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Originating department:Risk Management
Company Circular No:LCH.Clearnet Ltd Circular No 2676
Service Circular No:Nodal Exchange 009
Date:01 September 2010
To:All Nodal Clearing Members

Margin Rate Changes 

1. New RT Zonal contracts (MISO & PJM) will be going live on Tuesday 7 September, to be reflected in margin calls Wednesday 8 September - detailed in Appendix 1.

2. These new contracts will be real time contracts, off-peak and on-peak with 49 expiries.

3. The current margining parameters (Holding Period, Minimum Margin Percentage, Standard Deviation Multiplier and Minimum Price Threshold) related to VaR calculations are kept unchanged at this time - detailed in Appendix 2.

4. For further information please contact:

LCH.Clearnet Ltd Risk Operations  020 7426 7520

 

Chris Jones
Director, Risk Management

Appendix 1

ISOCommodity Code
MISOFRK
MISOFRL
PJMFRM
PJMFRN
PJMFRO
PJMFRP

Appendix 2

New VaR Parameters
Holding Period      Standard Deviations Multiplier Minimum Margin Percentage (% of GPV*)Price Threshold for Minimum Margin
2 days4.2 0.15 5.00

* GPV – Gross Portfolio Value