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| Originating department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No 3326 |
| Service Circular No: | Nodal Exchange 018 |
| Date: | 5 July 2013 |
| To: | All Nodal Clearing Members |
Margin rate changes
After a recent review of margin parameters, one margin parameter will be updated. The Standard Deviation Multiplier will be going live with a new value of 4, to be reflected in margin calls on Monday 15th July 2013 – detailed in Appendix 1.
The remaining margining parameters are kept unchanged at this time.
For further information please contact:
Risk Operations 020 7426 7520
Nicholas Lincoln
Director, Market Risk
Appendix 1. Margin Parameters (New/changed parameters in bold)
| VaR Specific Parameters | Min Margin Specific Parameters | ||||
| Holding Period | Standard Deviations Multiplier | Minimum Price Denominator | Price Threshold for VaR | Minimum Margin Percentage (% of GPV*) | Price Threshold for Minimum Margin |
| 2 days | 4 | 2.5 | 2.5 | 0.25 | 2.5 |
* GPV – Gross Portfolio Value