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| Originating department: | Risk Management |
| Company Circular No: | LCH.Clearnet Ltd Circular No 3056 |
| Service Circular No: | Nodal Exchange 015 |
| Date: | 28 December 2011 |
| To: | All Nodal Clearing Members |
Margin rate changes
The Standard Deviation Multiplier will be going live with a new value of 3.8 on Thursday 5th January 2012, to be reflected in margin calls made on Friday night 6th January 2012 – detail in Appendix 1.
The other margining parameters (Minimum Price Threshold, Holding Period, and Minimum Margin Percentage) related to VaR calculations are kept unchanged at this time.
For further information please contact:
LCH.Clearnet Ltd Risk Operations 020 7426 7520
Nicholas Lincoln
Director, Market Risk
Appendix 1. Margin Parameters (New/changed parameters in bold)
| VaR Specific Parameters | Min Margin Specific Parameters | ||||
| Holding Period | Standard Deviations Multiplier | Minimum Price Denominator | Price Threshold for VaR | Minimum Margin Percentage (% of GPV*) | Price Threshold for Minimum Margin |
| 2 days | 3.8 | 2.5 | 2.5 | 0.15 | 2.5 |
* GPV – Gross Portfolio Value