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Regulators plan to delay IM ‘big bang’ – market sources
Most see the final phase of the initial margin rules coming a year later, in September 2021
Swaptions face valuation hit on discounting switch
Move to new reference rates could hurt some swaptions holders, while others enjoy “windfall gain”
JP Morgan equity VAR surges 56%
Total trading VAR stood at $44 million for Q2
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Risk Quantum
Data insights, delivered daily
Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
Editors' choice
Drax, Brevan and the rise of the agency broker
JB Drax has become a key broker for at least 15 buy-side firms, including Brevan Howard. But what is driving the success of the secretive agency broker and its peers?
Big Figure
Bewitched!
CME Clearing’s futures and options clearing service issued a variation margin payment call of $1.5 billion to one member in the first quarter of the year – the largest made by the central counterparty since Q2 2018. The call occurred on March 15, as a series of futures and options contracts expired simultaneously – an event known as a ‘quadruple witching’. The peak VM call was 56% bigger than the one of $975 million made in Q4 2018.
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