| LCH circular number: | 4187 |
| Date | December 15, 2021 |
| 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 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