Improvements to buffer margin processing - Enclear, LME, London Stock Exchange Derivatives and NLX

LCH.Clearnet Ltd will be introducing improvements to the way buffer margins such as Liquidity and Concentration Risk Margin (LCRM) is processed for EnClear, LME, London Stock Exchange Derivatives and NLX. With effect from the close of business on Friday 20 June 2014, buffer liabilities relating to Omnibus Segregated Account (OSA) (including the C account), Individual Segregated Account (ISA) and Individual Client Account (ICA) accounts will be applied directly to the respective accounts, and will now be included in the end of day reporting. Members are advised that LCH.Clearnet will continue to call buffer margin from the B account relating to House (H) business.

This new process may result in overnight calls or pays being issued for confirmation by the normal morning deadlines as detailed in section 3 of the General Regulations, Default Rules and Procedures. Buffer liabilities will therefore be applied to each OSA (including the C account), ISA or ICA account and will be included in Banking Report 19 (Overnight Cover Distribution and Report 30 (Cover Calling Summary). Clearing Members should note that buffer liabilities will not be included in Report 21 (Initial and Variation Margin) and any excess cash may be automatically repaid each day, where an account is set up with auto-repay turned on.

LCH.Clearnet Ltd will advise members on 20 June 2014 of the relevant excess amount available on the E account so that members can recall the amount using collateral management system before 09:30 on Monday 23 June 2014. Any increase/decrease in requirement may result in calls/pays being generated on OSA (including the C account), ISA and ICA accounts on Monday morning and intra-day.

Should you have any further questions please do not hesitate to contact your relationship manager.

Email: [email protected]