer of the Client

Cleared Transactions

from the Receiving

Clearing Member.

Deadline for receipt by

LCH SA of consent to

transfer of the Client

Cleared Transactions

and notification of the

rejection (if applicable)

of some or all of the

relevant Client Assets

from the Receiving

Clearing Member.

Deadline for receipt

by LCH SA of consent

to transfer of the

Client Cleared

Transactions from the

Receiving Clearing

Member.

8 Day 2: By 24:00 N/A Deadline for LCH SA to

instruct Euroclear to

transfer some or all of

the relevant Client

Assets from the Client

Pledged Securities

Account of the Carrying

Clearing Member (in

accordance with Section

3 of the Procedures).

N/A

9 Day 3: 08:00 Target deadline for

notification by LCH SA to

the Carrying Clearing

Member and/or the

Receiving Clearing

Member of whether an

increased Margin

Requirement or Variation

Margin Requirement

Target deadline for

notification by LCH SA

to the Receiving

Clearing Member of

whether an increased

Margin Requirement or

Variation Margin

Requirement and/or

NPV Payment

Target deadline for

notification by LCH SA

to the Receiving

Clearing Member of

whether an increased

Margin Requirement

or Variation Margin

Requirement and/or

NPV Payment
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No. Time  

(all references below

are to Continental

European Time)

Partial Transfer Full Transfer (with

Collateral)

Full Transfer (without

Collateral)

and/or NPV Payment

Requirement, as

applicable, is required to

be satisfied effect the

transfer.

Requirement, as

applicable, is required

to be satisfied to effect

the transfer.

Requirement, as

applicable,   is

required to be

satisfied to effect the

transfer.

10 Day 3: 08:30 ‐ 09:00

Or in the case of an

FCM/BD Clearing

Member (for the

purposes of Cash

Payments): 09.00 –

09.05

The Carrying Clearing

Member and/or the

Receiving Clearing

Member must satisfy the

Margin Requirements

during the Morning Call

to effect the transfer.

The Receiving Clearing

Member must satisfy

the Margin

Requirements during

the Morning Call to

effect the transfer.

The Receiving Clearing

Member must satisfy

the Margin

Requirements during

the Morning Call to

effect the transfer.

11 Day 3: 09:05 LCH SA transfers the

Client Cleared

Transactions to the

Receiving Clearing

Member.

LCH SA transfers the

Client Cleared

Transactions and (if

applicable) some or all

of the Client Assets to

the Receiving Clearing

Member.

LCH SA transfers the

Client Cleared

Transactions to the

Receiving Clearing

Member.

5.7 EARLY TERMINATION 

A transfer pursuant to Article 5.4.1.1, Article 5.4.1.2 or Article 5.4.1.3 of the CDS Clearing Rule

Book will be subject to the receipt by LCH SA of the following:

(i) a copy of the notice from the relevant CCM to the relevant CCM Client or from the

relevant CCM Client to the relevant CCM 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 having occurred; and

(ii) a copy of a notice served by the relevant CCM on the relevant CCM Client alerting that

CCM Client of its intention to request LCH SA to transfer the relevant Client Cleared

Transactions.

Subject to the receipt of the documents listed in paragraphs 5.7 (i) to (ii) above, LCH SA will

arrange a transfer of the relevant Client Cleared Transactions as soon as reasonably

practicable (and usually within 24 hours of receipt of the documents).

5.8 UPDATING THE TRADE INFORMATION WAREHOUSE 

(a) Process

LCH SA will ensure that all Cleared Transactions are stored in the CDS Clearing System and

replicated in the TIW.

There are two operations involved in the TIW update process, one or both of which will be

relevant depending on the event leading to the update:
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LCH SA © [●]  2022 18   Published on [●]  16 May 2022

 the termination of old trades; and

 the creation of new trades.

The following events will require trades in the TIW to be updated by LCH SA:

 Novation of a Backloading Transaction:

o Termination of the Backloading Transaction where the upfront amount has

been paid;

o Exit of the Backloading Transaction where the upfront amount has not been

paid; and

o Creation of Cleared Transactions

 Novation of an Intraday Transaction:

o Termination of the Intraday Transaction, if applicable

o Creation of Cleared Transactions

 Reallocation of a Client Cleared Transaction within a Client Trade Account between

branches

o Termination of the relevant Client Cleared Transaction allocated to the

current branch

o Creation of the Client Cleared Transaction resulting from the reallocation to

another branch

 Trade Compression:

o Termination of Cleared Transactions to be compressed, if applicable

o Creation of compressed Cleared Transactions, if applicable

 Creation of Restructuring Cleared Transactions  

o Termination, if necessary, of Initial Single Name Cleared Transactions  

o Creation of the Restructuring Cleared Transactions

 Re‐couponing of the Cleared Transactions

o Termination of Cleared Transactions affected by the re‐couponing

o Creation of Cleared Transactions resulting from the re‐couponing

 Completion of Physical Settlement following a Credit Event

o Termination of Cleared Transactions

 Creation of Swaption Restructuring Cleared Transactions
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o Termination, if necessary, of original Index Swaption Cleared Transactions  

o Creation of the Swaption Restructuring Cleared Transactions

 Creation of Exercise Cleared Transactions

o Termination of the relevant Index Swaption Cleared Transactions

o Creation of the Exercise Cleared Transactions

 Exercise of Exercise Cleared Transactions

o Termination of Exercise Cleared Transactions

o Creation of Index Cleared Transactions resulting from the exercise  

o Creation of Initial Single Name Cleared Transactions and/or Restructuring

Cleared Transactions, if applicable  

LCH SA will make all relevant registrations in a timely fashion subject to receiving valid data

from the relevant Clearing Members and DTCC being active and ensure that the registration

is accurate and correct based on the information available to it.

In respect of sub‐paragraphs (a) and (b) below, neither LCH SA nor a Clearing Member shall:

(i) actively do anything that alters the trade confirmation or will prevent DTCC correctly

calculating payments; or

(ii) make any changes to trades in the TIW which prevent the automated DTCC process

being correctly executed on that trade unless authorised by LCH SA. For the avoidance

of doubt, the failure by a Clearing Member to match a trade in the TIW will not affect

the validity and enforceability of the Cleared Transactions registered within the CDS

Clearing System and the related obligations of the relevant Clearing Member.

(b) Cleared Transactions  

In accordance with Article 2.2.1.1 (xx)(b) and Article 3.1.10.2 of the CDS Clearing Rule Book

each Clearing Member authorises LCH SA to submit Cleared Transactions created in respect

of Intraday Transactions to the TIW on the Clearing Member's behalf.

For all Cleared Transactions, LCH SA will book both trade legs in the TIW.

LCH SA will make all relevant registrations in a timely fashion subject to receiving valid data

from the relevant Clearing Members and DTCC being active and ensure that the registration

is accurate and correct based on the information available to it.

After a Cleared Transaction is booked in the TIW, the Clearing Member which is a party to such

Cleared Transaction may modify the Trade Reference Identifier or workflow data (to the

exclusion, for the avoidance of doubt, of any Transaction Data) registered in the TIW. LCH SA

will ensure its own records are consistent with such modifications as soon as it receives the

relevant TIW notification of such modifications.
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(c) Deemed Submission Authority

A Clearing Member is deemed to have authorised LCH SA to book a trade on behalf of the

Clearing Member in accordance with Section 3.1.10 of the CDS Clearing Rule Book and LCH SA

will make all relevant registrations in a timely fashion, subject to receiving valid data from the

relevant Clearing Members and DTCC being active, and ensure that the registration is accurate

and correct based on the information available to it.

(d) TRIRename function

After a Clearing Member modifies its Trade Reference Identifier in respect of a Cleared

Transaction in the TIW, the TRIRename function will allow the CDS Clearing System to be

automatically updated with the new Trade Reference Identifier.  

5.9 REGISTRATION OF SINGLE NAME CLEARED TRANSACTIONS 

Single Name Cleared Transactions will be registered in the Clearing System underthe CDSClear

Preferred Reference Obligation as defined under Section 4 of the Procedures.

