Christmas and New Year 2023/24 Margin Calls and Margin Management
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Circular No. |
LCH Circular No 4282 |
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Date: |
23 November 2023 |
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To: |
All LCH Ltd 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 tables show the opening schedule applicable to all LCH Limited’s clearing services:
2023 End of Year Service Opening and Major Margin Currency Tables
Margin Calls
LCH Limited will be closed on Monday 25 December 2023. No margin calls will be issued on this date as all LCH Limited clearing services are closed.
Margin calls from close of business Friday 22 December 2023 relating to all clearing services will be called from clearing members’ PPS banks with a deadline of 9am London Time on Tuesday 26 December 2023.
Members should refer to REP00033a for the value date of any margin call or payment.
Margin Management
From close of business Friday 15 December through to close of business on Tuesday 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 22 December 2023 and 2 January 2024 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 22 December 2023 and 2 January 2024. 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 2 January.
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Date |
Opening |
Bulk Events+ |
Bulk Event Prefunding |
Other Special Arrangements |
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22 Dec 2023 |
Normal |
Prefunding Only |
Max 100M* / unlimited securities |
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25 Dec 2023 |
Closed |
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26 Dec 2023 |
Normal |
Prefunded Only |
Max 100M* / unlimited securities |
PPS Reform: EUR & GBP Holiday |
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27 Dec 2023 |
Normal |
Prefunded Only |
Max 100M* / unlimited securities |
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28 Dec 2023 |
Normal |
Prefunded Only |
Max 100M* / unlimited securities |
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29 Dec 2023 |
Normal |
Prefunded Only |
Max 100M* / unlimited securities |
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1 Jan 2024 |
Closed |
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2 Jan 2024 |
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 22 December 2023 will be available for all Members in the Banking Report folder dated 26 December by 07:00 GMT on 23 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