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| Originating department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No 2708 |
| Service Circular No: | Nodal Exchange 010 |
| Date: | 28 October 2010 |
| To: | All Nodal Clearing Members |
Nodal Margin Rate Changes
The Minimum Price Threshold will be going live with a new value on Thursday 28 October 2010, to be reflected in margin calls made on Friday 29 October 2010 – detail in Appendix 1.
The current margining parameters (Holding Period, Minimum Margin Percentage and Standard Deviation Multiplier) related to VaR calculations are kept unchanged at this time.
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 | 2.00 |
* GPV – Gross Portfolio Value