5.10 DIFFERENCES IN RECORDS 

Any differences noticed by Clearing Members between the record held by the CDS Clearing

System and the TIW should be reported to LCH SA as soon as reasonably practicable.  

To the extent that the terms of a Cleared Transaction either in the TIW orin the relevantreport

provided to the Clearing Member do not reflect, subject to and in accordance with the

provisions ofthe CDS Clearing Rules and the CDS Clearing Supplement Documents, the Original

Transaction that was submitted or the terms of the Restructuring Cleared Transaction, LCH SA

will amend the records and/or reissue the relevant report, as applicable, to correct the

differences as appropriate, to the extent it is authorised to do so.   

5.11 REGISTRATION OF CLEARED TRANSACTIONS 

(a) STM or CTM Classification of Trade Accounts  

Upon creation of each new Trade Account, each relevant Clearing Member (other than

FCM/BDs or Clearing Members established under the laws of any state of the United States of

America or under the federal laws of the United States of America) shall indicate to LCH SA, in

the relevant documentation made available by LCH SA’s CDSClear Business Development &

Relationship Management team (cdsclearbusinessdevrm@lch.com,) for such purposes from

time to time, whether such Trade Account shall be classified as an STM Trade Account or a

CTM Trade Account. In the absence of any such election at the time the request for the

creation of a relevant Trade Account is received by LCH SA, such Trade Account shall be

classified as a CTM Trade Account.

(b) Notification of registration  

Following registration of the Cleared Transactions reflecting an Original Transaction, the CDS

Clearing System will publish the confirmation of novation via the Cleared Trades Report

available through any reporting mechanism specified in a Clearing Notice.  Details of Cleared

Transactions are also available through any reporting mechanism specified in a Clearing Notice.  

Confirmation of novation will also be reported through the relevant Approved Trade Source

System, if it has such functionality.  
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(c) Update of the Product Family Form

In accordance with Article 2.2.0.4, or as the case may be Article 3.1.6.8, of the CDS Clearing

Rule Book, a Select Member is entitled to add or remove any Product Family indicated in its

Product Family Form by sending a copy of a duly signed updated Product Family Form by

email LCH SA’s CDSClear Business Development & Relationship Management team at

cdsclearbusinessdevrm@lch.com, provided that a Select Member may request the removal

of a Product Family only if all of its Cleared Transactionsregistered in its House Account (and,

if applicable, in the Client Account Structures of Affiliated Firms to which such Select

Member provides CDS Client Clearing Services) Structure belong to the outstanding Product

Families indicated in its updated Product Family Form.

(d) Conversion of STM Cleared Transactions

Following its receipt of a request (an “STM Conversion Request”) made by a Converting

Clearing Member pursuant to Article 3.1.10.8 of the CDS Clearing Rule Book, LCH SA may, in

its sole and absolute discretion, nominate a Business Day (the “STM Conversion Date”) from,

and including, which the relevant CTM Trade Account shall, subject to the satisfaction of the

conditions specified below in this paragraph (d), become an STM Trade Account and all the

Cleared Transactions registered in such Trade Account shall cease to be registered as CTM

Cleared Transactions and shall immediately and automatically become STM Cleared

Transaction.  

For the avoidance of doubt, if LCH SA determines that it shall convert a CTM Trade Account

into an STM Trade Account, such conversion shall be effected through LCH SA making such

conversion in its systems and not through LCH SA and the Converting Clearing Member

terminating the relevant CTM Transactions and entering into new Cleared Transactions

registered into an STM Trade Account.

The occurrence of an STM Conversion Date in respect of an STM Trade Accountshall be subject

to the condition precedent that:

(i) the Converting Clearing Member is not a Defaulting Clearing Member;

(ii) no early termination date, howsoever described in the relevant CDS Client Clearing

Agreement, has occurred in respect of the relevant Deemed Client Transactions(s);

(iii) the conversion of that CTM Trade Account to an STM Trade Account would not violate

or result in the violation of any applicable law or regulation;

(iv) the Converting Clearing Member has satisfied all of its Cash Payment and Variation

Margin and Collateral transfer obligations including any Margin Requirements,

Variation Margin Requirements and Cash Payments in respect of the Cleared

Transactions registered in that CTM Trade Account up to, but excluding, the STM

Conversion Date. The Converting Clearing Member shall satisfy such Margin

Requirements and Variation Margin Requirements in accordance with the CDS

Clearing Rules, as would ordinarily be the case;

(v) the Converting Clearing Member has paid to LCH SA, or LCH SA has paid to the

Converting Clearing Member (as applicable), any cash settlement amount that LCH SA

determines (in its sole and absolute discretion) must be paid to ensure that the net

present value of each Cleared Transaction registered in the relevant Trade Account

shall be equal to zero on the STM Conversion Date. The Converting  Clearing Member
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LCH SA © [●]  2022 22   Published on [●]  16 May 2022

and LCH SA agree that LCH SA may, in its sole and absolute discretion, apply any

Variation Margin transferred to and held by LCH SA in respect of the Cleared

Transaction registered in the relevant Trade Account to satisfy (in whole or in part)

the Converting Clearing Member’s obligation to pay the amount (if any) required

under this paragraph in relation to each such Cleared Transaction. The Converting

Member and LCH SA agree that any Variation Margin transferred to and held by the

Converting Clearing Member in respect of the Cleared Transaction registered in the

relevant Trade Account shall be applied to satisfy (in whole or in part) LCH SA’s

obligation to pay the amount (if any) required under this paragraph in relation to each

such Cleared Transaction; and

(vi) all other conditions stipulated by LCH SA have been complied with in a manner

satisfactory to it.

Each time a Clearing Member delivers an STM Conversion Request that Clearing Member:

a. agrees and acknowledges for the benefit of LCH SA that if an STM Conversion Date

occurs in respect of any CTM Trade Account, such Trade Account and the Cleared

Transaction registered therein cannot, in any circumstance, be re‐converted into,

respectively, a CTM Trade Account and CTM Cleared Transactions; and

b. is deemed to represent to LCH SA that the person, agent, officer, employee, or

representative that delivers that STM Conversion Request is fully authorised by it to

do so, and has the requisite power to bind the Converting Clearing Member in this

regard.

5.12 HEDGING TRANSACTIONS 

LCH SA may enter into a CDS or an Index Swaption with a Clearing Member for hedging

purposes (a "Hedging Transaction") pursuant to Clause 2.1.1 of the CDS Default Management

Process.  A Hedging Transaction will be executed as an OTC transaction by a Clearing Member

on day D and will be cleared in the same manner as a Daily Backloading Transaction on D+1

save that it will be between LCH SA and a Clearing Member.  

5.13 REVERSING OF TRADES 

Where a Clearing Member identifies an Original Transaction that it has cleared in error it may

reverse the transaction by submitting an equal but opposite transaction via an Approved

Trade Source System to LCH SA for clearing and then using compression pursuant to paragraph

5.5 of these Procedures. In such instances, for the avoidance of doubt the Clearing Member

shall be solely responsible for entering into any bilateral transaction necessary to reverse the

Original Transaction that was cleared in error.

5.14 MAXIMUM NOTIONAL AMOUNT 

[This section is not used.]

5.15 RECOUPONING 

In accordance with Part A or Part B of the CDS Clearing Supplement, LCH SA may, with the

prior consent of all relevant Clearing Members, perform a re‐couponing on any Restructuring

Cleared Transaction (or portion thereof) in respect of which a valid Credit Event Notice is not
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LCH SA © [●]  2022 23   Published on [●]  16 May 2022

delivered during the relevant CEN Triggering Period if the Fixed Rate of such Restructuring

Cleared Transaction is not an Eligible Fixed Rate.

In the case of a re‐couponing, the Restructuring Cleared Transaction will be terminated and

replaced by two new Cleared Transactions: the “First Resulting Transaction” and the “Second

Resulting Transaction”.

