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May 23, 2013

SwapClear updates their IM calculation methodology

A quick note:

As of Monday 20 May, LCH.Clearnet have moved their SwapClear SMART tool from the tactical implementation phase to full implementation for their new IM calculation methodology, also meaning that the IM calculation itself has been updated to e.g. reflect the move from a 5 to 10 year look back period.

This stems from a direct email conversation with them.

Tom.


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