SwapClear Initial Margin parameter update

Report date

Circular No.

LCH Circular No 4029


14th June 2019


All LCH Limited SwapClear Clearing Members, SwapClear Clearing Clients and Clients


LCH Limited is planning to make an update to the SwapClear initial margin model.  The parameter change is intended to align the margin period of risk (MPOR) in the initial margin floor calculation with the core initial margin calculation for Client accounts at 7 days. The change will become effective as part of the Service Release 10.3 which is scheduled to go live on 22nd July 2019 (subject to regulatory non-objection).

The parameter change has become necessary following an erosion in the initial margin per unit risk for some Client positions caused by the evolution of the market data series which drives the initial margin model. This change will restore the initial margin requirement for those positions closer to historic levels.

If you would like to know the expected change in initial margin requirement for any of your accounts the current version of SMART (v6.6.2) can be used along with TESTFLOOR7SMART0001.DAT (instead of the original SMART0001.DAT) to calculate the 7-day Client Unscaled VAR. This is available on the SMART for SwapClear area here. For Clients, your Clearing Member should have the expected change as well.

For further details on the use of SMART please contact smartsupport@lch.com

For further details on the model change please contact OTCIRDRisk@LCH.Com.

Kind regards,

Rates Service Risk Team


Terms used herein have the meaning assigned to them in either the Rulebook or FCM Rulebook (as applicable), available at www.lch.com. The term ‘SwapClear Clearing Member’ includes an ‘FCM Clearing Member’ and references to a ‘Client’ mean a ‘SwapClear Clearing Client’ or an ‘FCM Client’ on behalf of which an FCM Clearing Member clears FCM SwapClear Contracts.