LCH RepoClear SA goes live with new Value at Risk (VaR) model

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Summary
  • VaR as the new risk methodology[1] will be applied across 13 Euro debt markets
  • VaR offers better recognition of diversified portfolios, supports stability and predictability of the margin requirement, and enhanced capacity to adapt to market volatility
  • Reaffirms RepoClear SA’s commitment to improving margin efficiency for its members
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LCH RepoClear SA today announced it has now gone live with its enriched Value at Risk (VaR) risk methodology, applied across the 13 Euro debt markets cleared by the service. The new risk methodology is based on three key pillars: 

  • Better recognition of members diversified portfolios
  • Adjusted anti-procyclical measures to support stability and predictability of the margin requirement 
  • An enhanced capacity to adapt to market volatility, aimed at reducing events of increased liquidity requirements from the market

The VaR based framework went live on 20 June 2022, as part of RepoClear SA’s continued commitment to improving margin efficiency by enabling members with diversified and balanced portfolios to minimise costs and direct resources to adapt to new market dynamics.

Olivier Nin, Head of First Line Risk, RepoClear, Collateral and Liquidity, LCH SA said: “Through its anti-procyclical features LCH SA’s new margin framework provides the market with stability and predictability in periods of market volatility. The model, based on both historical and theoretical events, also enables LCH SA’s members to materialise diversification in their portfolios when trading and clearing across multiple debt markets.”

The VaR model will also apply to LCH SA’s €GC+ segment following its integration with RepoClear SA, expected in Q4 2022.

[1] The VaR methodology replaces the SPAN-Like methodology
 

For further information
Nandeep Roopray / Lucie Holloway
Tel: +44 (0)20 7797 1222
Email: newsroom@lseg.com   

About LCH

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