Value-at-Risk (VaR) Margin Methodology

LME Clear will be implementing Value-at-Risk (VaR) margin methodology 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.

LME Clear Focus session - featuring a VaR update

On Thursday 11 October, as part of LME Week in London, we'll be holding a clearing update session featuring a detailed update on our transition to VaR, including a panel discussion with key industry stakeholders. The session is free and will begin at 15.00 (London time). If you are interested in finding out more and registering to attend, please visit the event page.


LME Clear 保证金算法的改变对你意味着什么. 

关于LME Clear改用「风险价值」(VaR)计算初始保证金的简介

VaR是很多清算所以及其它金融机构在评估不同类型资产风险值时所普遍采用的风险计算方法。根据LME Clear的分析结果显示,若使用针对于LME市场所量身订制的VaR模型来计算LME市场的初始保证金,LME的会员及客户普遍会因为这一更加有效的风险计算而受惠。我们在《LME战略讨论文件》中亦有阐述这一点,而所得到的市场反馈表示会员及其客户非常支持LME转用VaR计算其初始保证金。LME在其《战略路径》中进一步确定了此计划。



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