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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

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VIA CFTC Portal

Mr Christopher Kirkpatrick

Commodity Futures Trading Commission

1155 21st Street NW

Three Lafayette Centre

Washington DC 20581

11 August 2023

LCH Limited Self-Certification: London Deposit Rate and Client Deposit Rate rulebook 

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 and Client Deposit Rate for clearing members and clients collateral 

cash balances. 

This filing relates to a rule change LCH submitted for self-certification on 17 November 2022, 

which was paused to assess additional feedback received post the original member 

consultation. LCH is now filing the same rule changes for self-certification, together with some 

additional amendments. 

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. The following are four different types of rates

applied to cash collateral balances placed by clearing members and clients:

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

LCH intends to make the following rule amendments in relation to the above rate:

I. The frequency, notification period and increment of change for revisions to these fees 

are set out in LCH’s Rulebook (the “Rulebook”). Currently, LCH can only change LDR 

up to 10 bps in a single instance with a three-day notice period. The intention is to 
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revise the Rulebook to provide for LCH changing LDR by any increment while 

remaining subject to the three-day notice period. LCH will also align the notification 

period of for the CDR to three days, which is currently subject to a two-week notice 

period. 

II. Remove the option for LCH to make changes to the LDR and CDR without any 

notification period under extreme market conditions. This is to ensure that clearing

members will always have notice of any changes to these two rates. 

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 Procedures, Section 3 Financial Transactions, section 1.7.3 (Cash Balance 

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

Accommodation Charge Structure) have been revised as described above. 

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

be effective no earlier than 25 August 2023. 

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 

Section 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
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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 and/or the

CDR by providing provides 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 
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apply in 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.
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Appendix II

Procedure Section 3 (Financial Transactions)

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LCH LIMITED 

PROCEDURES SECTION 3 

FINANCIAL TRANSACTIONS 
Clearing House Procedures Financial Transaction Service

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CONTENTS 

1. Financial Transactions ....................................................................................................... 2

1.1 Accounts and ledgers ............................................................................................. 2

1.2 Financial Transaction Reporting ........................................................................... 3

1.3 Protected Payments System ................................................................................... 3

1.4 New MAS Electronic Payment and Book-Entry System ...................................... 9

1.5 Acceptable Forms of Collateral ........................................................................... 10

1.6 Distribution of Collateral ..................................................................................... 11

1.7 Interest on Cash Balances and Accommodation Charges ................................... 13

1.8 Fees ...................................................................................................................... 14

1.9 VAT Status ...................................................................................................... 1515

1.10 Participation Monies ............................................................................................ 15

1.11 Clearing House Reporting ................................................................................... 16
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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

and/or the CDR 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 in 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.