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

CORPORATE

VIA CFTC Portal

Mr Christopher Kirkpatrick

Commodity Futures Trading Commission

1155 21st Street NW

Three Lafayette Centre

Washington DC 20581

27 December 2023

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 January 10, 2024.

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 volatility in Q3 2023 in collateral that was not amended as part of the last review. LCH 

is therefore proposing changes with regards to the haircuts applied to conventional and inflation 

linked bonds. 

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 reductions in value to reflect 

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.
 

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

CORPORATE

credit, market and liquidity risks. As well as 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
 

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

CORPORATE

Confidential Appendix I

LCH Margin Collateral Haircut Schedule