EnClear - Liquidity Concentration Risk Margin Automation solution
LCH.Clearnet Circular No: 3503
To: All EnClear, LSEDM, Nodal and NLX clearing members
Date: 06 August 2014
Following LCH.Clearnet Limited's ("LCH.Clearnet") circular 3485 (Improvements to buffer margin processing - EnClear, LME, London Stock Exchange Derivatives) and subsequent member consultation and feedback, LCH.Clearnet will be implementing a Liquidity Concentration Risk Margin (LCRM) Automation solution, initially for the EnClear service with London Stock Exchange Derivative Market following in the beginning of Q4 2014.
From Monday 18th August 2014, the following changes will be implemented to the EnClear service:
• LCRM will be calculated on a daily basis. Where a charge is applicable it will be called daily (ITD) and calculated on the EOD change between T-2 and T-1. Any increase will be called on T (ITD) and any decrease will be credited on T+1.
• The following changes/additions will be made to the EnClear subfolder of the MemberLive website :
New Report: High Level Additional Margin Summary. Filename: ECS_AM_SUMMARY_<member>_<date>.CSV, e.g. ECS_AM_SUMMARY_ABC_20140804.CSV. Click here to view.
This new report will provide a high level view of all Additional Margin charges applicable for the EnClear market. This report will be available on T, for the calculation relating to T-2/T-1.
New Report: LCRM Breakdown at Margin Sub Account level. Filename: ECS_LCRM_DETAIL_<member>_<date>.CSV, e.g. ECS_LCRM_DETAIL_ABC_20140804.CSV. Click here to view.
This new report will replace the current spreadsheet we are manually producing and will provide a breakdown of the LCRM charge at Margin Sub Account Level. This report will be available on T, for the calculation relating to T-2/T-1.
Amended Report: ECS_<member>POS.CSV; to include Delta (Column 14) and Net Position Delta (Column 15) Click here to view.
The amendment to ECS_ABCPOS will provide the NPD on which the LCRM charge is calculated.
• The following addition will be made to the Public EnClear subfolder of the MemberLive website:
New Report: Average Daily Volume. Filename: ECS_ADV.CSV. Click here to view.
This new report will provide the ADV figures on which the LCRM charge is calculated
For all Commodities and Listed Derivative markets, buffer liabilities relating to the House account will be applied directly to H; rather than the B account. This will take place EOD on the 18th August 2014.
For further information and assistance on how to reconcile the new EnClear reports with existing EnClear and Banking reports, please contact Isabella Kurek-Smith or David Barnes.
Isabella Kurek-Smith
Tel: +44 (0) 207 426 7460
Email: Isabella.kurek-smith@lchclearnet.com
David Barnes
Tel: +44 (0) 203 197 4572
Email: david.barnes@lchclearnet.com