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| Markets: | All |
| Products: | Bonds & Repos |
| Date: | 6 November 2009 |
Bonds & Repos Intra-day margin call
Project announcement
Within the scope of its policy to strengthen the Clearing House’s safety and guarantee mechanism, LCH.Clearnet SA aims to introduce an intra-day margin call on its bonds & repos clearing segment.
This additional margin call, based on updated intra-day positions, will improve the accuracy of LCH.Clearnet SA’s risk management on this clearing segment.
It will also be an opportunity to change the margining methodology for same day repos (SDR) and forward repos in their forward period (period between the trading date and the start date).
Same day repos will be margined using the same margining methodology currently applied to end of day positions. SDR transactions will be included in the portfolio to which cross-positions credits will be applied. This will replace the monthly margin call currently in place.
Forward repos margin requirements will be calculated according to a specific algorithm during their forward period. This algorithm will specifically capture the risk of repo rate variation until the start date.
Intra-day margin call timeframe
The table bellow provides an overview of the intra-day margin call timeframe.
| Snapshot of positions | Agreement period | Settlement period | |
|---|---|---|---|
| Initial margin call (unchanged) | close of previous business day | 08.00 to 08.30 | 08.30 to 09.00 |
| Intra-day margin call (new) | 13.45 of current day | 14.25 to 14.50 | 14.50 to 14.55 |
Impact on members
Procedures
Members are invited to analyse what are the impacts of the introduction of an intra-day margin call on Bonds & Repos on their back-office and treasury procedures.
Members are also advised to liaise with their paying agent on this project, i.e. paying limits may need to be amended in order to cover an intra-day increase of margin requirements.
Reporting
The initial OTC Cash call report (AC0102E) will be amended in order to highlight the margin requirements for forward repos (a dedicated line will be added to the report).
In case of intra-day margin requirements for a member, this same OTC Cash call report (AC102E) will be sent intra-day.
In case of no intra-day margin requirements, a report mentioning “No document sent for intra-day session” will be sent.
A new report (AC0107E) will be created and will display the difference between the initial and intra-day margin call.
Project schedule
LCH.Clearnet SA aims to launch this intra-day margin call in Q1 2010. A full project schedule is being elaborated and will be communicated soon.
In order to allow a seamless implementation of the Intraday Margin Call project, members are kindly requested to provide us with a project contact as soon as possible.
For further information, please contact:
your LCH.Clearnet SA product implementation manager:
Jean-François Sougakoff: +33 (0) 1 70 37 65 36 – jean-francois.sougakoff@lchclearnet.com
or your local account manager:
Michel Bokobza: +33 (0) 1 70 37 65 55 – michel.bokobza@lchclearnet.com
Customer and Market Management LCH.Clearnet SA