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| Company Circular No: | LCH.Clearnet Ltd Circular No 3460 |
| Service Circular No: | Nodal Exchange 29 |
| Date: | 14 April 2014 |
| To: | All Nodal Clearing Members |
MARGIN RATE CHANGES
After a recent review of margin parameters, one parameter will be updated.
The Minimum Margin percentage will be updated from 0.50% to 0.60%
The change will be reflected in margin calculation for COB on 22nd April 2014. The table below summarises the parameters for the initial 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 | 0.60 | 2.5 |
* GPV – Gross Portfolio Value
The remaining margining parameters are kept unchanged at this time.
For further information please contact:
Risk Operations - 020 7426 7520
Nicholas Lincoln
Director, Market Risk