Company Circular No:	LCH.Clearnet Ltd Circular No 3377
Service Circular No:	Nodal Exchange 22
Date:	22 November 2013
To:	All Nodal Clearing Members

MARGIN RATE CHANGES

1. After a recent review of margin parameters, one margin parameter will be updated. The Standard Deviation Multiplier will be going live with a new value of 4.4 and the changes will be reflected in margin calls on 2 December 2013 – detailed in table below.

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	4.4	2.5	2.5	0.25	2.5

* GPV – Gross Portfolio Value

2. The remaining margining parameters are kept unchanged at this time.
3. For further information please contact:
   Risk Operations - 020 7426 7520