LCH RepoClear SA upgrades its margin framework
21 June 2022 Paris
Image: AdobeStock/saiko3p
LCH RepoClear SA has upgraded its Value at Risk (VaR) methodology across its core euro debt markets.
The Paris-based repo and cash bond clearing arm of LCH Group went live with this new margin framework on 20 June across the 13 euro-currency fixed income markets serviced by this clearing entity.
The new VaR model is designed to enable better recognition of members鈥� diversified portfolios and to incorporate adjusted pro-cyclical measures to support stability and predictability of margin requirements.
This also provides greater capacity to respond to market volatility designed to reduce events that trigger potential liquidity stress within the market.
This model will also apply to LCH SA鈥檚 鈧珿C+ segment, supporting clearing of euro general collateral baskets, following its proposed integration with RepoClear SA which is expected to finalise in Q4 2022.
Commenting on the development, Olivier Nin, head of first line risk for RepoClear Collateral and Liquidity at LCH SA says: 鈥淭hrough its anti-procyclical features LCH SA鈥檚 new margin framework provides the market with stability and predictability in period of market volatility.
鈥淭he model, based on both historical and theoretical events, also enables LCH SA鈥檚 members to materialise diversification in their portfolios when trading and clearing across multiple debt markets鈥�.
The Paris-based repo and cash bond clearing arm of LCH Group went live with this new margin framework on 20 June across the 13 euro-currency fixed income markets serviced by this clearing entity.
The new VaR model is designed to enable better recognition of members鈥� diversified portfolios and to incorporate adjusted pro-cyclical measures to support stability and predictability of margin requirements.
This also provides greater capacity to respond to market volatility designed to reduce events that trigger potential liquidity stress within the market.
This model will also apply to LCH SA鈥檚 鈧珿C+ segment, supporting clearing of euro general collateral baskets, following its proposed integration with RepoClear SA which is expected to finalise in Q4 2022.
Commenting on the development, Olivier Nin, head of first line risk for RepoClear Collateral and Liquidity at LCH SA says: 鈥淭hrough its anti-procyclical features LCH SA鈥檚 new margin framework provides the market with stability and predictability in period of market volatility.
鈥淭he model, based on both historical and theoretical events, also enables LCH SA鈥檚 members to materialise diversification in their portfolios when trading and clearing across multiple debt markets鈥�.
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