Value-at-Risk (VaR) Margin Methodology

LME Clear is currently exploring the introduction of a new margin methodology for the LME market.

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.

VaR will be implemented - subject to regulatory approval - in 2019.

This page will be updated regularly with further information, presentations and documentation. Bookmark the page and check back for more details. 

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