Christmas and New Year 2015/16 Margin Calls and Margin Management

Report date
Summary

Originating department:

Compliance and Public Affairs - Compliance & Regulation

Circular No.

LCH Circular No 3667

Date:

23rd November 2015

To:

All LCH.Clearnet Ltd Members

Body

The purpose of this circular is to provide detailed information on payment and margin management arrangements over the Christmas and New Year Period.

As a reminder, the below table shows the opening schedule for each of LCH.Clearnet Limited's services:

 

 
Margin Calls

LCH.Clearnet Limited will be closed on Friday 25th December 2015 and Friday 1st January 2016. No margin calls will be processed on these dates as all LCH.Clearnet Limited clearing services are closed.

Margin calls from close of business Thursday 24th December 2015 relating to all clearing services will be called from your PPS bank for value on Monday 28th December 2015 (except for those currencies where local holidays apply).

Margin calls from close of business on Thursday 31st December 2015 relating to all clearing services will be processed and called from your PPS bank for value on Monday 4th January 2016.

Margin Management

LCH.Clearnet Limited will not accept USD cash Collateral in excess of a Clearing Member's Initial Margin requirement after 10:00am New York time for Thursday 24th and 31st December 20151. Clearing Members may continue to provide cash Collateral in response to a margin call.

LCH.Clearnet Limited will not register any Backloaded Trades on Thursday 24th and 31st December 2015. LCH.Clearnet Limited may also delay the registration of Backloaded Trades from 28th to 30th of December.
From the start of day on Monday 21st December 2015 through to close of business on Thursday 31st December, LCH.Clearnet Limited may require more than 2 days notice for substitution of collateral (cash versus non-cash collateral and vice versa as well as cash versus cash) for any currency.
The above applies to both Clearing Member's Proprietary and Client business.

Reporting

Banking reports from close of business on Thursday 24th December 2015 will be available for all Members on Friday 25th December 2015 from 06:00 (GMT).

Banking reports from close of business on Thursday 31st December 2015 will be available for all Members on Friday 1st January 2016 from 06:00 (GMT).

Terms used herein shall have the meaning assigned to them in the Rulebook or FCM Rulebook, as applicable. References to Clearing Members used herein shall include FCM Clearing Members.

For further information, please contact the below:

Elissa Holme elissa.holme@lchclearnet.com Head of CaLM LCH.Clearnet Limited

Anneliese Schwyter anneliese.schwyter@lchclearnet.com US Head of CaLM

Laurence Jones laurence.jones@lchclearnet.com UK Head of Collateral Operations

1 An FCM Clearing Member that offers the LSOC with Excess Model may continue to deliver excess initial margin to LCH.Clearnet.