Margin rate changes   

1. Two new VaR specific margining parameters: Minimum Price Denominator and Price Threshold for VaR have been implemented – detailed in Appendix 1.  These parameters are set for the VaR margin methodology to limit excessive price returns generated from near zero prices.  See Member Notice Margining of contracts with negative or near zero prices for further details.  

2. The minimum margin specific parameter, Price Threshold for Minimum Margin, has been changed from 2.0 to 2.5 in line with the Price Threshold for VaR parameter – detailed in Appendix 1.

3. The Standard Deviations Multiplier will be going live with a new value of 4.0, to be reflected in margin calls on Wednesday 14th September 2011 – detailed in Appendix 1.

4. The remaining margining parameters (Holding Period and Minimum Margin Percentage) are kept unchanged at this time.

5. For further information please contact:
 
Risk Operations  020 7426 7520

Nicholas Lincoln
Director, Market Risk

Appendix 1 

Margin Parameters (New/changed parameters in bold)

 * GPV – Gross Portfolio Value