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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 will be open for registration of trades from 07:30 to 22:00 BST, 02:30 to 17:00 EST. This represents an extension of two and a half hours.
An additional, later intra-day risk calculation will be performed in support of the extended opening period.
The following table shows changes to key daily SwapClear timings.
| SwapClear Key Timings | ||
| SwapClear Event | Until 30 April 2010
BST / EST | From 3 May 2010
BST / EST |
| Open for capture of trades | 07:30 / 02:30 | 07:30 / 02:30 |
| PPS call; registration of backloaded trades | 09:00 / 04:00 | 09:00 / 04:00 |
| Full revaluation of all portfolios | 09:30 / 04:30 | 09:30 / 04:30 |
| Full revaluation of all portfolios | 11:00 / 06:00 | 11:00 / 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 portfolios | 17:00 / 12:00 | 17:30 / 12:30 |
| Full revaluation of all portfolios | - | 19:30 / 14:30 |
| Closed for capture of trades | 19:30 / 14:30 | 22:00 / 17:00 |
| * Once a month, on a US non-farm payroll day, the later timings apply. | ||
Intra-day PPS calls are typically made one hour after the start of a full revaluation, but members should note that calls may routinely be made at any time up to 21:00 BST / 16:00 EST.
End of Day curve instrument capture times will be changed according to the following table and published shortly afterwards.
| Current and Future Curve Instrument Snap Times | ||
| Index | Until 30 April 2010
BST / EST | From 3 May 2010
BST / EST |
| AUD LIBOR | 12:00 / 07:00 | 12:00 / 07:00 |
| HKD LIBOR | 12:00 / 07:00 | 12:00 / 07:00 |
| JPY LIBOR | 12:00 / 07:00 | 12:00 / 07:00 |
| NZD LIBOR | 12:00 / 07:00 | 12:00 / 07:00 |
| CHF LIBOR | 16:15 / 11:15 | 16:15 / 11:15 |
| CHF OIS | 17:15 / 12:15 | 16:15 / 11:15 |
| DKK LIBOR | 16:00 / 11:00 | 16:15 / 11:15 |
| EUR LIBOR | 16:15 / 11:15 | 16:15 / 11:15 |
| EUR OIS | 18:15 / 13:15 | 18:15 / 13:15 |
| GBP LIBOR | 16:15 / 11:15 | 16:15 / 11:15 |
| GBP OIS | 17:15 / 12:15 | 17:15 / 12:15 |
| NOK LIBOR | 16:00 / 11:00 | 16:15 / 11:15 |
| PLN LIBOR | 16:00 / 11:00 | 16:15 / 11:15 |
| SEK LIBOR | 16:00 / 11:00 | 16:15 / 11:15 |
| ZAR LIBOR | 16:00 / 11:00 | 16:15 / 11:15 |
| CAD LIBOR | 19:30 / 14:30 | 20:00 / 15:00 |
| USD LIBOR | 19:30 / 14:30 | 20:00 / 15:00 |
| USD OIS | 19:30 / 14:30 | 20:00 / 15:00 |
Summary of extensions to interest rate swap eligibility
The maximum eligible tenor for USD, EUR and GBP interest rate swap trades will be extended to 50 years. The maximum for AUD, CAD, CHF and SEK trades will be extended to 30 years.
The minimum stub period will be reduced from 1 month to 2 or 3 days depending on currency.
Trades with a different effective date on each leg will now be eligible.
SwapClear will accept zero coupon swaps with a single payment on the fixed side and single currency basis swaps submitted from the MarkitWire trade affirmation platform.
The SwapClear Member Reports will be consolidated and simplified.
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.