LCH SwapClear have implemented a change in their Initial Margin methodology and this article will discuss three elements that constitute the change:

1. Historical look-back period, increased from 5Y to 10Y
2. Relative scenarios changed to absolute scenarios
3. Worst Loss to Expected Shortfall

For further details on the need for these changes and their impact, please click here Amir Sources:

• http://www.lchclearnet.com/images/lch.clearnet_limited_swapclear_im_model_changes_tcm6-63320.pdf
• And following spells out the absolute and the expected shortfall change.
• http://www.cftc.gov/stellent/groups/public/@rulesandproducts/documents/ifdocs/rul012313lch001.pdf