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| Company Circular No: | LCH.Clearnet Ltd Circular No 3442 |
| Service Circular No: | Nodal Exchange 28 |
| Date: | 10 March 2014 |
| To: | All Nodal Clearing Members |
MARGIN RATE CHANGES
The table below summarises the current parameters (in place from 14 February) for the margin model of the Nodal service.
| Margin Parameters | |||||
|---|---|---|---|---|---|
| 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 | 6.5 | 2.5 | 2.5 | 0.50 | 2.5 |
* GPV – Gross Portfolio Value
For two parameters, Standard Deviation Multiplier and Minimum Margin Percentage, a counter-cyclicality buffer of 125% is already included. The buffer was put in place for the Nodal market in July 2013 as per the EMIR regulation RTS Article 28.
The Nodal liquidity model that will be effective for COB on 10 March 2014 makes a reference to the un-scaled standard deviation multiplier. To avoid confusion the relevant parameter used in the Nodal liquidity model is tabled below for member reference.
| Liquidity Model Parameter |
|---|
| Standard Deviations Multiplier
(Exclusive of Counter-Cyclicality Buffer) |
| 5.2 |
For further information please contact:
Risk Operations - 020 7426 7520
Nicholas Lincoln
Director, Market Risk