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Company Circular No:

LCH.Clearnet LTD Circular No 3459

Service Circular No:

LSE Derivatives Circular No 11

Date:10 April 2014
To:All LSEDM and Equity Clear Members

London Stock Exchange Derivatives Markets (LSEDM) - Interoperating CCP Margin cover for Oslo Børs

Members will be aware that as required by EMIR and the ESMA Interoperability Guidelines, interoperating CCPs are required to collateralise their respective exposures to each other. As a result, LCH.Clearnet must, where necessary, either post or call margin on a daily basis. LCH.Clearnet funds these liabilities via additional margin calls from our members.

We would therefore like to inform members that LCH.Clearnet will call additional funds from the current LSEDM members to cover any margin requirement levied by Oslo Clearing (OCX) effective from close of business 25 April 2014, for margin calls to be paid on 28 April 2014

LCH.Clearnet will perform a daily regression test over a rolling one year window on the historical OCX margin requirement levied upon LCH.Clearnet producing a ‘OCX IM Multiplier’ that will be applied to the exisiting SPAN calculation. The ‘OCX IM Multiplier’ will be published on a daily basis in the Member Reporting website under the folder ‘Public/TQD’in the file named: OCX_IM_Multiplier_yyyymmdd_001.txt

Should you have any questions please contact CLDComms@LCHClearnet.com