LCH EquityClear SA goes live with new Value at Risk (VaR) margin model for Cash Equities
- VaR as the new risk methodology will be applied across 12 regulated markets and MTFs
- VaR captures all risk factors and respective correlations through a standard approach requirement and has an enhanced capacity to adapt to market volatility
- Reaffirms EquityClear SA’s commitment to improving efficiency for its clearing members
LCH EquityClear SA today announced it has gone live with its new margin framework. The Value at Risk (VaR) methodology has been applied across all unsettled cash equity positions on EquityClear SA across 12 regulated markets and MTFs cleared by the service. The new risk methodology is based on several key pillars:
- Better recognition of clearing members diversified portfolios
- Well balanced model between anti-procyclicality and fair coverage
- Additional margin enhancements offering a coherent model approach
- Enhanced capacity to support stability and predictability of the margin requirement
The VaR based framework is part of EquityClear SA’s continued commitment to better serve its clearing members through increased margin efficiency, an enhanced set of reports, trading venue access expansion and growing local CSD connections.
Christine Huant, Head of EquityClear and CommodityClear SA First Line Risk, LCH SA said “The launch of the VaR based risk framework on cash equities for LCH EquityClear SA is an important step forward. It significantly improves the safety of the market with a well-balanced model between anti-procyclicality and level of coverage. This new risk framework also brings more flexibility, enriching our offering for clearing members.”
 The VaR methodology for cleared cash equities replaces the previous risk methodology that was based on SPAN®.
For further information
Nandeep Roopray / Lucie Holloway
Tel: +44 (0)20 7797 1222
LCH is a group of leading multi-asset clearing houses that provides proven risk management capabilities across a range of asset classes. As demand for robust clearing services continues to grow, LCH is committed to maintaining the highest standards of risk management across all our services.
As the markets’ partner, LCH operates an open access model, offering a choice of execution venues, delivering unprecedented choice and efficiencies to the marketplace.
LCH operates clearing houses around the world, with clearing houses incorporated in the UK and France and with offices in the United States and the Asia Pacific region. It offers clearing services across asset classes including OTC and listed rates; CDS and FX; fixed income; commodities; cash equities and equity derivatives. LCH also serves the non-cleared derivatives market through LCH SwapAgent, a service which extends the efficiencies and infrastructure of clearing to the market, without acting as a central counterparty.
LCH is majority owned by London Stock Exchange Group (LSEG.L), an international markets infrastructure business that sits at the heart of the world's financial community.
Further information on LCH can be found at www.lch.com