LCH SA incurs record number of margin breaches in Q1
The listed derivatives unit of LCH’s Paris-based clearing house reported a sixfold rise in margin breaches during the first quarter, with the biggest initial margin call for the period clocking in at a massive €100 million ($113 million).
Backtesting breaches over the rolling 18-month period ending March 31 amounted to 147, up from 23 at end-2019.
The peak breach in Q1 eclipsed the previous record of €3 million posted in Q4 2019. The average margin breach size was €5 million.
!function(e,iOnly 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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] 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 [email protected]
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 [email protected]
More on Risk Quantum
7 days in 60 seconds
Covid bank tests, swap fix deferred and SOFR switch
The week on Risk.net, October 17-23, 2020
Receive this by email