LCH EquityClear SA’s New VaR Margin Model Goes Live

LCH EquityClear SA’s New VaR Margin Model Goes Live
  • VaR as the new risk methodology[1] will be applied across 12 regulated markets and MTFs
  • VaR captures all risk factors and respective correlations through a standard approach requirement and has an enhanced capacity to adapt to market volatility
  • Reaffirms EquityClear SA’s commitment to improving efficiency for its clearing members

LCH EquityClear SA announced it has gone live with its new margin framework. The Value at Risk (VaR) methodology has been applied across all unsettled cash equity positions on EquityClear SA across 12 regulated markets and MTFs cleared by the service. The new risk methodology is based on several key pillars:

  • Better recognition of clearing members diversified portfolios
  • Well balanced model between anti-procyclicality and fair coverage
  • Additional margin enhancements offering a coherent model approach
  • Enhanced capacity to support stability and predictability of the margin requirement

The VaR based framework is part of EquityClear SA’s continued commitment to better serve its clearing members through increased margin efficiency, an enhanced set of reports, trading venue access expansion and growing local CSD connections.

Christine Huant, Head of EquityClear and CommodityClear SA First Line Risk, LCH SA said “The launch of the VaR based risk framework on cash equities for LCH EquityClear SA is an important step forward. It significantly improves the safety of the market with a well-balanced model between anti-procyclicality and level of coverage. This new risk framework also brings more flexibility, enriching our offering for clearing members.”[1] The VaR methodology for cleared cash equities replaces the previous risk methodology that was based on SPAN®.

Source: LCH

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