LCH Spider Portfolio Margining for Interest Rate Derivatives Live05.25.2016
LCH.com — LCH, the global clearing house, today announced that it has launched LCH Spider, its portfolio margining tool for interest rate derivatives. The go-live follows receipt of all necessary regulatory approvals. From today, eligible members and clients using LCH’s SwapClear and Listed Rates services can now offset margin between OTC and listed interest rate derivatives.
LCH Spider is a fully automated service that analyses member and client portfolios and selects which eligible trades correlate and provide risk reduction. If a member has opted in, the listed rates are then transferred to their OTC portfolio for offsetting and delivering risk and collateral efficiences. Initially, portfolio margining will be available for Sterling and Euro-denominated short term interest rate futures (STIRs) with plans to add further eligible contracts, in line with customer demand and LCH’s risk management framework.
LCH Spider is available on an “open access” basis, to any trading venue, that is connected to LCH and which lists suitably correlated interest rate derivatives. LCH has worked with Nasdaq NLX to include its eligible futures contracts as part of LCH Spider’s go-live. LCH is also set to introduce CurveGlobal contracts following the platform’s planned launch in Q3 2016. The implementation of MiFID II will further drive the possibility of greater risk offsets. Members and clients looking to calculate the potential benefits of using LCH Spider on their portfolios can simulate this using SMART Spider, a new extension of LCH’s margin simulation tool.
Daniel Maguire, Global Head of Rates and FX Derivatives, LCH, said: “LCH Spider has the potential to be a game changer for the rates market and we are delighted to deliver this service to our members and their clients. This is another example of our innovation and commitment to partnering with the market to deliver greater choice and efficiencies, in line with LCH’s robust risk management and regulatory framework.
“With the world’s largest interest rate derivatives liquidity pool at SwapClear and our open access approach, LCH Spider represents the next step in portfolio margining and is a compelling offering for those looking to manage their risk and collateral obligations more efficiently.”
For further information
Lucie Holloway / Rhiannon Davies, Tel: +44 (0)20 7797 1126 /+44 (0)20 7426 7523
LCH is a leading multi-asset class and multi-national clearing house, serving major exchanges and trading platforms as well as a range of OTC markets.
Crypto derivatives need central clearing to become a major asset class.
Clients can agree collateral on a real-time basis and increase efficiencies.
Margin and collateral are a new use case for bond ETFs.
Additional volatility due to unforeseen macro events, particularly the conflict in Ukraine, were contribers.
A clearing obligation for OIS referencing SOFR could help avoid liquidity fragmentation.