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Company Circular No:

LCH.Clearnet Ltd Circular No 3398

Service Circular No:EquityClear Circular No 2
Date:23 December 2013
To:All EquityClear Members

EquityClear Margin Algorithm Changes for CFDs

Dear Member,

We would like to advise you of a change that is being made to ERA to achieve compliance with EMIR.

As with cash equity positions our EquityClear service will include an enhanced liquidity & concentration risk margin calculation which will be applied to all CFD positions that are currently margined using the flat rate methodology.

Clearing Member Report Impacts

The format of the margin summary reports, EREP0003 & EREP0020 are not changing. The liquidity & concentration risk margin will be added into the Ďalternative initial marginí results.

Two new margin reports have been produced, EREP0030 & EREP0031, which break out liquidity & concentration risk margin.

Details of the changes are available in the following specifications:

Updated version of the ERA technical information pack (ERA TIP) available at the following link: http://www.lchclearnet.com/risk_management/ltd/margining/equityclear.asp

EquityClear Member Reports - CDDs

Implementation Date

The Liquidity margin calculation enhancement will take effect from Thursday 23 January 2014.

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