Wednesday June 22 2022

News Source: Global Exchanges

Focus: Trading Systems and Technology

Type: General

Country: UK

Link: https://bit.ly/3y7cBJ4




On 21st June 2022, London Clearing House (LCH) RepoClear SA 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 20th 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.

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

Click on the above link for further information