An LSEG Business

LCH | 10 Paternoster Square | London EC4M 7LS | T: +44 (0)20 7426 7000 | F: +44 (0)20 7426 7001 | lch.com

LCH Group Holdings Limited | LCH Limited | Banque Centrale de Compensation | LCH.Clearnet LLC

LCH Group Holdings Limited. Registered in England No. 4743602 Registered Office: 10 Paternoster Square, London, EC4M 7LS

VIA CFTC Portal

Mr Christopher Kirkpatrick

Commodity Futures Trading Commission

1155 21st Street NW

Three Lafayette Centre

Washington DC 20581

08 November 2022

LCH Limited Self-Certification: Revised Margin Collateral Haircut Schedule 

Dear Mr. Kirkpatrick,

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

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

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

(“Schedule”). This new Schedule will take effect on or after November 23, 2022.

Part I: Explanation and Analysis

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

collateral members and clients can post for margin purposes. 

Part II: Description of Rule Changes

LCH observed increases levels of volatility in Q3 2022 and is therefore proposing changes 

with regards to the haircuts applied to conventional bonds and inflation linked bonds it 

accepts as margin collateral. There are no proposed changes to FX haircuts. 

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

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

highlighted1. 

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

Part III: Core Principle Compliance

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

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

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

Management). 

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

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

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

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

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

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

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

the implementation date.
An LSEG Business

LCH | 10 Paternoster Square | London EC4M 7LS | T: +44 (0)20 7426 7000 | F: +44 (0)20 7426 7001 | lch.com

LCH Group Holdings Limited | LCH Limited | Banque Centrale de Compensation | LCH.Clearnet LLC

LCH Group Holdings Limited. Registered in England No. 4743602 Registered Office: 10 Paternoster Square, London, EC4M 7LS

reductions in value to reflect credit, market and liquidity risks, and evaluate the appropriates 

of the haircuts, which is inline with these changes. 

LCH considered its risk management requirements, specifically those related to the types of 

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

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

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

CFTC Regulation §39.13.

Part IV: Public Information

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

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

Part V: Opposing Views

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

members, members of LCH, or market participants.

Certification

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

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

amended, and the regulations promulgated thereunder.

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

Yours sincerely,

Ebba Andersson

Senior Compliance Officer

LCH Limited
An LSEG Business

LCH | 10 Paternoster Square | London EC4M 7LS | T: +44 (0)20 7426 7000 | F: +44 (0)20 7426 7001 | lch.com

LCH Group Holdings Limited | LCH Limited | Banque Centrale de Compensation | LCH.Clearnet LLC

LCH Group Holdings Limited. Registered in England No. 4743602 Registered Office: 10 Paternoster Square, London, EC4M 7LS

Confidential Appendix I

LCH Margin Collateral Haircut Schedule