Portfolio margining for OTC and listed rates derivatives

LCH Spider is an innovative tool that unlocks portfolio margining opportunities between listed rates and SwapClear-cleared OTC products for eligible members and clients.

A fully automated, 'no-touch' process, Spider delivers significant savings when compared to standalone clearing. What’s more, once you opt in, there is no change to your execution or clearing processes. It does all the work.

To get started, clients need to be clearing-eligible at LCH for both OTC and listed rate trades. You also need to ensure that you are using the same clearing member for both products. It’s that simple.

How it works

When let loose, Spider first analyses your listed portfolio for trades that are eligible for offsetting. It then runs a patent-pending modified simplex algorithm to pinpoint which eligible trades correlate and provide risk reduction across your aggregate portfolio.

These listed trades are then transferred to your OTC portfolio for offsetting. Your are notified, and the resulting margin savings are credited to your account.

Portfolio Margining

Single default fund

To enable LCH Spider to go to work, a single rates derivatives default fund with two margin classes has been created. Inclusion in margin class is based on where cleared positions are being margined, with a default waterfall structure in place to reduce exposures between margin classes.

Exchange Partners

We are connected with CurveGlobal and Nasdaq NLX to include their eligible futures contracts, and are open to working with additional execution venues in line with our Open Access philosophy.

What trades are eligible?

Short Term Interest Rate Futures (STIRs) are now available for offset against all cleared OTC products. Bond Futures will follow (subject to regulatory approval).

Portfolio Margining Resources

LCH Spider Brochure

Added May 23, 2016

LCH Spider in Four Easy Steps

Added May 23, 2016