SwapClear incurs record number of margin breaches
LCH’s interest rate derivatives clearing service reported over 4,000 backtesting exceptions in Q1
SwapClear, LCH’s interest rate derivatives clearing service, reported an almost three-fold rise in margin breaches during the first quarter, with the biggest initial margin (IM) call for the period clocking in at £156 million ($190 million).
Backtesting breaches over the rolling 18-month period ending March 31 amounted to 4,365. This was the highest cumulative total since record began in Q3 2015, and a net increase of 2,701 on the end-December tally.
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The peak breach in Q1 is the
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