HKEX News Events Education Contact us Account METALS TRADING CLEARING MARKET DATA PHYSICAL SERVICES Search the LME Home Clearing LME Clear projects Clearing LME Clear projects QUICK ACCESS Rules and regulations Value-at-risk (VAR) margin methodology VAR Following discussions with and feedback from LME members and their clients, LME Clear has announced its intention to implement Value-at-Risk (VaR) margin methodology for the calculation of initial margin. This project has been postponed and we will communicate updated timelines in due course. What is VAR? VaR is a widely adopted risk methodology, used in many asset classes by various central counterparties and other financial institutions. Each organisation which decides to adopt a VaR-based margin model needs to ensure that the model of choice is fit for their market's particular requirements in accordance with the regulatory requirements that the organisation is subject to. To achieve this, LME Clear has not only gone through a thorough model selection process for the right composition of our VaR model, but we have also customised the model to fit the unique characteristics of the LME market. All the model parameters and customisation choices have been through a thorough third party independent validation prior to receiving the regulatory non-objection. As part of our market-wide 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 move to a VaR-based methodology. ISVs and VAR Our Technical Account Management (TAM) Team have been engaging with our ISV community, outlining the new methodology and the changes this will bring for member firms and their clients, and what ISVs will need to do to get ready for the transition. The following Back Office ISVs have been most closely involved in the LME VaR project to date: Brady plc Broadridge Financial Solutions Ltd FIS Global ION Group Microgen Financial Systems Murex If you have any questions about the move to the new margin methodology and would like to discuss these from an ISV perspective, please contact our TAM team. 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. VAR information in Chinese 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。 Contact us For further information please get in touch. Contact us STAY UP TO DATE Register with LME.com Receive full access to all our price data and gain access to our monthly LME newsletter, packed with market tips and insights from our on-staff specialists. Register now Metals Trading Clearing Market data Physical services About About the LME Committees Governance Corporate Business continuity FAQs Regulation LME Rulebook (Download) LME Clear Rulebook (Download) Guide to market structure (Download) Market regulation Benchmark regulation Pre-trade transparency Brexit Rules Arbitration Responsibility Responsible sourcing Sustainability Conduct Diversity and inclusion Charity Corporate disclosure CONTACT US London +44 (0)207113 8888 10 Finsbury Square London EC2A 1AJ Singapore +65 6535 5035 9 Battery Road #07-02 MYP Centre Raffles Place Singapore 049910 Register Log in Legal Privacy statement Cookie policy Modern slavery statement Website T&C's Email disclaimer Cyber security awareness © 2021 The London Metal Exchange - an HKEX Company. All rights reserved. This website uses Cookies By clicking “Accept All Cookies”, you agree to the storing of cookies on your device to enhance site navigation, analyze site usage, and assist in our marketing efforts. Cookies Settings Accept All Cookies