LCH.Clearnet Ltd – Modification to Nodal Exchange Margin Model

Subject to regulatory approval, LCH.Clearnet Ltd will be modifying the Nodal Exchange margin model. This modification will replace a static multiplier (applied to the standard deviation of portfolio returns) with a dynamic multiplier based on a Cornish-Fisher based calculation which incorporates distribution skewness and kurtosis.  Please note that no other changes are being made to the Nodal Exchange model including to the current Liquidity and Concentration Risk Margin calculation as this figure is computed independently of core Initial Margin.
 
The modified Nodal Exchange margin model is expected to be implemented by the end of January 2015.

Members can find further information on the secure area of the LCH.Clearnet website.
Click here to log-in or request access
 
Should you have any questions please contact Daniel Berger by phone on (212) 513-8260 or by email at daniel.berger@lchclearnet.com