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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

17 November 2022

LCH Limited Self-Certification: London Deposit Rate increment changes 

Dear Mr Kirkpatrick,

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

Limited (“LCH”), a derivatives clearing organization (“DCO”) registered with the CFTC is 

submitting for self-certification the proposed rule changes to which LCH can change the 

London Deposit Rate for clearing members collateral cash balances. 

Part I: Explanation and Analysis

LCH accepts a wide range of currencies as cash collateral to cover initial margin 

requirements both intraday and at end of day. There are four different types of fees applied 

to cash collateral balances placed by clearing members and clients, these being:

• Client Deposit Rate (“CDR”): The rate at which LCH will pay or charge interest on a

cash collateral balance for SwapClear and ForexClear client accounts in EUR, GBP

and USD.

• FCM London Deposit Rate (“FCM LDR”): The rate at which LCH will pay or charge

interest on a cash collateral balance for SwapClear FCM accounts only in EUR, GBP

and USD.

• RepoClear Deposit Rate (“RDR”): The rate at which LCH will pay or charge interest

on a cash collateral balance for RepoClear accounts in EUR, GBP and USD.

• London Deposit Rate (“LDR”): The rate at which LCH will pay or charge interest on

a cash collateral balance for all other accounts, excluding the ones noted above and

default fund cash balances.

These are all listed on LCH’s website: LCH Ltd Fees on Collateral | LCH Group

The frequency, notification period and increment of change for revisions to these fees are set 

out in LCH’s Rulebook. Following the recent volatility observed in European markets, LCH is 

intending to modify the provisions in its Rulebook which relate to LDR. Currently, LCH can 

only change LDR up to 10 bps in a single instance with a three-day notice period. The 

intention is to revise the Rulebook to provide for LCH changing LDR by any increment while

remaining subject to the three-day notice period. There are no changes to the Rulebook 

related to any of the other fees applied to cash collateral balances. 
Part II: Description of Rule Changes

Provisions in Procedure Section 3 Financial Transactions, section 1.7.3 (Cash Balance 

Interest Rate), FCM Procedures and section 3.5 (Interest, Price Alignment Amount and 

Accommodation Charge Structure) have been revised to remove the reference that LCH may 

increase or decrease LDR by up to 10bps. 

The changes to the rules are included in Appendices I-II in black line form. The changes 

will be effective no earlier than 2 December, 2022. 

Part III: Core Principle Compliance

LCH has reviewed the Proposed Rule Changes against the requirements of the DCO Core 

Principles, specifically Core Principle L on Public Information, and finds that it will continue to 

comply with the requirements and standards therein. The changes related to the increments 

with which LCH can change the LDR will remain in LCH’s publicly available Procedures 3 

and FCM Procedures. This will enable market participants to evaluate accurately the risks 

and costs associated with using LCH, in compliance with Core Principle L. 

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.

Certification

LCH hereby certifies to the Commodity Futures Trading Commission, 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 ebba.andersson1@lseg.com. 

Yours sincerely,

Ebba Andersson

Senior Compliance Officer

LCH Limited
Appendix I

FCM Procedures

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FCM PROCEDURES OF THE CLEARING HOUSE 

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FCM Procedures Financial Transactions 

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3.4.4 Use of a Defaulter's cover 

Post-default the Clearing House is entitled to realize and/or apply a Defaulter’s 

cover in whatever order it deems appropriate. 

3.4.5 Overnight FCM Funding Account 

Upon request from an FCM Clearing Member, the Clearing House may open 

an Overnight FCM Funding Account. The Clearing House will, in general, 

apply available Standard FCM Buffer to satisfy liabilities in accordance with 

FCM Regulation 15 before it applies available Overnight FCM Funding 

Collateral, but may, at its sole discretion, determine to apply some or all 

available Overnight FCM Funding Collateral before it applies Standard FCM 

Buffer. 

3.5 Interest, Price Alignment Amount and Accommodation Charge Structure 

3.5.1 Cash Balance Interest Rate 

The Clearing House applies interest to FCM Clearing Members’ cleared cash 

balances. The following rates are applied: 

(a) LDR – London Deposit Rate – the rate at which the Clearing House 

will pay or charge interest on credit cash balances (excluding 

Contributions). The LDR calculation methodology utilizes 

published market rates minus a spread. The current spread rates are 

published on the LCH website at the following link: 

http://www.lch.com/fees/ltd/custody_services.asp; 

(b) CDR – Client Deposit Rate – the rate at which the Clearing House 

will pay or charge interest on credit cash balances on Client 

financial accounts. The CDR calculation methodology utilizes 

published market rates minus a spread. The current spread rates are 

published on the LCH website at the following link: 

http://www.lch.com/fees/ltd/custody_services.asp; and 

For the avoidance of doubt, the Clearing House may apply a different or 

separate LDR or CDR on FCM Clearing Member’s cleared cash balances with 

respect to each Service. 

