Risk Management

Business Streams

Originating department:Risk Management
Company Circular No:LCH.Clearnet Ltd Circular No 2705
 Service Circular No:EquityClear Circular No 171
Date:22 October 2010
To:All EquityClear Clearing Members

Changes to EquityClear ERA Risk Parameters

LCH.Clearnet Limited (LCH) would like to advise its members that from 1 November 2010, there will be a change to the parameters used in the ERA margin algorithm.

The changes to the algorithm are identified in the table below. 

ERA Margin Parameter

Current ValueNew Value

Discarded portfolio losses

20
Averaged portfolio losses4

5

Risk coefficient1.4

1.3

 
The adjustment has been made to ensure that LCH.Clearnet meets its risk appetite across all products cleared within the service. The parameter revisions to be implemented lead to the smallest changes to initial margin levels sufficient for the risk appetite to be met. 

Members requiring further information should contact the Equities Risk team at equityrisk@lchclearnet.com.


Christopher Jones
Director and Head of Risk Management