The terms of the resulting Cleared Transactions will be identical to those of the Restructuring

Cleared Transaction except that:

the Fixed Rate applicable for the First Resulting Transaction (“C1”) will be the highest Eligible

Fixed Rate that is inferior to the Fixed Rate of the Restructuring Cleared Transaction (“C”);

the Fixed Rate applicable for the Second Resulting Transaction (“C2”) will be the lowest Eligible

Fixed Rate that is superior to the Fixed Rate of the Restructuring Cleared Transaction (“C”);

The Floating Rate Payer Calculation Amount of the First Resulting Transaction (“N1”) will be

calculated as per below:

N1 ൌ N ൈ ሺC െ C2ሻ

ሺC1 െ C2ሻ

Where N is the Floating Rate Payer Calculation Amount of the Restructuring Cleared

Transaction.

The Floating Rate Payer Calculation Amount of the Second Resulting Transaction (“N2”) will

be calculated as per below:

N2 ൌ N ൈ ሺC െ C1ሻ

ሺC2 െ C1ሻ

Where N is the Floating Rate Payer Calculation Amount of the Restructuring Cleared

Transaction.

The Trade Date for the First Resulting Transaction and the Second Resulting Transaction will

be the date on which the re‐couponing is performed;

The Transaction Type for the First Resulting Transaction and the Second Resulting Transaction

will be Standard European Corporate.

Single Name Cleared Transactions resulting from a re‐couponing will be registered in the

Clearing System under the CDSClear Preferred Reference Obligation as defined under Section

4 of the Procedures.

5.16 REPORTS 

The reports set out at paragraph 5.16(a)‐(c) will be made available by LCH SA to Clearing

Members on each Business Day at the times specified in paragraph 5.16(a)‐(e).  

The reportsset out at paragraph 5.16(d) will be made available by LCH SA to Clearing Members

on a monthly basis, on the dates and at the times specified in Section 5.16(f).   
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LCH SA © [●]  2022 24   Published on [●]  16 May 2022

The reports set out at paragraph 5.16 (e) and (f)will be made available by LCH SA to Clearing

Members on an ad hoc basis.

A Clearing Member is entitled to request LCH SA to make all or part of the reports set out at

paragraphs (a)(i)(D) to (J), (a)(ii), (b)(i), (b)(ii) and (c) as well as any other relevant report also

available on Client Portal Accounts in order for their relevant Clients to access such reports

(such process being referred to as a “Feeding Request”). A “Client Portal Account” means a

technical account created by a Client on LCH Portal and which can be identified by a specific

number. Each Feeding Requestshall be made by sending a copy of a duly completed and signed

form (a “Feeding Request Form”, available on the LCH Portal) by email to LCH SA’s CDSClear

Business Development & Relationship Management team at cdsclearbusinessdevrm@lch.com

and one original of such Feeding Request Form by registered letter to the appropriate LCH SA

interlocutor as set out on the Feeding Request Form. Promptly following any Feeding Request

LCH SA shall make the reports which were the subject of such Feeding Request available on

the relevant Client Portal Accounts.

Clearing Members may withdraw a Feeding Request by sending a copy of a duly updated and

signed Feeding Request Form by email to LCH SA’s CDSClear Business Development &

Relationship Management team at cdsclearbusinessdevrm@lch.com.

(a) Backloading Transaction Reports

(i) Trade management reports

(A)   Clearing Eligibility Report

“Clearing Eligibility Report" means the report described in this paragraph.   

Description: sets out:

• the Gold Records received overnight by LCH SA from DTCC;  

• details of the Gold Records which have successfully passed and those

which have failed the Eligibility Controls performed pursuant to

Article 3.1.1.2 of the CDS Clearing Rule Book.

Timing: published by LCH SA by 09:30 CET on each Business Day.

For the avoidance of doubt, on a day that is a Business Day but not a Clearing

Day, or on a day that is a Clearing Day on which there is no Real Time Session,

the relevant Clearing Eligibility Report will be published.

(B) DTCC Matching and Eligibility Report  

"DTCC Matching and Eligibility Report" means the report described in this

paragraph.  

Description: sets out:

• the Gold Records of the Eligible Weekly Backloading Transactions and

Irrevocable Weekly Backloading Transactions which have not been

removed from the TIW; and
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• the Gold Records of the Eligible Weekly Backloading Transactions and

Irrevocable Weekly Backloading Transactions which have been

removed from the TIW.

Timing: published by LCH SA between 02:00 and 04:00 CET on each Business

Day.  

For the avoidance of doubt, on a day that is a Business Day but not a Clearing

Day, or on a day that is a Clearing Day on which there is no Real Time Session,

the relevant DTCC Matching and Eligibility Report will be published.

(C) Simulation DTCC Matching and Eligibility Report  

"Simulation DTCC Matching and Eligibility Report" means the report

described in this paragraph.  

Description: sets out:

• the Gold Records of the Eligible Weekly Backloading Transactions or

Irrevocable Weekly Backloading Transactions (as applicable) which

have not been removed from the TIW; and

• the Gold Records of the Eligible Weekly Backloading Transactions or

Irrevocable Weekly Backloading Transactions (as applicable) which

have been removed from the TIW.

Timing: published by LCH SA between 02.00 CET and 04.00 CET on each

Business Day.

For the avoidance of doubt, on a day that is a Business Day but not a Clearing Day, or

on a day that is a Clearing Day on which there is no Real Time Session, the relevant

Simulation DTCC Matching and Eligibility Report will be published.  

(D)   Simulation Margin Requirements Result File

Description: sets out the detailed components of the estimated calculation

relating to the Margin Requirements that would be required to be posted if

the relevant Eligible Weekly Backloading Transactions or Irrevocable Weekly

Backloading Transactions (as applicable) were registered as Cleared

Transactions in the Clearing Member’s House Account Structure at the time of

the estimate.  

Timing: published by LCH SA between 09.15 CET and 09.30 CET on each

Business Day.   

For the avoidance of doubt, on a day that is a Business Day but not a Clearing

Day, or on a day that is a Clearing Day on which there is no Real Time Session,

the relevant Simulation Margin Requirements Result File will be published.

(E) Bilateral Trades Report

"Bilateral Trades Report" means the report described in this paragraph.  
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Description: contains all Original Transactions for the current Business Day

including details of those that have successfully passed and those which have

failed the Eligibility Controls performed pursuant to Article 3.1.1.3, Article

3.1.2.2 or Article 3.1.2.3 of the CDS Clearing Rule Book.

Timing: published by LCH SA between 09.15 CET and 09.30 CET on each

Business Day.   

For the avoidance of doubt, on a day that is a Business Day but not a Clearing

Day, or on a day that is a Clearing Day on which there is no Real Time Session,

the relevant Bilateral Trades Report will be published but will not contain any

data.  

(F) Cleared Trades Report

"Cleared Trades Report" means the report described in this paragraph.  

Description: this report will contain the private data relating to the Cleared

Transactions of each individual Clearing Member in the CDS Clearing System,

including:

• the financial value of each Cleared Transaction as at the date and time

of publication of such Cleared Trades Report;

• the clearing time stamp confirming the time at which a Cleared

Transaction is registered in the Trade Account of the relevant Clearing

Member;  

• the total stock of Cleared Transactions relating to the relevant Clearing

Member as at the date and time of publication of such Cleared Trades

Report; and

• information on the classification of the Cleared Transactions as CTM

Cleared Transactions or STM Cleared Transactions.

Timing: published by LCH SA by no later than 09.30 CET on each Business Day.

For the avoidance of doubt, on a day that is a Business Day but not a Clearing

Day, or on a day that is a Clearing Day on which there is no Real Time Session,

the relevant Cleared Trades Report will be published.

(G)   TIW Operations File

"TIW Operations File" means the file described in this paragraph.  

Description: sets out, for each Clearing Member, the Original Transactions

novated and the Cleared Transactions created as a result of compression since

the previous TIW Operations File was generated.  

Timing: published by LCH SA between 09.15 CET and 09.30 CET on each Business

Day.  
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For the avoidance of doubt, on a day that is a Business Day but not a Clearing

Day, or on a day that is a Clearing Day on which there is no Real Time Session,

the relevant TIW Operations File will be published.

(H)   Clearing Member Restructuring Pair File

"Clearing Member Restructuring Pair File" means the file described in this

paragraph.  

