LCH Ltd’s RepoClear margin model gets a makeover

Changes aim to make margin models for gilt repo more sensitive to market moves


The model for calculating initial margin at LCH’s UK-registered RepoClear service is set to be revamped, as the level of required margin for cleared gilt repo remains high nearly a year after the UK’s mini-budget crisis.

Initial margin for cleared gilt repo rose from £9.6 billion ($12.3 billion) in the third quarter of 2022 to £11.6 billion in Q4 that year at the London-based clearing house, according to regulatory disclosures. The figure fell back to £10.6 billion in Q1 2023.


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