- 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
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
