| LCH circular number: | 4067 |
| Date: | December 03, 2019 |
| 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 table shows the opening schedule applicable to all LCH’s clearing services.:
Christmas and New Year 2019/20 Margin Calls and Margin Management Services Opening Schedule
Margin Calls
LCH Limited will be closed on Wednesday 25th December 2019. No margin calls will be processed on this date as all LCH Limited clearing services are closed.
LCH Limited will be closed on Wednesday 1st January 2020. No margin calls will be processed on this date as all LCH Limited clearing services are closed.
Margin calls from close of business Tuesday 24th December 2019 relating to all clearing services will be called from your PPS bank for value Thursday 26th December 2019 (except for T+1 currencies and those currencies where local holidays apply).
Margin calls from close of business Tuesday 31st December 2019 relating to all clearing services will be called from your PPS bank for value Thursday 2nd January 2020 (except for T+1 currencies and those currencies where local holidays apply).
Margin Management
From Thursday 19th December through to close of business on Tuesday 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 will be permitted on 24th, 26th 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, 26th and 31st December 2019 (1). Clearing Members may 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 2nd January.
| Date | Opening Hours | Bulk Events^ | Bulk Event Prefunding |
| 23 Dec 2019 | Normal | Prefunded Only | Max £50m* / unlimited securities |
| 24 Dec 2019 | Normal | Prefunded Only No 3rd or 4th Slot |
Unlimited securities |
| 25 Dec 2019 | Closed | ||
| 26 Dec 2019 | Normal | Prefunded Only | Unlimited securities |
| 27 Dec 2019 | Normal | Prefunded Only | Max £50m* / unlimited securities |
| 30 Dec 2019 | Normal | Prefunded Only | Max £50m* / unlimited securities |
| 31 Dec 2019 | Normal | Prefunded Only No 3rd or 4th Slot |
Unlimited securities |
| 1st Jan 2020 | Closed | ||
| 2nd Jan 2020 | Normal | Normal | Normal |
^ Bulk Events include Portfolio Transfers, Backloading and ACSP Compression runs
* or USD/ EUR equivalent
Reporting
Banking reports from close of business Tuesday 24th December 2019 will be available for all Members on Wednesday 25th December 2019 from 06:00 (GMT).
Banking reports from close of business Tuesday 31st December 2019 will be available for all Members on Wednesday 01st January 2020 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@lch.com
UK Head of Collateral Operations Client Services
Elissa Holme
Elissa.Holme@lch.com
Head of CaLM LCH Limited