LTD Margin Methodology
A tailored approach to measuring, monitoring and managing market risk
The LCH 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 risk management teams, who assess a member's positions and market risk on a daily basis.
Equity Risk Analysis
Risk is calculated using Equity Risk Analysis (ERA). The prime initial margin methodology is a portfolio approach to using historical prices.
PAIRS
LCH proprietary PAIRS margin methodology is used for the calculation of margin for OTC interest rate derivatives and listed rate derivatives.