Christmas and New Year 2021/22 Margin Calls and Margin Management

Report date
Summary

Circular No.

LCH Circular No 4187

Date

15 December 2021

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 2021/22 Margin Calls and Margin Management Services Opening Schedule

Margin Calls

LCH Limited will be open on all business days for the upcoming Christmas and New Year period, due to the holidays falling on the weekend. Therefore, the margin calls from Close of Business Friday 24 December and Friday 31 December will be called as per BAU schedule and timings. The End of Day margin calls from these days will be called from the respective PPS bank for value Monday 27 December 2021 and Monday 3 January 2022 respectively (except for T+1 currencies and those currencies where local holidays apply).

Please note: LCH will not be issuing margin calls after 16:00 London time on Friday 24 December. In addition to this, LCH will be unable to accept CMS cash deposit and withdrawal instructions after this time.

Margin Management

From Monday 20 December through to close of business on Friday 31 December, LCH Limited may require up to 10 business days’ notice for substitutions of collateral (cash collateral versus non-cash collateral and cash versus cash collateral) in excess of £100m. In addition to this, no substitutions involving cash collateral will be permitted for value 24, 27, 28, 31 December and 3 January.

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 24, 27, 28, 31 December and 3 January (1). Clearing Members can continue to provide cash collateral in response to a margin call.

FCM Clearing Members' excess cash balances will not be available for withdrawal on Friday 24 December.

(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 23 December to 4 January.

Date

Opening
Hours

Bulk Events+

Bulk Event Prefunding

Other Special Arrangements

23 Dec 2021

Normal

Prefunding Only

Max 100M* / unlimited securities

 

24 Dec 2021

Normal

Prefunded Only
No 3rd or 4th Slot

Unlimited Securities

Early MDR 2 snap:11:45

No MDR 3

27 Dec 2021

Normal

Prefunded Only 

Unlimited Securities

PPS Reform: GBP Holiday

28 Dec 2021

Normal

Prefunded Only 

Unlimited Securities

PPS Reform: GBP Holiday

29 Dec 2021

Normal

Prefunded Only 

Max 100M* / unlimited securities

 

30 Dec 2021

Normal

Prefunded Only 

Max 100M* / unlimited securities

 

31 Dec 2021

Normal

Prefunded Only
No 3rd or 4th Slot

Unlimited Securities

 

3 Jan 2022

Normal

Prefunded Only 

Unlimited Securities

PPS Reform: GBP Holiday

4 Jan 2022

Normal

BAU

BAU

BAU

+ Bulk Events include Portfolio Transfers, Backloading and ACSP Compression runs
* or USD/ EUR equivalent

Reporting

There is no change to the publication schedule of Banking Reports over the upcoming Christmas and New Year period, due to LCH remaining open on all business days throughout the period. These will be published as per the normal BAU schedule and timings.

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

Antony Baldwin
Antony.Baldwin@lseg.com
Head of RepoClear, Collateral and Liquidity