SA Margin methodology
A tailored approach to measuring, monitoring and managing market risk
PLEASE NOTE THAT THIS WEB PAGE WILL BE UPDATED SHORTLY FOLLOWING COMPLETION OF THE MIGRATION OF CLEARING OF EURONEXT FINANCIAL AND COMMODITIES DERIVATIVES. UPDATES WILL BE DONE BY THE END OF OCTOBER 2024.
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.
Information on the procedures for the calculation of margins on cash and repo (both Classic and Sell-BuyBack) bond transactions cleared by LCH SA.
A general overview of initial margin calculation with SPAN® for derivatives (futures and options).
A general overview of the methodology used for securities margining (equities and bonds) at LCH SA.