Wrong-way add-on helped LCH mop up VTB default

Margin supplement bought precious time to formulate a wind-down strategy

A wrong-way risk add-on of roughly 25%, introduced by LCH, helped resolve the default of Russian investment bank VTB’s cleared equity portfolio on March 3, Risk.net can reveal. VTB was unable to post additional margin or deliver cash and stock to settle trades at LCH EquityClear after its assets in the UK and US were frozen by sanctions on February 25. With Russian securities in free-fall, a potentially damaging default seemed to be on the cards. Instead, LCH closed out VTB’s portfolio in less

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