Rising interest rates could leave pension funds facing huge margin requirements, creating an acute liquidity crisis
As interest rates rise, big fixed-rate receivers such as pension funds will all slide out-of-the-money at the same time, potentially triggering huge margin calls. Some are already trying to soften the...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Variation margin articles
Asifma head Austen wants exclusion of initial margin from Asian jurisdictions’ derivatives market regulation
Regulators suggest WGMR haircut will not apply to variation margin, reducing the threat to the viability of the standard CSA
The health of the financial system increasingly depends on the pricing models used at a handful of derivatives clearing houses. With these venues planning to take on trickier products, some sceptics are asking whether their models are up to the job. Laurie...
Pension funds tend not to have a lot of cash lying around, making it difficult for them to meet clearing house margin calls. Specialist asset manager Insight Investment is pressing for a solution. By Tom Osborn
Nobody knows how much margin will be consumed as over-the-counter derivatives move to a post-crisis regime based on central clearing and two-way collateral posting, but there is one certainty – the less an individual firm has to post, the happier it...
Clearing houses can call for margin multiple times a day to protect against wild markets. But the burden of meeting those calls will initially fall on member firms – potentially creating a source of severe funding stress. By Matt Cameron
Draft European Securities and Markets Authority rules on indirect clearing caused uproar when they appeared in June. The regulator removed the most controversial elements in its final text, but dealers are still in the dark about the capital treatment...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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