SwapClear’s required initial margin up 3% at end-2021

IM held against interest rate positions rose to highest level in a year

Required initial margin (IM) held by SwapClear, LCH’s interest rate swaps clearing service, at end-December rose to £144.5 billion, up 3% from end-September.

The split of required IM was 37% for house accounts, 57% for client gross accounts and 6% for client net accounts. Quarter-on-quarter, house net margin increased 1%, client gross 3% and client net 15%.

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SwapClear members also had to meet an aggregate initial margin call of £1.8 billion on the peak day in the last quarter of 2021 –

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