Backloading of SwapClear Transactions - LLC

LCH.Clearnet LLC currently treats Backloaded Trades in the same manner as any other new SwapClear Transaction. With effect from December 9, 2013, LCH.Clearnet LLC will commence Backload Registration Cycles for the registration and clearing of Backloaded Trades. Under the revised model, Backloaded Trades that are presented to the Clearing House for clearing will be ‘parked’ until the next Backload Registration Cycle.

A Backloaded Trade is a SwapClear Transaction that has a trade date of greater than ten calendar days prior to the date of presentation for clearing.

Backload Registration Cycles will normally be carried out at or around 10:00 (New York time) on each day that the SwapClear US service is open. However, in addition Backload Registration Cycles will not be carried out on the following dates:

• Tuesday, December 24, 2013
• Tuesday, December 31, 2013 
• Monday, January 20, 2014
• Thursday, April 17, 2014
• Friday, May 23, 2014
• Monday, May 26, 2014
• Friday, July 4, 2014
• Monday, September 1, 2014
• Monday, October 13, 2014
• Tuesday, November 11, 2014
• Thursday, November 27, 2014
• Friday, November 28, 2014
• Wednesday, December 24, 2014
• Wednesday, December 31, 2014

The Clearing House reserves the right not to carry out a Backload Registration Cycle in the event of market instability or where it otherwise determines that it is prudent not to do so.

The clearing of Backloaded Trades is governed by section 2A.3.5.2 of the Procedures.

Until further notice and in connection with a Backload Registration Cycle:

(i) the Individual Backload Value Threshold shall be $100 million (or equivalent); and
(ii) the Aggregate Backload Margin Threshold shall be $500 million (or equivalent).

Where a SwapClear Clearing Member determines that the registration of Backloaded Trade(s) in a Backload Registration Cycle will lead to a margin call in excess of the Individual Backload Value Threshold it is required to notify the Clearing House. Such notification must be in the form of the template available on the LCH.Clearnet secure website:

http://www.lchclearnet.com/secure_area/secure/document.asp?file=13213.

The template is available in the following folder:

http://www.lchclearnet.com/secure_area/secure/document.asp?file=13213

Terms used in this circular and not defined herein shall have the meaning assigned in the Clearing House Rulebook.

Further information

If you have any queries or require access to the secure website please contact Client Services at [email protected]