Explore the Archive
- Risk Notices Ltd
- Risk Notices SA
- Default Fund Notices SA
- Circulars
- Flash infos Bonds & Repos
- Flash infos Derivatives
- Flash infos Equities
- Flash infos Other
- Fixed Income Notices Ltd
- Legal Notices SA
- Membership Notices SA
- General Information
- General Member Meetings
- Press Releases
- SA Completion of Application Documentation
- SA Clearing Specifications
- SwapClear Legal Documentation
| Company Circular No: | LCH.Clearnet Limited Circular No 3353 |
| Service Circular No: | EquityClear No 245 |
| Date: | 11 October 2013 |
| To: | All EquityClear Members |
EquityClear – Margin Parameters
As advised in Circular number 3340 on 19th September 2013, LCH.Clearnet Limited is replacing the flat rate liquidity margin calculation with an enhanced liquidity & concentration risk margin (LCRM) calculation from 14 October 2013.
The calculation uses additional parameters which are not available in the ERA parameter files on the LCH.Clearnet Website. The additional parameters are identified in the tables below.
LCRM Factors:
| HP factor | HP standard | HP max |
|---|---|---|
| 0.25 | 2 | 10 |
LCRM Buckets:
| Bucket code | Bucket rate |
|---|---|
| PORTFOLIO 1 | 0.06 |
| PORTFOLIO 1A | 0 |
| PORTFOLIO 1B | 0 |
| PORTFOLIO 1C | 0 |
| PORTFOLIO 1D | 0 |
| PORTFOLIO 1E | 0 |
| PORTFOLIO 2 | 0.07 |
| PORTFOLIO 3 | 0.08 |
| PORTFOLIO 4 | 0.08 |
| PORTFOLIO 5 | 0.10 |
| PORTFOLIO 6 | 0.10 |
The enhanced LCRM calculation is described in the ERA technical information pack (ERA TIP) available at the following link: http://www.lchclearnet.com/risk_management/ltd/margining/equityclear.asp
Members requiring further information should contact the Equities Risk team at [email protected].