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| Company Circular No: | LCH.Clearnet Ltd Circular No 3271 |
| Service Circular No: | EquityClear Circular No 233 |
| Date: | 18 March 2013 |
| To: | All EquityClear Clearing Members |
ERA Parameters and PC ERA update
Dear Member
EquityClear was enhanced in July 2012 to calculate, and report, additional liquidity margin. From 8 April 2013, we are making available the data used to calculate the liquidity margin within the ERA parameter files that are published to our website.
The ERA changes are the addition of the Liquidity Margin Rate to the “Global” file and also a new “Daily Volumes” file.
The ERA TIP will be updated and available from this date
Global File
This file defines the global risk parameters applied for the margin run.
The following data is published: Liquidity Margin Rate is a new field added to the existing file.
| Field | Definition | Example |
|---|---|---|
| Current business date | Business date for the current margin run. | 31/05/2010 |
| Margin run type | EOD = end-of-day, ITD = intra-day | ITD |
| Next LCH business date | The next business date on which margin will be collected. | 01/06/2010 |
| CVM date | A date used for the calculation of variation margin. | 01/06/2010 |
| Counterparty multiplier | A global initial margin multiplier applied across all clearing members. | 1.1 |
| LCH base currency | The currency in which the initial and variation margin amounts are calculated, reported, and posted. | GBP |
| Liquidity Margin Rate | The global liquidity margin % rate applied for illiquid cash equity positions. | 12 |
Daily Volume File
This file contains the average daily volumes for all eligible ISINs. Average daily volumes are referenced when calculating liquidity margin. This margin only applies to cash equities so the file would only contain cash equity securities.
The following data is published in the new file.
| Field | Definition | Example |
|---|---|---|
| ISIN | The unique identifier of the cash equity security. | GB00B16GWD56 |
| Currency | The ISO code of the currency of denomination of the security. | GBP |
| Volume | Average daily traded volume for the security. | 86,592,269.73 |
The results of these additions will be reflected in PC ERA within a new Liquidity by security report, also in the summary report. Those Members or their clients or vendors that use PC ERA will be required to request an updated version of the tool from this date.
Yours Sincerely
Roland Chai Director, EquityClear