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| Originating department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No 2676 |
| Service Circular No: | Nodal Exchange 009 |
| Date: | 01 September 2010 |
| To: | All Nodal Clearing Members |
Margin Rate Changes
1. New RT Zonal contracts (MISO & PJM) will be going live on Tuesday 7 September, to be reflected in margin calls Wednesday 8 September - detailed in Appendix 1.
2. These new contracts will be real time contracts, off-peak and on-peak with 49 expiries.
3. The current margining parameters (Holding Period, Minimum Margin Percentage, Standard Deviation Multiplier and Minimum Price Threshold) related to VaR calculations are kept unchanged at this time - detailed in Appendix 2.
4. For further information please contact:
LCH.Clearnet Ltd Risk Operations 020 7426 7520
Chris Jones
Director, Risk Management
Appendix 1
| ISO | Commodity Code |
| MISO | FRK |
| MISO | FRL |
| PJM | FRM |
| PJM | FRN |
| PJM | FRO |
| PJM | FRP |
Appendix 2
| New VaR Parameters | |||
| Holding Period | Standard Deviations Multiplier | Minimum Margin Percentage (% of GPV*) | Price Threshold for Minimum Margin |
| 2 days | 4.2 | 0.15 | 5.00 |
* GPV – Gross Portfolio Value