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Questionnaire for CDS CCPs on Protection of Customer Initial Margin - page 9 / 32

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5

Margin for segregated customer positions is calculated separately from margin for proprietary positions of CMs. However, as stated above, margin does not secure the positions of a particular customer.

4. Any operational practices (whether voluntary or mandated by regulators) relevant to the analysis of customer protection and the sharing of any shortfalls in custodial property; 5

N/A

  • 5.

    Under what circumstances CCP Excess Margin held at the CCP may be (i) withdrawn by the CM or customers or (ii) applied by CMs or the CCP.

    • (i)

      Excess Margin can be withdrawn by CMs

    • (ii)

      The CCP can apply all margin (including Excess

Margin) in the event of a default of a CM

ii. Whether the CCP has the right to rehypothecate or cause liens to be placed on the CCP Margin – e.g., to potential lenders or liquidity providers to the CCP – and if so, whether any such liens have been subordinated or waived; and

Securities margin cannot be rehypothecated. Cash margin is held as principal.

iii. Whether investment of CCP Margin in interest-bearing instruments or vehicles (e.g., overnight sweeps into repos) is permitted or required, and if so, in what types of instruments or vehicles.

Cash is invested in line with policies set by LCH.C’s internal Risk Committee.

Securities are not beneficially owned and so are not reinvested.

See clause (ii) of note 6.

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