Description: in respect of a DC Credit Event Announcement relating to a

M(M)R Restructuring, this file will provide Clearing Members with details of

the relevant Restructuring Matched Pairs created in accordance with the CDS

Clearing Supplement.  

LCH SA will generate a file per Clearing Member on each Business Day, but

these files will not contain any data unless a DC Credit Event Announcement

relating to a M(M)R Restructuring occurs at any time, in which case, from (and

including) the date when any relevant Restructuring Matched Pairs are created

to (and including) the relevant movement option end date, the files will

contain details of the relevant Matched Buyer and Matched Seller comprised

within each relevant Restructuring Matched Pair including the identity of the

other Clearing Member and the associated Restructuring Matched Pair

Amounts.

Timing: published by LCH SA between 09.15 CET and 09.30 CET on each

Business Day.

For the avoidance of doubt, on a day that is a Business Day but not a Clearing

Day, or on a day that is a Clearing Day on which there is no Real Time Session,

the relevant Clearing Member Restructuring Pair File will be published.

(I)   Event Managements Reports

"Event Reports" means the reports described in this paragraph.  

Description: The event reports cover the following reports made to Clearing

Members: “Restructuring Credit Event report”, “Bankruptcy/Failure to

Pay/Governmental Intervention Credit Event Report”, “Rename Event Report”

and “Succession Event Report”. In respect of the DC Credit Event

Announcements relating to Restructuring, Bankruptcy, Failure to Pay,

Governmental Intervention and Succession Events, or of the market decisions

for Rename Events, these reports will provide Clearing Members with the

description of the ongoing events.  

Timing: published by LCH SA between 09.15 CET and 09.30 CET on each

Business Day.

For the avoidance of doubt, on a day that is a Business Day but not a Clearing

Day, or on a day that is a Clearing Day on which there is no Real Time Session,

the relevant Event reports will be published.
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(J) Protected Exercise Matched Pairs Report

“Protected Exercise Matched Pairs Report” means the report described in

this paragraph.

Description: thisfile will provide Clearing Members with details of the relevant

Exercise Matched Pairs created in accordance with Part C of the CDS Clearing

Supplement.

Timing: published by LCH SA on each of the three Business Days prior to the

Exercise Date and made accessible to the Clearing Members and Exercise

Delegation Beneficiaries (as defined in paragraph 5.19.1 below) following

occurrence of an EEP Failure Event only.  

For the avoidance of doubt, on a day that is a Business Day but not a Clearing

Day, or on a day that is a Clearing Day on which there is no Real Time Session,

the relevant Protected Exercise Matched Pairs Report will be published

(provided that an EEP Failure Event has occurred).

(ii)   Risk management reports

The risk management reports are dedicated to providing Clearing Members with

risk/margin calculations and reporting the resulting cash call calculations to Clearing

Members.

(A)   Margin Requirements Results File

"Margin Requirements Results File" meansthe file described in this paragraph.  

Description: the Margin Requirements Results File is generated for each

Clearing Member with an Open Position in respect of any of its Margin

Accounts, and sets out the detailed components of the calculation relating to

the Margin required to be transferred in relation to each related Margin

Account, including the Credit Quality Margin applied to the Margin Account of

such Clearing Member, if any. The file also specifiesthe Additional Margin that

LCH SA is entitled to call from a Clearing Member on that Business Day.  

The Margin Requirements Results File is made up of two sub‐files:  

• the Margin Result House File: containing the detailed components and

the detailed calculations relating to the House Margin Requirement;

and

• the Margin Result Client File: containing the detailed components and

the detailed calculations relating to:

 the Client Margin Requirement for each Client Margin Account ;

 the hypothetical Client Margin Requirement calculated for each

CCM Net Omnibus Segregated Account Client as if such client has

opted for a CCM Direct Client Segregated Account Structure and

for each Gross CCM Omnibus Multi Sub‐Account Client as if such

client has opted for a Gross CCM Omnibus Single Sub‐Account

Structure; and
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 the hypothetical Client Margin Requirement calculated for each

branch identified as such by the relevant Client.

For the avoidance of doubt, the Margin Requirements Results File generated

at the above time will contain details of the Open Positions(including positions

pre‐registered in the Account Structure of the relevant Clearing Member in

accordance with Section 3.1.7 of the CDS Clearing Rule Book).

Timing: published by LCH SA on each Business Day before 08.00 CET.

For the avoidance of doubt, on a day that is a Business Day but not a Clearing

Day, the relevant Margin Requirements Results File will be published.

(B)   Portfolio File

"Portfolio File" means the file described in this paragraph.  

Description: the Portfolio File specifies, for each Margin Account, all the Open

Positions of the Clearing Member that have been entered for the purpose of

calculating the Margin which is required to be posted in relation to such

Margin Account.

Timing: published by LCH SA on each Business Day every hour and at the time

of a Margin Call between 09.00 CET and 19.30 CET.

For the avoidance of doubt, on a day that is a Business Day but not a Clearing

Day, or on a day that is a Clearing Day on which there is no Real Time Session,

the relevant Portfolio File will be published.  

(iii)   Collateral management reports

Timing: collateral management reports and files are sent to Clearing Members in two

formats (XML and/or structured TXT). The following reports and files are published by

LCH SA on each Business Day between 05.15 CET and 05.45 CET (and, with respect to

the AC0102E Report, AC0103E Report and AC0113E Report, before each call for

payment of the Additional Contribution Amount as the case may be)

(A)   AC0103E Report CDSClear Cash Call Document

"AC0103E Report" means the report described in this paragraph.  

(1)   CDSClear Cash Call Document

"CDSClear Cash Call Document" means the section of the AC0103E

Report described in this paragraph.  

Description: the CDSClear Cash Call Document contains detailsfor each

Clearing Member on:  

• the daily activity (including the cash available to such Clearing

Member from the previous Business Day and cash flows

associated with Cleared Transactions of such Clearing

Member); and
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• the monthly activity (including the statement of account and

invoicing fees flow) of cash flows relating to such Clearing

Member in the CDS Clearing System.

The CDSClear Cash Call Document will separately set out the details:

‐    for the House Account Structure of a Clearing Member and for

each of its Client Account Structure(s), if applicable; and

‐   for Euro cash flows and for USD cash flows, if applicable.

Before each call for payment of the Additional Contribution Amount on

any Business Day, LCH SA will send to each relevant Clearing Member

the updated CDSClear Cash Call Document.

(B)   AC0102E Report

"AC0102E Report" means the section of the AC0102E Report described in this

paragraph.  

(1)   CDSClear EUR/US Margin & Product Flows Document

"CDSClear EUR/US Margin & Product Flows Document" means the

Report described in this paragraph.  

Description: the CDSClear EUR/US Margin & Product Flows Document

contains the global amount of clearing flows (including Fixed Amounts

in relation to Cleared Transactions of the relevant Clearing Member),

credit event flow (including Cash Settlement Amounts and Fixed

Amount rebates in relation to Cleared Transactions of the relevant

Clearing Member) and collateral flows (including spread margin, short

charge margin, recovery risk margin, self‐referencing protection

margin, interest rate margin, coupon, credit event margin, increase

coverage, contingency variation margin and liquidity charge), which is

calculated for value day "D" and compared to the amount of Collateral

(bonds and shares, non‐Euro and Euro cash) allocated from the

previous Business Day for the relevant Clearing Member.

The CDS Cash Call Document willseparately document the clearing and

collateral flows:

‐    for the House Account Structure of a Clearing Member and for

each of its Client Account Structure(s), if applicable; and

‐    for Euro cash flows and for USD cash flows, if applicable.

The sum of all these cash flows is reported at the end of the CDS Cash

Call Document and, also, as a specific line, in the CDSClear Cash Call

Document.
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(2)   CDSClear Default Fund Contribution Document

"CDSClear Default Fund Contribution Document" means the section

of the AC0102E Report described in this paragraph.  

Description: the CDSClear Default Fund Contribution Document details

the global amount of a Clearing Member's contribution to the CDS

Default Fund which is compared to the amount of Collateral allocated

from the previous Business Day.

