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| Originating department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No 2657 |
| Service Circular No: | Nodal Exchange 006 |
| Date: | 23 July 2010 |
| To: | All Nodal Clearing Members |
Margin Rate Changes
1. The Minimum Margin Percentage will be going live with a new value on Thursday 29 July, to be reflected in margin calls Friday 30 July – detailed in Appendix 1.
2. The current margining parameters (Holding Period, Standard Deviation Multiplier and Minimum Price Threshold) related to VaR calculations are kept unchanged at this time.
3. 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 days | 4.2 | 0.25 | 5.00 |
* GPV – Gross Portfolio Value