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.
Inflation-linked
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Risk management
Calibrating interest rate curves for a new era
Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…
Bankers – shape up or ship out, says UBS compliance head
Tough approach comes as ECB prepares new guidance on conduct risk for 2024 release
Op risk data: WhatsApp fines keep on coming
Also: ‘Five families’ stock-lending cartel pays up; double hit for Wells Fargo. Data by ORX News
The impact of emerging risk on credit portfolio management
Bank credit portfolio managers are increasingly finding that non-financial risks, such as cyber risk and climate risk, are falling under the remit of credit portfolio management (CPM). This will also be impacted by the upcoming Basel III Final Reforms,…
Bankers call for overhaul of EBA stress tests
Support for multiple scenarios, but only if fixed assumptions and variables are scaled back
Do all roads lead to multi-scenario Fed stress tests?
This year’s CCAR faced criticism for underweighting the risk of higher-for-longer inflation
Vendors under new scrutiny in CFTC due diligence push
Planned cyber resilience regime will force dealers to subject “critical” tech vendors to stricter audit
Does it matter if Tom Hayes is acquitted?
It matters to him, but changes to UK rules are meant to avoid an exact repeat of the Libor case
