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Questionnaire for CDS CCPs on Protection of Customer Initial Margin - page 14 / 32

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8. Please describe whether margin requirements will be reported and published, and whether calculations are replicable by the CCP upon demand from a CM or customer).

Clearing members receive reports detailing the level of margin that they are required to post, and the parameters that drive the calculation, and are able to replicate the calculation.

LCH.C only deals with CMs as principal and is not party to CM/customer arrangements.

9. Are there any restrictions on the ability of the CCP to demand additional margin from a CM or customer?

Regulations 12(b) and (c) permit the CCP to call additional margin from the CM where the CCP determines the cover to be insufficient.

10. Are there any restrictions on the ability of a CM to demand additional margin from its customer?

LCH.C only deals with CMs as principal and is not party to CM/customer arrangements.

11. Is the required amount of CM guarantee fund contributions relating to customer positions at the CCP determined on the basis of net or gross clearing exposures? Are offsetting positions of a single customer netted for this purpose?

Contributions to the Default Fund are assessed on the basis of the level of CM activity.

12. Please discuss the approximate timeline for trade execution, submission to the CCP and novation, and how the CCP’s structure in this regard (together with any other operational efficiencies) affects the customer protection analysis.

Trades novate to the CCP as an end of day process. Work is in progress to move to intra-day novation. In practice, in previous default situations, LCH.C has stood behind intra-day business.

Allocation of Risk upon CM Default

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