Panel 2: Derivatives Clearing: 2020 in 

Review

LCH Group Presentation to the CFTC Global Markets Advisory Committee 

Nicholas Lincoln, Group Head of Market Risk & Liquidity Risk, LCH Group

11 March 2021
Margin attribution – European equity clearing at LCH 

2

Service level margins rise in early March, but driven almost entirely by the surge in participant volume. 

• The EquityClear initial margins peak at 

20th March at £8.2bn. Primarily driven 

by a surge in volume in early March

• However when stripping out the 

volume impact the margin increase 

attributable to LCH’s risk models is 

more gradual rising to only £4.6bn at 

the 20th March (+16% from the start of 

the month)

• By the end of March as volumes 

returned to more normal levels so did 

the initial margin requirements. 
Margin attribution – Global interest rate swap (IRS) clearing at LCH

3

Service level margins rise in early March, but driven almost entirely by the surge in participant volume. 

• SwapClear shows a similar pattern 

to EquityClear where a surge in 

volume drives the margin 

requirement from £149bn to 

almost £170bn (+14%) by the 12th 

March. 

• However, when stripping out the 

volume impact, the margin 

increase attributable to LCH’s 

risk models is more gradual 

rising only (+4%) by 12 March 

then peaking in the last week of 

March (+14%), thereafter 

stabilising during April at (+8%) 

from the beginning of the period.
4

This document has been provided to you for informational purposes only and is intended as an overview of certain aspects of or proposed changes to the SwapClear, 

ForexClear, Listed Interest Rates, RepoClear, EquityClear, CDSClear, SwapAgent and/or any other service provided by LCH Group Holdings Limited (“LCH Group”) or any of 

its group undertakings (group undertakings shall be construed in accordance with section 1161 of the Companies Act 2006; each an “LCH Group Company”). 

LCH Limited and LCH SA (“LCH”) are each regulated as a “recognised central counterparty” authorised under Regulation (EU) No. 648/2012 of the European Parliament and 

of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (“EMIR”). LCH Limited is supervised by the Bank of England within the UK 

regulatory framework, and is a “derivatives clearing organization” registered with the U.S. Commodity Futures Trading Commission. LCH SA is regulated and supervised in 

France by the Autorité des Marchés Financiers, the Autorité de Contrôle Prudentiel et de Résolution and the Banque de France. LCH SA is also registered as a derivatives 

clearing organization with the US Commodity Futures Trading Commission and as a clearing agency with the US Securities and Exchange Commission. LCH SA is also 

recognised as a foreign central counterparty by the Swiss Financial Market Supervisory Authority.

The relationship of an LCH Group Company with its members is governed solely by its rulebook and certain other ancillary documentation, as applicable. This document 

does not, and does not purport to, contain a detailed description of any aspect of a service provided by an LCH Group Company or any other topics discussed in this 

document, and it has not been prepared for any specific person. This document does not, and does not seek to, constitute advice of any nature. You may not rely upon the 

contents of this document under any circumstance and should seek your own independent legal, investment, tax and other advice. The information and any opinion 

contained in this document does not constitute a recommendation or offer with respect to any derivative contract, financial instrument, security or service. No LCH Group 

Company makes any representation, warranty, condition or guarantee (whether express or implied) that the contents of this document are accurate, complete or up-to-date, 

and makes no commitment to offer any particular product or service. No LCH Group Company shall have any liability for any losses, claims, demands, actions, proceedings, 

damages, costs or expenses arising out of, or in any way connected with, the information contained in this document, except that each LCH Group Company accepts liability 

that cannot be excluded by applicable law.

Copyright © LCH Limited 2020. All rights reserved. SwapClear, CDSClear, ForexClear, RepoClear, EquityClear, SwapAgent and €GCPlus are registered trademarks of LCH. 

The information contained in this document is confidential. By reading this document, each recipient agrees to treat it in a confidential manner and will not, directly or 

indirectly, disclose or permit the disclosure of any information in this document to any other person (other than its regulators or professional advisers who have been 

informed of the confidential nature of the information) without the prior written consent of LCH Group.