Federal Register #SR-LCH SA-2026-001

SEC Notice: Proposed Rule Change by LCH SA for CDSClear Risk Framework

This notice announces a proposed rule change by LCH SA, a subsidiary of London Stock Exchange Group plc (LSEG), regarding its CDSClear Risk Framework. - Government Buyer: - Securities and Exchange Commission (SEC) - Federal regulatory agency overseeing securities markets - OEMs and Vendors: - LCH SA (Banque Centrale de Compensation), subsidiary of LSEG - Products/Services Requested: - No products or services are being procured; this is a regulatory action - Proposed amendments to the CDSClear Risk Framework, including: - Margin Guide: Adjustments to lookback periods for spread margin calculations - Stress Guide: Updates to risk measures (e.g., shifting from Expected Shortfall to Value at Risk for certain margin floors) - Refinement of stress scenario definitions to ensure plausibility - Unique or Notable Requirements: - Focus on improving margin calculations and reducing procyclicality in CDS clearing - Enhancements to risk management practices for credit default swap (CDS) transactions - Compliance with regulatory requirements for prompt and accurate clearance and settlement - No procurement of goods or services; changes affect operational procedures and risk framework only

Description

This notice announces a proposed rule change filed by LCH SA concerning amendments to the CDSClear Risk Framework. The changes include modifications to the Margin Guide and Stress Guide to improve margin calculations, reduce procyclicality, and enhance risk management. Key updates involve adjusting the lookback period for spread margin calculations, changing risk measures, and refining stress scenario definitions to ensure plausibility. The proposal aims to promote prompt and accurate clearance and settlement of derivatives transactions in compliance with regulatory requirements.

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