Risk Management

Business Streams

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   

  1. 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 Thursday night 5th January 2011 – detail in Appendix 1.

  2. 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

VaR Parameters
Holding Period Standard Deviations Multiplier Minimum Margin Percentage
(% of GPV*) 		Price Threshold for Minimum Margin
2 days3.80.152.00

 * GPV – Gross Portfolio Value