Christmas and New Year 2020/21 Margin Calls and Margin Management

Report date
Summary

Circular No.

LCH Circular No 4123

Date

1st December 2020

To:

All LCH 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 applicable to all LCH’s clearing services.:

Christmas and New Year 2020/21 Margin Calls and Margin Management Services Opening Schedule

Margin Calls

LCH Limited will be closed on Friday 25th December 2020. No margin calls will be processed on this date as all LCH Limited clearing services are closed.

LCH Limited will be closed on Friday 1st January 2021. No margin calls will be processed on this date as all LCH Limited clearing services are closed.

Margin calls from close of business Thursday 24th December 2020 relating to all clearing services will be called from your PPS bank for value Monday 28th December 2020 (except for T+1 currencies and those currencies where local holidays apply).

Margin calls from close of business Thursday 31st December 2020 relating to all clearing services will be called from your PPS bank for value Monday 4th January 2021 (except for T+1 currencies and those currencies where local holidays apply).

Margin Management

From Monday 21st December through to close of business on Thursday 31st December, LCH Limited may require up to 8 business days’ notice for substitutions of collateral (cash collateral versus non-cash collateral and cash versus cash collateral) in excess of £50mm. In addition to this, no substitutions involving cash collateral will be permitted for value dates 24th, 28th and 31st 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 GMT (EST for FCMs) on 24th, 28th and 31st December 2020 (1). Clearing Members can continue to provide cash collateral in response to a margin call.

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

SwapClear Specific Margin Management

Please find details below regarding LCH Limited’s capacity to register any Backloaded Trades from the 23rd December to 4th January.

Date

Opening Hours

Bulk Events^

Bulk Event Prefunding

23 Dec 2020

Normal

Prefunded Only

Max £50m* / Unlimited Securities

24 Dec 2020

Normal

Prefunded Only

No 3rd or 4th Slot

Unlimited Securities

25 Dec 2020

Closed

 

 

28 Dec 2020

Normal

Prefunded Only

Unlimited Securities

29 Dec 2020

Normal

Prefunded Only

Max £50m* / Unlimited Securities

30 Dec 2020

Normal

Prefunded Only

Max £50m* / Unlimited Securities

31 Dec 2020

Normal

Prefunded Only

No 3rd or 4th Slot

Unlimited Securities

1st Jan 2021

Closed

 

 

4th Jan 2021

Normal

Normal

Normal

^ Bulk Events include Portfolio Transfers, Backloading and ACSP Compression runs

* or USD/ EUR equivalent

Reporting

Banking reports from close of business Thursday 24th December 2020 will be available for all Members on Friday 25th December 2020 from 06:00 (GMT).

Banking reports from close of business Thursday 31st December 2020 will be available for all Members on Friday 1st January 2021 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:

Collateral Client Services
Collateral.ClientServices@lch.com

Nick McMillan
Nick.McMillan@lseg.com
UK Head of Collateral Operations Client Services

Elissa Holme
Elissa.Holme@lseg.com
Head of CaLM LCH Limited