Before each call for payment of the Additional Contribution Amount on

any Business Day, LCH SA will send to each relevant Clearing Member

the updated CDSClear Default Fund Contribution Document detailing

the Additional Contribution Amount to be paid by such relevant

Clearing Member in accordance with Section 6 of the Procedures.

(C)   AC0110E Report Financial Statement

"AC0110E Report" means the report described in this paragraph.   

" Financial Statement Reports" means the sections of the AC0110E Report.  

Description: LCH SA will send the Financial Statement Reports to each

Clearing Member using non‐Euro currencies, Bonds and shares, as Collateral.

The Financial Statement Report contains the detail of available and allocated

cash, bonds and shares and non Euro currencies, per market and per sub‐

account as well as the details of the type of Eligible Collateral (ISIN code or

code of non euro currency), and the related quotations, its value calculated in

Euro, the applied haircut rate and its allocated and available amounts.

Timing: published by LCH SA before each TARGET2 time slot on each Business

Day and upon a Clearing Member crediting LCH SA TARGET2 Account as

described under Section 3.7(f).  In the latter case, it will only be made available

to the relevant Clearing Member.

(D)   AC0104E Report

"AC0104E Report" means the report described in this paragraph.  

(1)   Daily Account Statement Report

"Daily Account Statement Report" means the section of the AC0104E

Report described in this paragraph.  

Description: the Daily Account Statement Report details all accounting

operations recorded in LCH SA's books for each Clearing Member on

the previous Business Day in accordance with its profile (market, sub‐

account, collateral, etc).  

The Daily Account Statement Report issent with the CDSClear Cash Call

Document.
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(E)   AC0111E Report

"AC0111E Report" means the report described in this paragraph.

(1)   History of Collateral Instructions

Description: this report contains the recap of all the deposit and

withdrawal demands of collateral (cash or securities) accepted or

rejected, from the last report sent. This report contains also the total

excess collateral. For each Collateral Account a balance after

settlement is calculated with the global amount, the allocated amount

and the available amount for each authorised type of collateral and

such for each Collateral Account of the relevant Clearing Member.

(F)   AC0112E Report

"AC0112E Report" means the report described in this paragraph.

(1)   Details of Regularisation of Cash Flow Operations

"Details of Regularisation of Cash Flow Operations" meansthe section

of the AC0112E Report described in this paragraph.  

Description: the Details of Regularisation of Cash Flow Operations is

published only if LCH SA operates any manual regularisation. The

AC0112E Report will be sent with the CDS Default Fund Cash Call

Document.

(G)   AC0113E Report

"AC0113E Report" means the report described in this paragraph.

(1)   Cash Transfer

Description: this report contains the sum of all the balances set out in

the CDSClear Margin And Product Flows Document  and the CDSClear

Margin And Product Flows Document , that are due by the Clearing

Member to LCH SA. This report will separately identify the amounts

due in respect of the House Account Structure of a Clearing Member

and each of its Client Account Structure(s), if applicable.

(b) Intraday Call Reports

"Intraday Call Reports" means the reports listed in this paragraph 5.16(b) (the descriptions

of which are as set out in paragraph 5.16 (a), above unless otherwise noted below) published

by LCH SA on each Business Day at the times, as specified below.  

For the avoidance of doubt, on a day that is a Business Day but not a Clearing Day, or on a

day that is a Clearing Day on which there is no Real Time Session, the Intraday Call Reports

will still be published.  
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(i)   Trade management reports

(A)   Bilateral Trades Report

Description: contains all details of the Intraday Transactions which have been

novated on the current Business Day as well as details of those that have

become Rejected Transactions in accordance with the CDS Clearing Rule Book.  

Timing: published by LCH SA on each Business Day between 11.55 CET and

12.25 CET (in respect of the First Intraday Call), between 15.55 CET and 16.25

CET (in respect of the Second Intraday Call) and by 20.00 CET.  

On a day that is a Business Day but not a Clearing Day, or on a day that is a

Clearing Day on which there is no Real Time Session, the relevant Bilateral

Trades Reports will not contain any data.

(B)   Cleared Trades Report

Timing: published by LCH SA on each Business Day between 11.55 CET and

12.25 CET (in respect of the First Intraday Call), between 15.55 CET and 16.25

CET (in respect of the Second Intraday Call) and by 20.00 CET.  

(C)   TIW Operations File

Timing: published by LCH SA on each Business Day between 11.55 CET and

12.25 CET (in respect of the First Intraday Call), between 15.55 CET and 16.25

CET (in respect of the Second Intraday Call) and by 20.00 CET.   

(ii)   Risk management reports

(A)   Margin Requirements Results File

Timing: published by LCH SA on each Business Day between 10.55 CET and

11.25 CET (in respect of the First Intraday Call), between 14.55 CET and 15.25

CET (in respect of the Second Intraday Call), and by 20.00 CET.  

At these times, LCH SA will provide two Margin Requirements Results Files to

each relevant Clearing Member:  

(i) the first Margin Requirements Results File will contain details of the

calculation relating to the Margin required to be posted in relation to

the Portfolio File described in paragraph 5.16(c)(ii)(B) below in respect

of the Open Positions recorded in the House Margin Account, on the

basis of the relevant Clearing Member’s Open Positions between 11:00

and 12:00 CET on that Business Day;

(ii) the second Margin Requirements Results File will contain details of the

calculation relating to the Margin required to be posted in relation to

the Portfolio File described in paragraph 5.16(c)(ii)(B) below in respect

of the Open Positions registered in each Client Margin Account which

is calculated based on the Clearing Member’s Open Positions at about

11.30 CET on that Business Day.  
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and in each case an indicator of whethersuch Margin Requirement Results File

has been used for the purposes of the applicable Intraday Call.

(B)   Portfolio Files

Description: the Portfolio File specifies, for each Margin Account, all the Open

Positions of the Clearing Member and the positions corresponding to Eligible

Transactions pre‐registered in the Account Structure of the relevant Clearing

Member that have been entered for the purpose of calculating the Margin

which is required to be posted in relation to such Margin Account.

Timing: published by LCH SA on each Business Day between 11.55 CET and

12.25 CET (in respect of the First Intraday Call), between 14.55 CET and 15.25

CET (in respect of the Second Intraday Call), and by 20.00 CET.  

(iii)   Collateral management reports

Description:

(A)   AC0103E Report

(B)   AC0102E Report

(C)   AC0110E Report

(D)   AC0104E Report

(E)   AC0111E Report

(F)   AC0112E Report

(G)   AC0113E Report

Timing: the above mentioned reports and files are published by LCH SA on each

Business Day between 11.05 CET and 11.20 CET (in respect of the First Intraday Call),

and between 15.05 CET and 15.20 CET (in respect of the Second Intraday Call) (the

descriptions of the following reports are as set out in Section 5.16(a)(iii), above).  

(c) Other daily reports

(i)   Product File

"Product File" means the file described in this paragraph.

Description: the Product File contains the details of all the types of CDS and Index

Swaptions then eligible for clearing in the CDS Clearing System and all the types of

CDS and Index Swaptions which have ceased to be eligible for clearing within the

period commencing 60 Clearing Days prior to the date of publication of the relevant

Product File and ending on the date of publication of such Product File.

Timing: published by LCH SA on each Business Day by 21.00 CET. For the avoidance of

doubt, on a day that is a Business Day but not a Clearing Day, or on a day that is a
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LCH SA © [●]  2022 35   Published on [●]  16 May 2022

Clearing Day on which there is no Real Time Session, the relevant Product File will be

published.

(ii) Cross Trades Report

"Cross Trades Report" means the reports described in this paragraph.  

Description: the Cross Trades Report contains details of those cross trades which are

required to be executed by a Clearing Member in accordance with Paragraph 5.18.5.  

Timing: published by LCH SA by 18.30 CET on each Clearing Day.  

Where a Cross Trade Report is published on a Clearing Day that:  

(a) is not a Firm Day; or  

(b) is a Firm Day but, on which, none of the prices provided by the Clearing

Member in accordance with Paragraph 5.18.5 result in the creation of cross

trades,  

then the Cross Trades Report will be published but will not contain any data.  