(c) Default Fund Rate. 

Rates are available from the Member Reporting Website. 

The Clearing House reserves the right to alter the basis of calculating each 

above listed interest rates. Any alteration will be effective on the date 

notified. 

Where tThe Clearing House may increase or decrease the LDR by 

providingprovides FCM Clearing Members with at least three days written 

notice (which may be by way of member circular), the Clearing House may 

increase or decrease the LDR by up to 10bps. The foregoing shall not apply 
FCM Procedures Financial Transactions 

LCH Limited © 2022 - 255 - September 2022 

iIn the event of extreme market conditions, during which the Clearing House 

may freely and without notice increase or decrease the LDR for up to five 

consecutive Business Days. 

Where the Clearing House provides FCM Clearing Members with two weeks’ 

written notice (which may be way of member circular), the Clearing House 

may increase or decrease the CDR. In the event of extreme market conditions, 

the Clearing House may freely and without notice increase or decrease the 

CDR for up to five consecutive Business Days. 

3.5.2 Price Alignment Amount Rate 

The calculation of the Price Alignment Amount shall use the applicable 

interest rate specified and published on the Clearing House’s website. The 

Clearing House shall not change the interest rates used for the calculation of 

Price Alignment Amount in respect of USD, EUR, GBP, JPY and CHF 

without the consent of all FCM Clearing Members holding open FCM 

SwapClear Contracts in such currencies.

Notwithstanding the foregoing, in the event the interest rate source used for 

the calculation of Price Alignment Amount (a) is unavailable (including where 

such rate ceases, or will cease, to be provided by its administrator), (b) is not 

sufficiently robust, (c) is not fit for purpose, or (d) has materially changed, in 

each case as determined in the Clearing House’s sole discretion, the Clearing 

House may use an alternative interest rate without the consent of such FCM 

Clearing Members. 

If the Clearing House chooses an alternative interest rate for the purpose of 

calculating the Price Alignment Amount pursuant to this Section 3.5.2, it shall 

notify all FCM Clearing Members within the FCM SwapClear service in 

writing by delivering a Rate Change Notice. 

3.5.3 Interest Structure 

Application of 

Collateral Type of Collateral 

Securities Cash 

Foreign 

Cash Forward Cash 

Initial margin 

after offset 

Accommo

dation 

Charge 

Payable 

Pay 

relevant 

rate 

pay 

relevant 

rate of 

Collateral 

currency No charge or payment 

Excess or 

Surplus 

No charge 

or payment

Pay 

relevant 

rate 

Pay 

relevant 

rate No charge or payment 

Note: 

1 “Foreign Cash” means cash in a currency other than that of the liability. 

2 “Forward Cash” means cash which has been credited to an account for later value 

(e.g., an amount called via PPS for next-day value). 

3 Applicable Accommodation Charges are available on the Clearing House’s website. 
Appendix II

Procedure Section 3 (Financial Transactions)

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LCH LIMITED 

PROCEDURES SECTION 3 

FINANCIAL TRANSACTIONS 
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(b) accommodation charges. 

VAT on accommodation charges is subject to the standard rate; some 

markets may be excluded. 

1.7.3 Cash Balance Interest Rate 

The Clearing House applies interest to a Clearing Member’s cleared cash 

balances. The following rates are applied: 

(a) LDR – London Deposit Rate – the rate at which the Clearing House 

may pay or charge interest on credit cash balances (excluding 

Contributions). The LDR calculation methodology utilises published 

market rates minus a spread. The current spread rates are published 

on the Clearing House’s website at the following link: 

LCH Ltd Fees on Collateral | LCH Group

and 

(b) CDR – Client Deposit Rate – the rate at which the Clearing House 

may pay or charge interest on credit cash balances on Client 

Accounts. The CDR calculation methodology utilises published 

market rates minus a spread. The current spread rates are published 

on the Clearing House’s website at the following link: 

LCH Ltd Fees on Collateral | LCH Group. 

Where tThe Clearing House may increase or decrease the LDR by 

providing provides Clearing Members with at least three days’ 

written notice (which may be by way of member circular), the 

Clearing House may increase or decrease the LDR by up to 10bps. 

The foregoing shall not apply iIn the event of extreme market 

conditions, during which the Clearing House may freely and without 

notice increase or decrease the LDR for up to five consecutive 

Business Days. 

Where the Clearing House provides Clearing Members with two 

weeks’ written notice (which may be way of member circular), the 

Clearing House may increase or decrease the CDR. In the event of 

extreme market conditions, the Clearing House may freely and 

without notice increase or decrease the CDR for up to five 

consecutive Business Days. 

1.8 Fees 

Details of fees and refunds pending are collated during the month. 

An invoice or credit note is produced detailing the fees to be posted to collateral accounts.