14 April 2014 - Nodal Exchange Margin Rate Circular

Report date
Company Circular No:

LCH.Clearnet Ltd Circular No 3460

Service Circular No: Nodal Exchange 29
Date: 14 April 2014
To: All Nodal Clearing Members




After a recent review of margin parameters, one parameter will be updated.

The Minimum Margin percentage will be updated from 0.50% to 0.60%

The change will be reflected in margin calculation for COB on 22nd April 2014. The table below summarises the parameters for the initial margin model of the Nodal service.

Margin Parameters
  VaR Specific Parameters Min Margin Specific Parameters
Holding Period Standard Deviations Multiplier Minimum Price Denominator Price Threshold for VaR Minimum Margin Percentage (% of GPV*) Price Threshold for Minimum Margin
2 days 6.5 2.5 2.5 0.60 2.5

* GPV – Gross Portfolio Value

The remaining margining parameters are kept unchanged at this time.

For further information please contact:

Risk Operations - 020 7426 7520

Nicholas Lincoln
Director, Market Risk