For the avoidance of doubt, on a day that is a Clearing Day on which there is no Real

Time Session, the relevant Cross Trades Report will be published.

(iii) Variation Margin and NPV Amount Report

Description: the Variation Margin and NPV Amount Report is generated for each

Clearing Member and sets out the detailed components of the calculation relating to

the Variation Margin Requirement and NPV Payment Requirement.. The Variation

Margin and NPV Amount Report is made up of two sub‐files: the Variation Margin and

NPV Amount House File with respect to the House Variation Margin Requirement and

House NPV Payment Requirement and the Variation Margin and NPV Amount Client

File with respect to the Client Variation Margin Requirement and Client NPV Payment

Requirement for each Client Margin Account. Each of these sub‐files specifies:

• with respect to each Cleared Transaction registered in the relevant Account

Structure of the relevant Clearing Member, the Variation Margin and/or NPV

Amount which shall be transferred or paid, as applicable, to LCH SA or, as

applicable, received from LCH SA at the same time as the following Morning Call;

and

• with respect to each Irrevocable Backloading Transaction pre‐registered in the

relevant Account Structure of the relevant Clearing Member, the Variation

Margin and/or NPV Amount which shall be transferred or paid, as applicable, to

LCH SA or, as applicable, received from LCH SA at the same time as the following

First Intraday Call, provided that such Irrevocable Backloading Transaction is

novated following the Morning Call on the relevant Clearing Day.

Timing: published by LCH SA between 02:00 CET and 04:00 CET on each Business Day.  
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For the avoidance of doubt, on a day that is a Business Day but not a Clearing Day, or

on a day that is a Clearing Day on which there is no Real Time Session, the relevant

Variation Margin and NPV Amount Report will be published.

(d) Monthly reports

(i)   AC0101E Report – Invoicing Details

"AC0101E Report" means the report described in this paragraph.

(A)   Invoicing Details Report

"Invoicing Details Report" means the section of the AC0101E Report

described in this paragraph.

LCH SA willsend the Invoicing Details Report to each Clearing Member on the

tenth Clearing Day of the month, listing the references and amounts of the

invoices relating to the CDS Clearing System. Once available, this information

is also set out as a specific line item in the Margin And Product Flows

Document.

(ii)   AC0106E Report ‐ Monthly Interest Statement

"AC0106E Report" means the report described in this paragraph.

(A)   Monthly Interest Statement

"Monthly Interest Statement" means the section of the AC0106E Report

described in this paragraph.

LCH SA will send the Monthly Interest Statement to each Clearing Member

on the third Clearing Day of each month, containing the global monthly

calculation per Margin/Collateral Account and a detailed calculation of

interest to be paid to LCH SA, or due from LCH SA, relating to the Collateral

transferred by such Clearing Member pursuant to Section 3 of the Procedures.  

The sum of interest is also reported as a specific line in Margin And Product

Flows Document.

(iii)   AC0126E Report  

"AC0126E Report" means the report described in this paragraph.

(A) Monthly Collateral Interest / Fees Report Breakdown

" Monthly Collateral Interest / Fees Report Breakdown" means the section

of the AC0126E Report described in this paragraph.

LCH SA will send the Interest Scales Report to each Clearing Member on the

third Clearing Day of each month, containing the detail of the daily calculation

of interest and fees for each Margin Account, including for each date, the

amount of allocated collateral and applied daily rate.
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(iv)   AC0129E Report  

"AC0129E Report" means the report described in this paragraph.

(A)   CDSClear Default Fund Contribution Details

" CDSClear Default Fund Contribution Details " means the section of the

AC0129E Report described in this paragraph.

LCH SA will send the CDS Default Fund Contribution to each Clearing Member

on the fourth Business Day of the month, setting out the new calculation of

such Clearing Member's monthly contribution to the CDS Default Fund for the

next period.  

This new contribution is also reported in the CDS Default Fund Contribution

Document.

(v)   AC0105E Report  

"AC0105E Report" means the report described in this paragraph.

(A)   Monthly Account Statement

" Monthly Account Statement" means the section of the AC0105E Report

described in this paragraph.

LCH SA will send the Monthly Account Statement to each Clearing Member on

the first Clearing Day of each month detailing all accounting operations

recorded in LCH SA's book for the relevant Clearing Member during the month

in accordance with its profile (market, sub‐account, collateral, etc.

Each AC0105E Report is sent with the CDSClear Cash Call Document.

(vi)   Billing and Invoicing Reports

"Billing and Invoicing Report" means the report described in this paragraph.

LCH SA will send to each Clearing Member a CDS Billing and Invoicing Report on a monthly

basis.

(e) Collateral Holding Report

"Collateral Holding Report" means the report described in this paragraph.

Euroclear Bank SA/NV will provide LCH SA and each Clearing Member with a Collateral Holding

Report via SWIFT each time there is a movement on the pledged securities account

contemplated by paragraph 3.13 of Section 3 of the Procedures (the “Pledged Account”) on a

Business Day. Such report will include: (i) details of the Eligible Collateral held in the Pledged

Account; (ii) the ISIN code(s) of the relevant Eligible Collateral, if applicable; and (iii) the

outstanding principal amount of the relevant Eligible Collateral. LCH SA shall grant Clearing

Members simultaneous access to each such Collateral Holding Report via Euclid PC between

05.00 CET and 20.00 CET on each Business Day.
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(f) Compression Results File

"Compression Results File" means the report described in this paragraph.

Description: A Compression Results File will contain confirmation of the details of the resultant

compressed tradesthat have been created following the submission of an ad‐hoc compression

request by a Clearing Member or a Client, as applicable.

Timing: Shortly after a Clearing Member or a Client, as applicable, submits an ad‐hoc

compression request in accordance with paragraph 5.5(a) above, LCH SA will publish a

Compression Results File in respect of such request.

5.17 REGULATORY REPORTING 

(a) Reporting obligation under EMIR

Pursuant to EMIR, LCH SA will report the details of any Cleared Transaction subject to

the reporting obligation in accordance with EMIR Article 9.1 to a trade repository duly

registered or recognised in accordance with EMIR.  

LCH SA will not report the details of any Cleared Transaction on behalf of the relevant

Clearing Member and/or its Clients.  

The details of any Cleared Transaction and any modification (including any correction

of errors or inconsistencies contained in a report) or termination of such Cleared

Transaction shall be reported to the trade repository no later than the Business Day

following the day of occurrence of the event triggering the obligation to report

pursuant to EMIR.  

For the purpose of the above reporting, LCH SA will generate a Unique Trade ID (“UTI”)

to identify a Cleared Transaction and will communicate such UTI to the relevant

Clearing Members in due time. Such UTI will be used from the creation of the Cleared

Transaction until its termination.

(b) Reporting obligation under CFTC Regulations Part 45

Pursuant to CFTC Regulations Part 45, LCH SA will send reports to a Swap Data

Repository (“SDR”). For this purpose LCH SA will be using DTCC Data Repository (U.S.)

LLC (“DDR”) as an SDR.  

The reporting to DDR will include creation data, continuation data and valuation data

on any relevant Cleared Transaction as described below and according to the below

timing:

1. Creation data: any creation of a  Cleared Transaction as a result of the novation

process will be reported by LCH SA to DDR, upon occurrence of registration of the

Cleared Transaction in accordance with Section 3.1.10 of the CDS Clearing Rule

Book;   

2. Continuation data: information on lifecycle events of the Cleared Transaction,

including any termination, compression, credit events will be reported by LCH SA

to DDR, upon occurrence of the relevant registration of such event;
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3. Valuation data: the value of each relevant Cleared Transaction will be reported

on a daily basis by LCH SA to DDR.

For the purpose of the above reporting, LCH SA will use:

(i) a Unique Swap Identifier (“USI”) to identify a Cleared Transaction and such

USI will be used from the creation of the Transaction until its termination;

(ii) the CFTC Interim Compliant Identifier (“CICI”) of each Party to the Transaction.

