Business Streams
ERA Risk Parameter Files
Five files are required to calculate ERA margins:
The Bucket file contains details of the way in which different groups of equities should be handled within the ERA algorithm. This includes parameters relating to the calculation of historical price changes.
The Equity file assigns individual ISINs to buckets for initial margining purposes. It also includes parameters required in the calculation of variation margin.
The Exchange Rate file includes the exchange rates used in the ERA calculation. These are needed to convert values to the LCH.Clearnet Limited base currency, which is currently sterling.
The Global file details the global parameters used by the ERA calculation. This includes details of the date and margin run (intra day or end of day) to which this group of files refer.
The Price file contains price histories for all equities which belong to a portfolio style bucket for margining purposes. In addition it contains prices for flat rate bucket initial margin and variation margin calculation.
Because of the size of the price histories, all files are provided in compressed (using pkZip) format.
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- Data Downloads - LCH.Clearnet Ltd
- SPAN Risk Parameter Files
Risk parameter files are required to calculate London SPAN initial margins. They contain details of all the London SPAN parameters as well as the theoretical profits and losses for each of the SPAN scenarios. Risk parameter files are required if calculating initial margin using PC London SPAN. They can also be loaded into other systems used to calculate London SPAN initial margin.
