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| Originating department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No 2673 |
| Service Circular No: | Nodal Exchange 008 |
| Date: | 27 August 2010 |
| To: | All Nodal Clearing Members |
Margin Rate Changes
1. The Minimum Margin Percentage will be going live with a new value on Friday 03 September, to be reflected in margin calls Monday 06 September – 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 | 0.15 | 5.00 |
* GPV – Gross Portfolio Value