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 Limited. Registered in England No. 25932 Registered Office: 10 Paternoster Square, London, EC4M 7LS

VIA CFTC PORTAL

September 1, 2022

Mr. Christopher Kirkpatrick

Commodity Futures Trading Commission

1155 21st Street NW

Three Lafayette Centre

Washington, DC 20581

LCH Limited Self-Certification: Minor Amendment to Location of Definitions

Dear Mr. Kirkpatrick,

Pursuant to Commodity Futures Trading Commission (“CFTC”) Regulation §40.6(a), LCH Limited 

(“LCH”), a derivatives clearing organization registered with the CFTC, is submitting for selfcertification revisions to its rules to move definitions currently located in multiple procedures to be 

represented consistently in its Default Rules.

Part I: Explanation and Analysis

On April 1, 2022, LCH submitted a rule filing related to the extension of the opening hours for the 

SwapClear Service and the introduction of a new overnight funding account (“OFA”). This also 

included changes related to the timing of calculation amounts during default management in the 

SwapClear and ForexClear Services. A definition of “Auction Losses Calculation Period” and 

“Daily Calculation Period” were added to multiple LCH Procedures. LCH has determined that 

these definitions would be better placed in the Default Rules. The resulting revisions are in the 

following LCH rules: Procedures Section 2C (SwapClear Clearing Service); Procedures Section 

2I (ForexClear Clearing Service); FCM Procedures; and Default Rules.

Part II: Description of Rule Changes

The following is a summary of the revisions to be made to LCH’s rules. These changes are for 

clarity and do not change the operation of LCH’s rules in any way. 

Procedures Section 2C (SwapClear Clearing Service), Procedures Section 2I (ForexClear 

Clearing Service) and FCM Procedures

The section titled “Calculation Period” which includes the definition of “Auction Losses Calculation 

Period” and “Daily Calculation Period” has been deleted (Procedures 2C Section 1.28.12; 

Procedures 21 Section 1.10.9). Similarly, the definitions of “Auction Losses Calculation Period” 

and “Daily Calculation Period” have been deleted from Sections 2.1.17(i) and 2.2.26(f)(H).

Default Rules

The definition of “Daily Calculation Period” has been added and the definition of “Auction Losses 

Calculation Period” has been revised to refer to “Daily Calculation Period.” These changes are in 
Schedule 2 (Rates Service DMP Annex), Section 1.6 and Schedule 3 (ForexClear DMP Annex), 

Section 1.4. These Schedules apply to Clearing Members and FCM Clearing Members of the 

respective clearing services. 

The changes to the rules are included as Appendices I - IV in black line form. The changes will be 

effective not earlier than September 18, 2022. 

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 requirements and standards set forth therein. Specifically, 

this rule change has potential relevance to Core Principle L (Public Information). 

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

including that, in addition to the specified requirements of §39.21, LCH make available any 

information that is relevant to participation in the clearing and settlement activities of LCH. LCH 

considered its public information requirements and believes including these definitions in the 

Default Rules provides a more consistent and concise presentation of its Rules to the public and

maintains its compliance with Core Principle L. The changes provided for in this submission will 

be included in LCH’s publicly available Rulebook. As a result, LCH believes these changes are 

consistent with the requirements of Core Principle L on Public Information or CFTC regulation 

§39.21.

Part IV: Public Information

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

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

Part V: Opposing Views

There were no opposing views expressed to LCH by governing board or committee members, 

members of LCH or market participants that were not incorporated into this proposal.

Certification

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

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

and the regulations promulgated thereunder.

Should you have any questions please contact me at michelle.weiler@lseg.com.

Yours sincerely,

Michelle Weiler

Compliance Officer

LCH Limited
Appendix I

Procedures Section 2C (SwapClear Clearing Service)

Changed Pages
Appendix II

Procedures Section 2I (ForexClear Clearing Service)

Changed Pages
Appendix III

FCM Procedures

Changed Pages
Appendix IV

Default Rules

Changed Pages