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Company Circular No:

LCH.Clearnet Limited Circular No 3340

Service Circular No:EquityClear/Turquoise Derivatives 243
Date:19 September 2013
To:All EquityClear members

EquityClear Margin Algorithm Changes

Dear Member,

We would like to advise you of two changes that are being made to ERA to achieve compliance with EMIR.

1. The current flat rate liquidity margin calculation will be replaced by an enhanced liquidity & concentration risk margin calculation.

2. A new margin category will be implemented that will be known as “Wrong Way Risk” to meet the EMIR requirement in Article 49 (50) (5)

Clearing Member Report Impacts

The format of the margin summary reports, EREP0003 & EREP0020 are not changing. The wrong way risk margin will be added into the ‘alternative initial margin’ results with the existing flat rate initial margin and liquidity & concentration risk margin.

Two new margin reports will be produced, EREP0030 & EREP0031, which break out wrong way risk margin and liquidity & concentration risk margin.

Details of the changes will be available from Monday 23 September in the following specifications:

Implementation Date

The Liquidity margin calculation enhancement will take effect from Monday 14 October 2013.

The remaining margin change will take effect from 28 October 2013

If you require additional information please contact Ian Mackenzie on Tel: 020 7426 7265 Email: ian.mackenzie@lchclearnet.com


Roland Chai
Head of Equities, EquityClear, LCH.Clearnet Limited