SwapClear model update causes IM hike

Maximum aggregate IM call for Q3 was £3.7 billion

Required initial margin (IM) held by SwapClear, LCH’s interest rate swaps-clearing service, at end-September was £145.1 billion, up 16% from end-June and 46% from a year-ago, following changes to its value-at-risk model.

The split of required IM was 40% for house accounts, 54% for client gross accounts and 6% for client net accounts. Quarter-on-quarter, house net margin increased 4%, client gross 24% and client net 39%. 

On July 22, SwapClear updated the parameters of its IM model, increasing

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