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OTC Derivatives Execution and Central Clearing Forum
dd
November 2010
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Background
LCH.Clearnet Group Ltd:
The world’s leading independent central counterparty
Owned 83% by users and 17% by exchanges
Operates a constrained profit model
The largest and most experienced global clearer of OTC
markets
Clears for major international trading platforms and
exchanges
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LCH.Clearnet: Regulation, Recognition and Oversight
LCH.Clearnet Group LimitedLCH.Clearnet Group Limited(Incorporated in UK)(Incorporated in UK)
Regulated as a Compagnie financière
by the Commission bancaire (France)
Regulated as a Recognised Clearing House by the UK Financial Services Authority and as a Derivatives Clearing Organization by the US Commodity Futures Trading Commission. Payment systems overseen by the Bank of England.
LCH.Clearnet LimitedLCH.Clearnet LimitedLocation - LondonLocation - London
(Incorporated in UK)(Incorporated in UK)
LCH.Clearnet SALCH.Clearnet SALocation - ParisLocation - Paris
(Incorporated in France, with (Incorporated in France, with branches in Amsterdam, Brussels branches in Amsterdam, Brussels
and Porto)and Porto)
Regulated as a Credit Institution and Clearing House by a Regulatory College consisting of the market regulators and central banks from the jurisdictions of France, Netherlands, Belgium, Portugal.
LCH.Clearnet Limited is the
SwapClear service provider.
It is:
Regulated as a Derivatives
Clearing Organization by the
US Commodity Futures
Trading Commission (CFTC)
Regulated as a Recognised
Clearing House by the UK
Financial Services Authority
(FSA)
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SwapClear: MembersCurrent Clearing Members
* Offers SwapClear Client Clearing
34 Clearing Members clearing for 52 Dealers (August 2010)
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OTC IRS Cleared By SwapClear
Global leader in Interest Rate Swaps clearing
Established in September 1999
Outstanding notional of $246 trillion (end October 2010)
Largest OTC IRS product range of any Clearing House, globally
RCH regulated by the FSA in the UK
DCO regulated by the CFTC in the USA
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SwapClear: Product Range
Clears over 40% of all OTC IRS
Offers buy-side clearing facilities
Opening hours for trade registration: 07:30-
22:00 GMT/BST (17.00 EST)
T+0 Clearing
Trade Compression for Inter-dealer trades
Trade Backloading – Legacy IRS portfolios
can be cleared
All ISDA day count fractions and business day
conventions
1m-12m floating reset frequencies
Enhancements planned for 2011
Current State
Forward Rate Agreements
Expansion of Currency set
Additional products TBD e.g.
Swaptions, etc.
Tenor, Index-style and Currencies
0-2yrs (OIS-style) CHF, EUR, GBP, USD
0-10yrs (LIBOR-style) DKK, HKD, NOK, NZD, PLN, ZAR
0-30yrs (LIBOR-style) AUD, CAD, CHF, JPY, SEK
0-50yrs (LIBOR-style) EUR, GBP, USD
Product Types
Plain Vanilla Swaps
Constant Notional
Compounding Swaps
Single Currency Basis Swaps
Zero Coupon Swaps
Overnight Index Swaps
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LCH.Clearnet Default Protections: Approx $3 bn in Guarantee
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Margin Methodology: Variation Margin
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Margin Methodology: Initial Margin
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SwapClear – US & UK contacts
Phillip AtkinsonSenior Manager SwapClear Sales & Marketing+44 (0) 20 7426 6389 [email protected]
Kim ShortSwapClear Sales & Marketing+44 (0)20 7426 [email protected]
London Office
LCH.Clearnet Limited
Aldgate House
33 Aldgate High Street
London, EC3N 1EA
UK
Andrew McGuireVice President SwapClear Sales & Marketing, U.S.+1 212 513 [email protected]
Eddie WattsSenior Country Advisor +1 212 513 [email protected]
New York Office
LCH.Clearnet Limited
14 Wall Street
4th Floor, Suite 4G
New York, NY 10005
USA
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