RepoClear Ltd Initial Margin Model Parameter Change
|
Circular No.: |
LCH Circular No. 4276 |
|
Date: |
16th October 2023 |
|
To: |
All RepoClear Ltd Clearing Members |
Dear RepoClear Ltd Member,
In line with the goal to increase resource efficiency for Clearing Members, LCH Limited (“LCH”) is pleased to confirm that an initial margin model parameter change for its RepoClear service has completed regulatory review and will be effective from 6th November 2023.
The new model is a mid-vol scaling model with a long-term unscaled floor and aims to deliver margin efficiencies while ensuring the highest risk management standards.
Further details of the change, and a comparison of the new model to the existing model, can be found in a document stored in the secure knowledge centre, link here. Additionally, from 6th November, members can model their initial margin impact using the RepoClear Margin Calculator tool.
There is no further action required from Clearing Members. LCH will communicate if there is any change to the effective date.
For any additional information or questions, please contact the Securities Client Service team at securitiesclientserviceltd@lch.com
Kind Regards
Securities Client Service