Christmas and New Year 2016/17 Margin Calls and Margin Management
Company Circular No:
LCH.Clearnet Ltd Circular No 3819
9th December 2016
All LCH Ltd Clearing Members
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’s services:
LCH Limited will be closed on Monday 26th December 2016. No margin calls will be processed on this date as all LCH Limited clearing services are closed.
Margin calls from close of business Friday 23rd December 2016 relating to all clearing services will be called from your PPS bank for value Tuesday 27th December 2015 (except for T+1 currencies and those currencies where local holidays apply).
Margin calls from close of business Friday 30th December 2016 relating to all clearing services will be called from your PPS bank for value Monday 2nd January 2017 (except for T+1 currencies and those currencies where local holidays apply).
Please note that as part of PPS Reform detailed in Circular 3762 – LCH will call USD in place of GBP on the 27/12/16 and EUR in place of GBP/USD on the 02/01/17.
From Thursday 22nd December through to close of business on Friday 30th December, LCH Limited may require up to 5 business days notice for substitution of collateral (cash versus non-cash collateral and vice versa as well as cash versus cash) for any currency – in addition to this, no substitutions will be permitted on 23rd, 27th and 30th December.
The above applies to both Clearing Member's Proprietary and Client business.
LCH Limited may not accept cash Collateral in excess of a Clearing Member's Margin requirement after 10:00am New York time (EST for FCMs) for 23rd December and 30th December 20161. Clearing Members may continue to provide cash Collateral in response to a margin call.
SwapClear Specific Margin Management
Please find details below regarding LCH Limited’s capacity to register any Backloaded Trades from the 22nd December to 3rd January.
|Date||Opening Hours||Backloading Run||Backloading/ Portfolio Transfer Prefunding|
|22nd Dec 2016||Normal||Prefunded only||Max £50m/ unlimited securities|
|23rd Dec 2016||Normal||No||Unlimited securities|
|26th Dec 2016||Closed||N/A||N/A|
|27-29th Dec 2016||Normal||Prefunded only||Max £50m/ unlimited securitie|
|30th Dec 2016||Normal||No||Unlimited securities|
|2nd Jan 2017||Normal||No||Unlimited securities|
|3rd Jan 2017||Normal||Normal||Normal|
Banking reports from close of business Friday 23rd December 2016 will be available for all Members on Saturday 24th December 2016 from 06:00 (GMT).
Banking reports from close of business Friday 30th December 2016 will be available for all Members on Saturday 31st December 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.
1 An FCM Clearing Member that offers the LSOC with Excess Model may continue to deliver excess initial margin to LCH Limited
For further information, please contact:
Collateral Client Services Collateral.ClientServices@lch.com