Christmas and New Year 2022/23 Margin Calls and Margin Management

Report date
Summary

Circular No.

LCH Circular No 4240

Date:

29 November 2022

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 tables show the opening schedule applicable to all LCH Limited’s clearing services:

 

2022 End of Year Service Opening and Major Margin Currency Tables

 

Margin Calls

LCH Limited will be closed on Monday 26 December 2022. No margin calls will be issued on this date as all LCH Limited clearing services are closed.

Margin calls from close of business Friday 23 December 2022 relating to all clearing services will be called from clearing members’ PPS banks with a deadline of 9am London Time on Tuesday 27 December 2022.

Members should refer to REP00033a for the value date of any margin call or payment.

 

Margin Management

From close of business Friday 16 December through to close of business on Monday 2 January, 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. Any substitutions involving cash collateral with value date between 23 December 2022 and 2 January 2023 will be subject to the approval of LCH Limited.

The above applies to both Clearing Members’ Proprietary and Client business.

LCH Limited may not accept cash collateral in excess of a Clearing Members’ Margin requirement after 10:00am GMT (EST for FCMs) with value date between 23 December 2022 and 2 January 2023. Clearing Members can 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 take in pre-funding from 22 December to 3 January.

Date

Opening
Hours

Bulk Events+

Bulk Event Prefunding

Other Special Arrangements

22 Dec 2022

Normal

Prefunding Only

Max 100M* / unlimited securities

 

23 Dec 2022

Normal

Prefunded Only
No 3rd or 4th Slot

Max 100M* / unlimited securities

 Early MDR 2 snap:11:45

No MDR 3

26 Dec 2022

Closed

 

 

 

27 Dec 2022

Normal

Prefunded Only 

Max 100M* / unlimited securities

PPS Reform: GBP Holiday

28 Dec 2022

Normal

Prefunded Only 

Max 100M* / unlimited securities

 

29 Dec 2022

Normal

Prefunded Only 

Max 100M* / unlimited securities

 

30 Dec 2022

Normal

Prefunded Only 

Max 100M* / unlimited securities

 

2 Jan 2023

Normal

Prefunded Only 

Max 100M* / unlimited securities

PPS Reform: GBP & USD Holiday

3 Jan 2023

Normal

BAU

BAU

BAU

+ Bulk Events include Portfolio Transfers, Backloading and ACSP Compression runs
* or USD/ EUR equivalent, subject to pre-approval by LCH Limited.

 

Reporting

Banking reports from close of business Friday 23 December 2022 will be available for all Members in the Banking Report folder dated 27 December by 07:00 GMT on 24 December.

 

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