Risk Management SA

SA Margin methodology

A tailored approach to measuring, monitoring and managing market risk.

LCH's robust risk management framework – underpinned by a team of over 50 dedicated risk managers – affords exceptional levels of protection to clearing members.

Initial and variation margin is collected from LCH members; should they fail, this margin is used to fulfil their obligations.

The amount of margin is decided by LCH's risk management teams, who assess a member's positions and market risk on a daily basis.

SA Bonds and Repos

Information on the procedures for the calculation of margins on cash and repo (both Classic, Buy and Sell back) bond transactions cleared by LCH SA.

CDS Margin Methodology

The components of the margin requirement calculated for Clearing Members are set out in Chapter 2 of Title IV of the CDS Clearing Rule Book and are further described in Section 2 of the CDS Clearing Procedures.

In addition, Section 6 of the CDS Clearing Procedures provides a detailed description regarding the method for calculating each Clearing Member's Contribution to the CDS Default Fund.

Further information is available for clearing members in CDSClear Secure Area and by contacting CDSClear@lch.com.