London Stock Exchange Derivative Market - Liquidity Concentration Risk Margin Report Automation Solution Implementation 12 January 2015
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Circular No. |
LCH Circular No 3570 |
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Service Circular No. |
LSE Derviatives Circular No 22 |
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Date: |
15 December 2014 |
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To: |
All London Stock Exchange Derivative Market Members |
Further to LCH.Clearnet Circular 3560 (Postponement of London Stock Exchange Derivative Market - Liquidity Concentration Risk Margin Automation solution) please be advised that from 12 January 2015, the following changes will be implemented to the LSEDM 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 "ED2" subfolder of the MemberLive website:
New Report: High Level Additional Margin Summary. Filename: ED2_AM_SUMMARY_<member>_<date>.CSV, e.g. ED2_AM_SUMMARY_ABC_20140804.CSV.
This new report will provide a high level view of all Additional Margin charges applicable for the LSEDM market. This report will be available on T, for the calculation relating to T-2/T-1. In additional to this report two new reports will also be available for NLX and Nodal markets containing all additional margin requirements.
Should you have any questions please contact Jennifer Vuong