Backloading of SwapClear Transactions - LTD

Report date
Summary

Circular No.

LCH Circular No 3579

Service Circular No

SwapClear Circular No 134

Date:

31 December 2014

To:

All SwapClear Members

Body

A Backloaded Trade is a SwapClear Transaction that has a trade date of greater than ten calendar days prior to the date of presentation for clearing.

Backload Registration Cycles will normally be carried out at or around 16:00 (London time) on each day that the SwapClear service is open. However, in addition Backload Registration Cycles will not be carried out on the following dates in 2015:

Thursday, January 1, 2015
Monday, January 19, 2015
Monday, February 16, 2015
Friday, April 3, 2015
Friday, May 22, 2015
Monday, May 25, 2015
Friday, July 3, 2015
Monday, September 7, 2015
Monday, October 12, 2015
Wednesday, November 11, 2015
Thursday, November 26, 2015
Friday, November 27, 2015
Thursday, December 24, 2015
Friday, December 25, 2015
Thursday, December 31, 2015

In addition, the Clearing House will not carry out a Backload Registration Cycle on the day of an ACSP Compression Cycle for SwapClear Contracts denominated in USD and CAD.

The Clearing House reserves the right not to carry out a Backload Registration Cycle in the event of market instability or where it otherwise determines that it is prudent not to do so.

The clearing of Backloaded Trades is governed by section 2C.3.6 of the SwapClear Procedures and section 2A.3.5.2 of the FCM Procedures.

Until further notice and in connection with a Backload Registration Cycle:

(i) the Individual Backload Value Threshold shall be $100 million (or equivalent); and
(ii) the Aggregate Backload Margin Threshold shall be $500 million (or equivalent).

Where a SwapClear Clearing Member determines that the registration of Backloaded Trade(s) in a Backload Registration Cycle will lead to a margin call in excess of the Individual Backload Value Threshold it is required to notify the Clearing House. Such notification must be in the form of the template available on the LCH.Clearnet secure website

The template is available in this folder

Terms used in this circular and not defined herein shall have the meaning assigned in the Clearing House Rulebook or FCM Rulebook, as applicable. References to SwapClear Clearing Member in this circular also include FCM Clearing Members.

Further information

If you have any queries or require access to the secure website please contact Client Services at: swapclearclientservices@lchclearnet.com