Explore the Archive

 
Originating department:Risk Management
Company Circular No:LCH.Clearnet Ltd Circular No 2579
Service Circular No:Nodal Exchange 002
Date:02 February 2010
To:All Nodal Clearing Members

Margin Rate Changes

  1. On Monday 8 February 2010, 2 new margining parameters: Minimum Margin Percentage and Price Threshold for Minimum Margin will go live with the values set below.       

  2. The two new parameters are set for the minimum margin methodology to ensure large portfolios with many offsetting positions are appropriately margined. Further details can be found in the clearing and margining paper circulated previously.

  3. The two current margining parameters (Holding Period and Standard Deviation Multiplier) related to VaR calculation are kept unchanged at this time.

  4. For further information please contact:

LCH.Clearnet Ltd Risk Operations  020 7426 7520

Chris Jones
Director, Risk Management

Appendix 1

New VaR Parameters
Holding Period      Standard Deviations Multiplier Minimum Margin Percentage (% of GPV*)Price Threshold for Minimum Margin
2 days4.50 0.35 5.00

* GPV – Gross Portfolio Value