5.18 END OF DAY PRICE CONTRIBUTION 

References to times and deadlines in this paragraph 5.18 are to London local time (being

Greenwich Mean Time (GMT) or British Summer Time (BST) as applicable) unless otherwise

specified.

5.18.1   Market Data submission

LCH SA has appointed the Index Publisher to be a Third Party Data Aggregator for the purposes

of the CDS Admission Agreement.  

On each Price Contribution Day, LCH SA will request the Index Publisher to obtain Market Data

from each Price Contribution Participant for CDS and Index Swaptions in respect of which they

have Open Positions.  

Price Contribution Participants are required to submit Market Data at the times set out in

paragraph 5.18.3 below.  

If a Clearing Member wishes to appoint a Price Contribution Delegate, it shall first obtain the

prior approval of LCH SA. For that purpose, the relevant Clearing Member shall contact LCH

SA’s CDSClear Business Development & Relationship Management team

(cdsclearbusinessdevrm@lch.com) and shall provide such information as may be required by

LCH SA.  For the avoidance of doubt, LCH SA has full discretion as to the approval of a Price

Contribution Delegate for any Clearing Member.

In accordance with Article 2.2.0.5 of the CDS Clearing Rule Book, a Clearing Member that is a

Select Member may decide to receive, or as the case may be, stop receiving the Price

Requirement Files (as defined in paragraph 5.18.3 below). For that purpose, the relevant

Clearing Member shall contact LCH SA’s CDSClear Business Development & Relationship

Management team (cdsclearbusinessdevrm@lch.com) and shall provide such information as

may be required by LCH SA.

5.18.2   Calculation of End of Day Contributed Prices

(a) In respect of CDS

The process for the calculation of End of Day Contributed Prices in respect of CDS involves

the following steps for the Index Publisher (unless otherwise specified):

(i) Receipt of Price Contribution Participants’ Market Data by the Index Publisher

(ii) Application of bid/ask constraint by the Index Publisher. The bid/ask constraint values

are defined by LCH SA and updated from time to time
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(iii) Determination of clearing price

(iv) Determination of any cross trades (potential)

(v) Communication of clearing price  

(b) In respect of Index Swaptions

The process for the calculation of End of Day Contributed Prices in respect of Index

Swaptions involves the following steps:

(i) Receipt of Price Contribution Participants’ Market Data by the Index Publisher

(ii)   Communication of Market Data by the Index Publisher to LCH SA

(iii) Application of bid/ask constraint by LCH SA. The bid/ask constraint values are defined

by LCH SA and updated from time to time.

(iv) Determination of clearing price by LCH SA

(v) Determination of any cross trades (potential) by LCH SA.

5.18.3   Price submission procedure

Price Contribution Participants should submit Market Data in accordance with the following

procedure:  

● LCH SA will transmit to the Index Publisher, on a daily basis, the Market Data for

Clearing Members with Open Positions in Cleared Transactions;  

● Price Contribution Participants will receive price requirement files listing the Open

Positions in respect of which they are required to submit Market Data (each a “Price

Requirement File”);

● The Price Requirement Files will be available from the Index Publisher’s website for

download daily. The times for the downloads for the various Trading Cities are set out

in the CDSClear Service Description available on the LCH website.

● Price Contribution Participants upload Market Data submissions to the Index

Publisher for the Cleared Transactions listed in the Price Requirement File. The

submission windows for the various Trading Cities are set out in the CDSClear Service

Description available on the LCH website.

● Market Data can be re‐submitted during the submission window; where a Price

Contribution Participant does this the latest submitted Market Data will be taken into

account by the Index Publisher;

● Market Data should be supplied via a Markit spreadsheet or a Markit API;

● Price Contribution Participants’ Market Data submission can either be Bid/Ask pairs

or Mids;
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● The Index Publisher carries outreal time checks on the data submitted to take account

of fat‐fingering, invalid reference data, etc. A validation log will be available to Price

Contribution Participants for erroneous submissions/warnings.

5.18.4 Use of composite spreads/prices

To the extent LCH SA has not received: End of Day Contributed Prices in respect of CDS or

Market Data in respect of Index Swaptions from the Index Publisher by the Latest Contributed

Price Time for the relevant Trading Cities as set out in the CDSClear Service Description

available on the LCH website, it will use:

(a) With respect to Index Cleared Transactions, composite prices/spreads for the

purposes of calculating the Variation Margin Requirement and/or NPV Payment Requirement

for each Margin Account of a Clearing Member on the next following Business Day;

(b) With respect to Single Name Cleared Transactions, a computation of end of day

contributed spreads and composite spreads for the purpose of calculating the Variation

Margin Requirement and/or NPV Payment Requirement for each Margin Account of a Clearing

Member on the next following Business Day; and

(c)   With respect to Index Swaption Cleared Transactions, a computation of end of day

contributed spreads and composite spreads for the purpose of calculating the Variation

Margin Requirement and/or NPV Payment Requirement for each Margin Account of a Clearing

Member on the next following Business Day,

in accordance with Article 4.2.7.1 of the CDS Clearing Rule Book.  

5.18.5 Trade crossing

In order to validate the Market Data submitted by Price Contribution Participants in

accordance with this Paragraph 5.18, LCH SA shall require Price Contribution Participants to

undertake trade crossing in accordance with Article 4.2.7.7 of the CDS Clearing Rule Book.

For the avoidance of doubt, in respect of Price Contribution Participants that are Select

Members, or as the case may be their Price Contribution Delegates, paragraph 5.18.5 shall

only apply to them in respect of Market Data that they have submitted.  

(a) Firm Days

LCH SA shall determine a number of "Firm Days" being the last Clearing Day of each quarter

and 30 other Clearing Days in any calendar year chosen at LCH SA’s sole discretion, and shall

communicate such Firm Days to Price Contribution Participants promptly after the closure of

the submission window for the relevant Trading City, as listed in the CDSClear Service

Description, available on the LCH website.

(b) Determination of cross trades

(i)  CDS

The Index Publisher will inform LCH SA on each Price Contribution Day where prices

submitted by Price Contribution Participants in accordance with this Paragraph 5.18 do not

reflect the quoted daily spread for a particular CDS. On each Firm Day, Price Contribution

Participants whose price(s) do not reflect the quoted daily spread for a particular CDS on such
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Firm Day will be required to execute a CDS with another Price Contribution Participant on

pre‐determined terms, as set out in Paragraph 5.18.5(c)(i) below. CDS must be executed by a

Price Contribution Participant prior to the Latest Cross Trade Execution Time listed for the

relevant Trading City in the CDSClear Service Description, on the Price Contribution Day

following the relevant Firm Day.  

(ii)  Index Swaption

On each Price Contribution Day LCH SA will identify where prices submitted by Price

Contribution Participants in accordance with this Paragraph 5.18 do not reflect the quoted

daily price for a particular Index Swaption. On each Firm Day, Price Contribution Participants

whose price(s) do not reflect the quoted daily price for a particular Index Swaption on such

Firm Day will be required to execute a “Delta Hedged Swaption Package” being an Index

Swaption and a CDS referencing an eligible Index Version to hedge the Index Swaption delta,

with another Price Contribution Participant on pre‐determined terms, as set out in Paragraph

5.18.5(c)(ii) below. The Delta Hedged Swaption Package must be executed by a Price

Contribution Participant prior to the Latest Cross Trade Execution Time listed for the relevant

Trading City in the CDSClear Service Description on the Price Contribution Day following the

relevant Firm Day.

