LCH EquityClear operationalises VaR margin model for cash equities
14 July 2022 France
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LCH EquityClear SA has announced it has applied the Value at Risk (VaR) methodology across all unsettled cash equity positions on EquityClear over 12 regulated markets and margin trading facilities cleared by the service.
The VaR-based framework — replacing the previous risk methodology that was based on SPAN — is part of EquityClear’s continued commitment to provide clearing members with an increased margin efficiency, an enhanced set of reports, trading venue access expansion and growing local central securities depository connections.
Speaking on the announcement, Christine Huant, head of EquityClear and CommodityClear first line risk, says: “The launch of VaR-based risk framework on cash equities for LCH EquityClear 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.”
The VaR-based framework — replacing the previous risk methodology that was based on SPAN — is part of EquityClear’s continued commitment to provide clearing members with an increased margin efficiency, an enhanced set of reports, trading venue access expansion and growing local central securities depository connections.
Speaking on the announcement, Christine Huant, head of EquityClear and CommodityClear first line risk, says: “The launch of VaR-based risk framework on cash equities for LCH EquityClear 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.”
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