FCM models for CDS portfolio margin "varied widely"

Finra says year-long approval process revealed "notable outliers"

finra-new-york-2009

The in-house methodologies banks cooked up to support the portfolio margining of index and single-name credit default swaps (CDSs) - a way of offering savings to buy-side clearing clients - produced very different results when tested by regulators, according to Carlo di Florio, chief risk officer and head of strategy at the Financial Industry Regulatory Authority (Finra). Banks were first given approval to margin the two products under a Securities and Exchange Commission (SEC) rule published

To continue reading...