Explore the Archive

Company Circular No:

LCH.Clearnet Ltd Circular No 3271

Service Circular No:EquityClear Circular No 233
Date:18 March 2013
To:All EquityClear Clearing Members

ERA Parameters and PC ERA update

Dear Member

EquityClear was enhanced in July 2012 to calculate, and report, additional liquidity margin. From 8 April 2013, we are making available the data used to calculate the liquidity margin within the ERA parameter files that are published to our website.

The ERA changes are the addition of the Liquidity Margin Rate to the “Global” file and also a new “Daily Volumes” file.

The ERA TIP will be updated and available from this date

Global File

This file defines the global risk parameters applied for the margin run.

The following data is published: Liquidity Margin Rate is a new field added to the existing file.

Current business dateBusiness date for the current margin run.31/05/2010
Margin run typeEOD = end-of-day, ITD = intra-dayITD
Next LCH business dateThe next business date on which margin will be collected.01/06/2010
CVM dateA date used for the calculation of variation margin.01/06/2010
Counterparty multiplierA global initial margin multiplier applied across all clearing members.1.1
LCH base currencyThe currency in which the initial and variation margin amounts are calculated, reported, and posted.GBP
Liquidity Margin RateThe global liquidity margin % rate applied for illiquid cash equity positions.12

Daily Volume File

This file contains the average daily volumes for all eligible ISINs. Average daily volumes are referenced when calculating liquidity margin. This margin only applies to cash equities so the file would only contain cash equity securities.

The following data is published in the new file.

ISINThe unique identifier of the cash equity security.GB00B16GWD56
CurrencyThe ISO code of the currency of denomination of the security.GBP
VolumeAverage daily traded volume for the security.86,592,269.73

The results of these additions will be reflected in PC ERA within a new Liquidity by security report, also in the summary report. Those Members or their clients or vendors that use PC ERA will be required to request an updated version of the tool from this date.

Yours Sincerely

Roland Chai Director, EquityClear

Click to see a PDF version of this information