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Originating department:SwapClear
Company Circular No:LCH.Clearnet Ltd Circular No 2613
 Service Circular No:No 284
Date:22 April 2010
To:All SwapClear Clearing Members

SwapClear: Extensions to service

Dear SwapClear Member,

With effect from Monday 3 May 2010, LCH.Clearnet Limited intends to release some important improvements to the SwapClear service.

The release incorporates the latest in a series of planned extensions to the SwapClear opening hours. SwapClear will now be open for the full New York trading day (5pm Eastern Standard Time).

In addition, this release incorporates a number of extensions to the characteristics of interest rate swaps that will be eligible for clearing.

Summary of changes to SwapClear operating hours

SwapClear Key Timings
SwapClear EventUntil 30 April 2010
BST / EST
From 3 May 2010
BST / EST
Open for capture of trades07:30 / 02:3007:30 / 02:30
PPS call; registration of backloaded trades09:00 / 04:0009:00 / 04:00
Full revaluation of all portfolios09:30 / 04:3009:30 / 04:30
Full revaluation of all portfolios11:00 / 06:0011:00 / 06:00
Full revaluation of all portfolios*13:00 / 08:00 or
14:00 / 09:00  *
13:00 / 08:00 or
14:00 / 09:00  *
Full revaluation of all portfolios*15:00 / 10:00 or
15:30 / 10:30  *
15:00 / 10:00 or
15:30 / 10:30  *
Full revaluation of all portfolios17:00 / 12:0017:30 / 12:30
Full revaluation of all portfolios          -19:30 / 14:30
Closed for capture of trades19:30 / 14:3022:00 / 17:00
* Once a month, on a US non-farm payroll day, the later timings apply.
Current and Future Curve Instrument Snap Times
IndexUntil 30 April 2010
BST / EST
From 3 May 2010
BST / EST
AUD LIBOR12:00 / 07:0012:00 / 07:00
HKD LIBOR12:00 / 07:0012:00 / 07:00
JPY LIBOR12:00 / 07:0012:00 / 07:00
NZD LIBOR12:00 / 07:0012:00 / 07:00
CHF LIBOR16:15 / 11:1516:15 / 11:15
CHF OIS17:15 / 12:1516:15 / 11:15
DKK LIBOR16:00 / 11:0016:15 / 11:15
EUR LIBOR16:15 / 11:15      16:15 / 11:15
EUR OIS18:15 / 13:1518:15 / 13:15
GBP LIBOR16:15 / 11:1516:15 / 11:15
GBP OIS17:15 / 12:1517:15 / 12:15
NOK LIBOR16:00 / 11:0016:15 / 11:15
PLN LIBOR16:00 / 11:0016:15 / 11:15
SEK LIBOR16:00 / 11:0016:15 / 11:15
ZAR LIBOR16:00 / 11:0016:15 / 11:15
CAD LIBOR19:30 / 14:3020:00 / 15:00
USD LIBOR19:30 / 14:3020:00 / 15:00
 USD OIS 19:30 / 14:3020:00 / 15:00

Summary of extensions to interest rate swap eligibility

If you have any questions relating to this circular, please do not hesitate to contact Martin Hadfield on +44 (0)20 7426 7608 or [email protected]

Yours sincerely

 

Martin Hadfield
SwapClear Commercial Services
LCH.Clearnet Limited.