EquityClear

Risk Margin is calculated using ERA (Equity Risk Analysis). The prime initial margin methodology is a portfolio approach using historical prices.

LCH.Clearnet Limited has developed an algorithm, LCH ERA, for the calculation of margin for cash equities and equivalent linear instruments. The LCH ERA algorithm was developed by LCH.Clearnet Limited after discussions with a member advisory group late in 1999 and was subsequently approved by the LCH.Clearnet Limited Risk Committee.

If you would like a copy of PC ERA to calculate margins please contact the people stated on the EquityClear contacts page

Click here for the ERA Parameter Files