SwapClear incurred a $558m margin breach in Q1
Liquidity and concentration add-ons covered 41% of mark-to-market exposure
Turbulent markets caused one client at LCH’s SwapClear to rack up an uncovered exposure of $558 million in the first quarter. The clearing house said that some of the shortfall would have been covered by margin add-ons for concentration and liquidity risk – but around $329 million of exposure had to be offset through additional margin top-ups.
SwapClear disclosed 1,769 initial margin breaches over a rolling 18-month period ending March 31. The average breach size over this period was $3 million
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