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Originating Department:SwapClear Risk
Company Circular No:

LCH.Clearnet LLC Circular No 15

Service Circular No:SwapClear Circular No 102
Date:18 October 2013
To:All LCH.Clearnet LLC SwapClear Clearing Members

LCH.Clearnet LLC - SwapClear Updated Liquidity Margin Levels

As part of LCH.Clearnet LLC’s continual assessment of market liquidity, LCH.Clearnet LLC has completed the 2013 SwapClear Clearing Member liquidity survey that took place throughout August 2013.  Correspondingly, LCH.Clearnet LLC will be updating liquidity margin levels on Friday 25th October 2013.
Method / Timeline

The updated levels will go live on Friday 25th October 2013, meaning that calculations based on the new liquidity levels will be reflected in End of Day reports on Friday 25th October.  Any margin changes will be reflected and called in the morning margin call on Monday 28th October.

LCH.Clearnet LLC will be contacting those SwapClear Clearing Members who will be materially affected by the changes  prior to Friday 25th October 

The new liquidity levels will be reflected in SMART by downloading report SMART0001 on Monday 28th October and therefore there is no need to download a new version of SMART.

Please do not hesitate to contact the OTC IRD Risk team if you require any further details.

OTC IRD Risk Management
LCH.Clearnet LLC
+44 (0)20 7392 8292