LCH RepoClear SA Adopts Enhanced VaR-Based Margin Framework

LCH RepoClear SA, LCH's market-leading government bond cash and repo clearing service, has recently announced the utilization of its new Value at Risk (VaR) risk methodology, which went live on 20 June 2022.

The enriched risk methodology will be applied across the 13 Euro debt markets cleared by RepoClear SA, part of the company’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.

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"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," said Olivier Nin, Head of First Line Risk, RepoClear, Collateral and Liquidity, LCH SA.

LCH is a group of leading multi-asset clearing houses that provides proven risk management capabilities across a range of asset classes. It is majority owned by London Stock Exchange Group.

This April, Commonwealth Bank of Australia has joined LCH SA​, becoming the first Australian financial institution to join the Paris-based clearing house. This underlines the ever growing demand for the RepoClear service from outside Europe. Membership of RepoClear SA provides access to the largest euro denominated pool of cleared repos, significant capital and operational efficiencies, including balance sheet netting and intra-day liquidity management.