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Company Circular No:

LCH.Clearnet Limited Circular No 3353

Service Circular No:

EquityClear No 245

Date:11 October 2013
To:All EquityClear Members

EquityClear Margin Parameters

As advised in Circular number 3340 on 19th September 2013, LCH.Clearnet Limited is replacing the flat rate liquidity margin calculation with an enhanced liquidity & concentration risk margin (LCRM) calculation from 14 October 2013.

The calculation uses additional parameters which are not available in the ERA parameter files on the LCH.Clearnet Website. The additional parameters are identified in the tables below.

LCRM Factors:

HP factorHP standardHP max
0.25210

LCRM Buckets:

Bucket codeBucket rate
PORTFOLIO 10.06
PORTFOLIO 1A0
PORTFOLIO 1B0
PORTFOLIO 1C0
PORTFOLIO 1D0
PORTFOLIO 1E0
PORTFOLIO 20.07
PORTFOLIO 30.08
PORTFOLIO 40.08
PORTFOLIO 50.10
PORTFOLIO 60.10

The enhanced LCRM calculation is described in the ERA technical information pack (ERA TIP) available at the following link: http://www.lchclearnet.com/risk_management/ltd/margining/equityclear.asp

Members requiring further information should contact the Equities Risk team at equityrisk@lchclearnet.com.