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| Originating Department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No 2918 |
| Service Circular No: | LME 444 |
| Date: | 27 July 2011 |
| To: | All LME Clearing Members |
LME Intra-day Margining
From Monday1 August 2011 LCH.Clearnet Ltd (LCH.Clearnet) will introduce intra-day margining for the LME market utilising real-time positions and prices.
The introduction follows extensive consultation with market participants and strengthens risk management protections for the market and for LCH.Clearnet. Intra-day margining enables LCH.Clearnet to respond quickly during the trading day should exposures increase due to large price changes or growth of positions.
In addition, new intra-day margin liability reports and updated SPAN Parameter Files will be available following recalculation of margin requirements at 14:00 on each business day. SPAN Parameter File from the 17:00 run will replace the one created at 14:00 on the website. These will be available from the Member Reporting area from approximately 14:30.
The updated SPAN Parameter File will be available from the following locations:
LCH.Clearnet’s website www.lchclearnet.com/data_downloads/ltd/span.asp
Select the current business date
Check the LME box under the exchange column
Select the required file under the timing column
Select the required format under the type column
From the SPAN directory on the LCH.Clearnet FTP site.
The intra-day SPAN Parameter Files will be available in both Standard and Compressed formats
Margin runs are also completed at 10:00 and 17:00 each day and updated SPAN Parameter Files are produced at these times. Liability reports for these margin runs will only be available on the member reporting site where a margin call is made.
In the normal course of business LCH.Clearnet will call intra-day margin through London PPS accounts. However, should it be necessary to make an intra-day call after London PPS closes at 16:00 London time, calls will be made upon the clearing member’s nominated US PPS account in New York.
For further information please contact the following:
Risk Operations 020 7426 7520
Nicholas Lincoln
Director, Market Risk