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.
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 SPAN® method used for securities margining (equities and bonds) as well at LCH SA.