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| Originating department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No 2631 |
| Service Circular No: | Nodal Exchange 004 |
| Date: | 01 June 2010 |
| To: | All Nodal Clearing Members |
Margin Rate Changes
1. The Standard Deviation Multiplier will be going live with a new value on Tuesday 8 June 2010, to be reflected in margin calls Wednesday 9 June 2010 – detailed in Appendix 1.
2. The current margining parameters (Holding Period, Minimum Margin Percentage and Price Threshold) related to VaR calculation are kept unchanged at this time.
3. For further information please contact:
LCH.Clearnet Ltd Risk Operations 020 7426 7520
Chris Jones
Director, Risk Management
Appendix 1
| New VaR Parameters | |||
| Holding Period | Standard Deviations Multiplier | Minimum Margin Percentage (% of GPV*) | Price Threshold for Minimum Margin |
| 2 days | 4.20 | 0.35 | 5.00 |
* GPV – Gross Portfolio Value