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Company Circular No:LCH.Clearnet Ltd Circular No 3454
Date:4 April 2014
To:All LCH.Clearnet LME, NLX, LSEDM and EnClear Clearing Members

LCH.Clearnet Ltd Liquidity and Concentration Risk Margin for LME , NLX, LSEDM and EnClear Markets

LCH.Clearnet Ltd will be introducing a Liquidity and Concentration Risk margin (LCRM) as part of the initial margin calculation for LME, NLX, LSEDM and EnClear contracts. The LCRM will be introduced on 25 April 2014, for margin calls to be paid on 28 April 2014. This is an additional charge to the current initial margin calculation.

Initial Margin measures the price risk of a portfolio within the holding period, but does not capture the cost of liquidity arising from hedging and/or selling a concentrated portfolio within the holding period in the event of a member default. The charge is therefore designed to cover the costs associated with portfolio liquidation.

Detailed documentation, which includes the calculation of LCRM, is available to Members, please email cldcomms@lchclearnet.com to request the document.

Should you have any questions please contact:

David Farrar on +44 (0) 20 7426 7582 for LME

Isabella Kurek-Smith on +44 (0) 20 7426 7460 for EnClear

Jennifer Vuong on +44 (0) 20 7426 8429 for NLX and LSEDM