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| Company Circular No: | LCH.Clearnet Ltd Circular No 3409 |
| Service Circular No: | Nodal Circular No 24 |
| Date: | 21 January 2014 |
| To: | All Nodal Clearing Members |
LCH.Clearnet Ltd – Liquidity Add-on for cleared Nodal Exchange contracts
LCH.Clearnet Ltd will be introducing Liquidity charge in addition to current initial margin calculations for Nodal Exchange contracts during Q1 2014. Initial Margin measures the price risk of a portfolio within the holding period, but does not capture the cost of liquidity arising from hedging and/or selling a portfolio within the holding period in the event of a member default. The charge is therefore designed to cover the costs associated with portfolio liquidation.
Members can find further information, including comprehensive details on how the liquidity add-on will be calculated, on the secure area of the LCH.Clearnet website.
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Should you have any questions please contact Jennifer Vuong at [email protected] or at +44 (0) 20 7392 8429