London Stock Exchange Derivative Market - Liquidity Concentration Risk Margin Automation Solution

Report date
Summary

Circular No.

LCH Circular No 3557

Service Circular No.

London Stock Exchange Derivative Market Circular No 20

Date:

02 December 2014

Re:

All London Stock Exchange Derivative Market Members

Body

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 for London Stock Exchange Derivative Market (LSEDM).

From 8 December 2014, 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.
New Report: LCRM Breakdown at Margin Sub Account level. Filename: ED2_LCRM_DETAIL_<member>_<date>.CSV, e.g. ED2_LCRM_DETAIL_ABC_20140804.CSV.

This new report will replace the current emails 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.

  • The following addition will be made to the Public "ED2" subfolder of the MemberLive website:

New Report: Average Daily Volume. Filename: ED2_ADV.CSV. 

This new report will provide the ADV figures on which the LCRM charge is calculated.

For further information and assistance on how to reconcile the new LSEDM reports please contact Jennifer Vuong.

Jennifer Vuong
Tel: +44 (0) 207 392 8429
Email: jennifer.vuong@lchclearnet.com