Value-at-Risk (VaR) Margin Methodology

LME Clear will be implementing Value-at-Risk in 2019, subject to regulatory approval.

VaR is a widely adopted risk methodology, used in many asset classes by various central counterparties and other financial institutions.

As part of our recent Discussion Paper engagement process, we outlined the analysis we’ve undertaken into whether members and clients would benefit from a custom-designed VaR methodology to calculate initial margin for the LME market. Both the analysis and the Discussion Paper feedback confirmed that members and their clients are keen for the LME to pursue VaR, and we will work towards this as part of our Strategic Pathway.

We've put together a list of frequently asked questions with further details about VaR and what the change in margin methodology means.

We will update this page as frequently as possible and communicate any changes or further information via the usual channels. Please bookmark this page and check back for more details.

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