(c) Terms of cross trades

LCH SA shall notify the relevant Price Contribution Participant of the following required CDS

or Delta Hedged Swaption Package terms by issuing a Cross Trade Report in accordance with

Paragraph 5.16(c)(iii) above:  

(i) For CDS:

 Index Version or Reference Entity as applicable

 Red code  

 Original Notional Amount or Floating Rate Payer Calculation Amount as applicable

 Currency

 Fixed Rate

 Fixed Rate Payer

 Floating Rate Payer

 Scheduled Termination Date

 applicable ISDA Credit Derivatives Definitions

 Initial Payment Amount

 Initial Payment Payer

 Initial Payment Receiver

 Transaction Type

(ii) For Delta Hedged Swaption Package:

 In respect of the Index Swaption:

 Swaption Type

 Swaption Strike

 Expiration Date

 Swaption Buyer

 Swaption Seller

 Premium
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 Index Version of the Underlying Index Transaction

 Red Code of the Underlying Index Transaction

 Scheduled Termination Date of the Underlying Index Transaction

 Original Notional Amount of the Underlying Index Transaction

 Currency of the Underlying Index Transaction

 In respect of the CDS referencing an eligible Index Version to hedge the Index

Swaption delta:

 Original Notional Amount  

 Initial Payment Amount

(d) Notification of execution

Price Contribution Participants required to execute cross trades in accordance with this

Paragraph 5.18.5 must provide LCH SA with the DTCC trade reference identifiers (TRI) before

the Latest Cross Trade Execution Time listed for the relevant Trading City in the CDSClear

Service Description on the Price Contribution Day following the relevant Firm Day by emailing

this to LCH SA’s CDSClear Operations department at cdsclear.ops@lch.com.

5.18.6 Failure to submit prices

In the event that a General Member or as the case may be its Price Contribution Delegate,

does not submit prices to the Index Publisher in accordance with paragraph 5.18.3, LCH SA

shall be permitted to invoke Disciplinary Proceedings in respect of the General Member, or as

the case may be, the affiliated General Member for which such Price Contribution Delegate

acts, in accordance with Section 8 of the Procedures.  

In circumstances where a failure to provide prices in accordance with paragraph 5.18 is the

only breach by that General Member, or as the case may be, the affiliated General Member

for which such Price Contribution Delegate acts, of its obligations under the CDS Clearing

Documentation, LCH SA shall not be permitted to declare an Event of Default in respect of that

General Member, or as the case may be, the affiliated General Member for which such Price

Contribution Delegate acts,  pursuant to Article 4.3.1.2 of the CDS Clearing Rule Book.

5.18.7   Failure to execute cross trades

In the event that a Price Contribution Participant does not execute cross trades in accordance

with paragraph 5.18.5, LCH SA shall be permitted to invoke Disciplinary Proceedingsin respect

of that Price Contribution Participant, or as the case may be, the affiliated Clearing Member

for which such Price Contribution Participant acts, in accordance with Section 8 of the

Procedures.  

In circumstances where a failure to execute cross trades in accordance with paragraph 5.18 is

the only breach by that Price Contribution Participant, or as the case may be, the affiliated

Clearing Member for which such Price Contribution Participant acts, of its obligations under

the CDS Clearing Documentation, LCH SA shall not be permitted to declare an Event of Default

in respect of that Price Contribution Participant, or as the case may be, the affiliated Clearing

Member for which such Price Contribution Participant acts,  pursuant to Article 4.3.1.2 of the

CDS Clearing Rule Book.
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5.19 DELEGATION BY CLEARING MEMBERS TO CLIENTS AND 

ELECTRONIC EXERCISE PLATFORM 

5.19.1. Delegation by Clearing Members to Clients  

Any Clearing Member (a “Delegating Clearing Member”) which has delegated to a Client:

(i) the power to Exercise and/or Abandon all or part of the relevant Exercise Cleared

Transactions (an “Exercise Delegation Beneficiary”), in accordance with Section 6 of

Part C of the CDS Clearing Supplement (in each case an “Exercise Delegation”); and

(ii) the power to send and receive Credit Event Notices and Noticesto Exercise Movement

Option in respect of the relevant Swaption Restructuring Cleared Transactions (a

“Restructuring Delegation Beneficiary”), in accordance with Section 5 of Part C of the

CDS Clearing Supplement (in each case a “Restructuring Delegation”)

shall notify such Exercise Delegation and such Restructuring Delegation to LCH SA by sending

a copy of a duly completed and signed notification form (a “Delegation Form”, available on

the LCH Portal) by email to LCH SA’s CDSClear Business Development & Relationship

Management team at cdsclearbusinessdevrm@lch.com and one original of such Delegation

Form by registered letter to the appropriate LCH SA interlocutor as set out on the Delegation

Form.

Upon receipt of a duly completed and signed Delegation Form, LCH SA shall ensure that the

relevant Clientis authorised to act as an Exercise Delegation Beneficiary and as a Restructuring

Delegation Beneficiary in respect of the relevant Client Cleared Transactions identified in such

Delegation Form only.  

Clearing Members who withdraw an Exercise Delegation and a Restructuring Delegation shall

inform LCH SA by sending a copy of a duly updated and signed Delegation Form by email to

LCH SA’s CDSClear Business Development & Relationship Management team at

cdsclearbusinessdevrm@lch.com (an “Delegation Withdrawal”). For the avoidance of doubt,

in accordance with Section 6 of Part C of the CDS Clearing Supplement, an Exercise Delegation

may be withdrawn only if no Exercise Cleared Transaction is registered in the Client Trade

Account of the relevant Exercise Delegation Beneficiary and, in accordance with Section 5 of

Part C of the CDS Clearing Supplement, a Restructuring Delegation may be withdrawn only if

no Swaption Restructuring Cleared Transaction isregistered in the Client Trade Account of the

relevant Restructuring Delegation Beneficiary.

Notwithstanding the above, receipt by LCH SA of one of the documents listed in paragraphs

5.7 (i) to (ii) above or Article 6.4.1.3 of the CDS Clearing Rule Book will be deemed a Delegation

Withdrawal with respect to Client Cleared Transactions registered in the Client Trade Account

of the relevant Client and will be processed as such by LCH SA, unless otherwise instructed by

the relevant Delegating Clearing Member.  

LCH SA shall process Exercise Delegations, Restructuring Delegations and Delegation

Withdrawals as soon as reasonably practicable.   
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5.19.2. Electronic Exercise of Exercise Cleared Transactions

Except in case of EEP Failure Event, Clearing Members and Exercise Delegation Beneficiaries

shall Exercise or Abandon Exercise Cleared Transactions using one of the EEP applications

available on LCH Portal.

Upon submission by the relevant Clearing Member or Exercise Delegation Beneficiary of an

Option Intent in the EEP, LCH SA will carry out logicality controls in respect of such Option

Intent, in order to help Clearing Members and Exercise Delegation Beneficiaries identify an

Option Intent which could have been submitted in the EEP in error. Such logicality controls

will be based on the relative position of the price of Exercise compared to reference prices

determined by LCH SA in its sole discretion and provided in the EEP. Any Option Intent which

does not pass such logicality controls will be deemed illogical and will not be registered in the

EEP.  

Notwithstanding the above, Clearing Members and Exercise Delegation Beneficiaries may

elect to bypass such logicality controls by specifying “Confirm” (or “Force”, as applicable) in

relation to the relevant Option Intent when submitting such Option Intent (“Force

Submission”).

Clearing Members and Exercise Delegation Beneficiaries shall be informed as soon as

reasonably practicable by LCH SA any time an Option Intent is deemed illogical, and such

Clearing Member or Exercise Delegation Beneficiary may then elect to re‐submit such Option

Intent and Force Submission in relation to such Option Intent.

LCH SA will not carry out logicality controls in respect of any Option Intent in respect of which

the relevant Clearing Member or Exercise Delegation Beneficiary has elected to Force

Submission in relation to. Before registering any Option Intent submitted through (i) the LCH

Portal or (ii) in case of Exercise Delegation, a Client Portal Account identified in the relevant

Exercise Delegation Form received by LCH SA, LCH SA will ensure that:  

(i) such Option Intent is submitted by a user who (a) is connected with the proper user ID

and password and (b) based on such ID and password, is duly authorised to Exercise or

Abandon, as applicable, the relevant Exercise Cleared Transactions;  

(ii) an Option Intent has not already been submitted in the EEP in respect of the relevant

Exercise Cleared Transaction (other than a partial Exercise);  

(iii) the Option Intent passes the logicality controls or the relevant Clearing Member or

Exercise Delegation Beneficiary has Forced Submission, as described above.

LCH SA will not be required to carry out any further control.