LCH.Clearnet Ltd Notice – T+2 Settlement Cycle Migration

Dear Member

Settlements on Wednesday 8th October 2014 will be made against both T+3 and T+2 settlement cycles, effectively a double settlement day.  LCH.Clearnet Limited ("LCH.Clearnet") is taking extra precautions around settlements on the day.

LCH.Clearnet will be removing the "assumed settlement flag" from our ERA margin parameters calculation for margins due on Wedensday 8th October 2014.

Currently EquityClear margins are calculated using an "assumed settlement" basis, which allows for any trades due for settlement the following day to be removed from margin calculations.

There will be minimal impact on members as the change will delay the morning repayments until all settlements have been concluded. 

EquityClear will be margining all open positions and will therefore ensure collateral is in place until settlements have been concluded. 

There are no changes to the ERA margin algorithm and members are advised to use the ERA parameter files.

If you require further information please contact: Ian Mackenzie, Tel: +44 (0) 20 7426 7265 Email: ian.mackenzie@lchclearnet.com

Yours Sincerely

Roland Chai, Head of Equities, LCH.Clearnet Ltd