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Originating department:Risk Management
Company Circular No:LCH.Clearnet Ltd Circular No 2447
Service Circular No:Nodal Exchange 001
Date:02 April 2009
To:All Nodal Clearing Members

Margin Rate Changes

  1. On Wednesday 08 April 2009 LCH.Clearnet Limited will launch the clearing of 3,608 electricity derivative contracts on behalf of the Nodal Exchange. The launch will provide a centralised auction-based exchange and clearing service for the expanding nodal marketplace in North America. LCH.Clearnet Limited will provide central counterparty (CCP) services to a screen-traded nodal auction market as well as OTC broker-matched trades, thus encompassing all areas of this marketplace. Key features will include Value at Risk (VaR) margining methodology at LCH.Clearnet Limited, along with a new auction engine at Nodal Exchange to deliver trade optimisation to market participants.       

  2. LCH.Clearnet Ltd has, after consultation with the Nodal Exchange, implemented the Value at Risk (VaR) parameters for all Nodal Exchange contracts. The margins will be effective from the market opening on 08 April 2009 and will be reflected in all margin calls from that point.

  3. The Value at Risk (VaR) parameters are contained in Appendix 1.

  4.  For further information please contact:

         LCH.Clearnet Ltd Risk Operations           020 7426 7520

Chris Jones
Director, Risk Management

Appendix 1

New VaR Parameters
Holding Period      Standard Deviations
2 days4.50