Articles by Costas Mourselas
Concerns roil prop clearing waters in wake of ABN losses
State-backed lender insists few clients have defected – but sharks circle, post-Parplus
Higher margins would aid clearing stability – Ice Clear chief
Using volatility floors to aid “higher margins in peacetime” would have to be globally applied policy, warns Serafini
Eurex’s risk chief on the need for boring models
Banks need stability and predictability of VAR-based margin when volatility spikes, says clearing house CRO
Deutsche insists Covid-19 won’t derail ‘bad bank’ wind-down
Lender actively seeking buyers for remaining derivatives portfolios ahead of 2022 target, says CRO
Eurex CRO: market meltdown will mean margins stay higher
Record breaches at global exchanges fuelling pressure to keep rates permanently higher, says risk chief
Clearing banks feel pinch as rates turn negative
Negative returns on dollar deposits at Eurex, Ice and LCH spur talk of business model change
Margin scuffle at Eurex blurs lines between risk and returns
Disagreement over liquidity risk add-ons may owe more to self-interest than risk management
Ronin expanded rapidly before flaming out, accounts show
Chicago prop firm tapped $450m financing line with broker-dealer as assets grew to $34bn
Leverage ratio squeeze hits options trades
With clearing banks constrained by leverage limits, prop traders fear options market lockdown
The mysterious disappearance of a Chicago trading giant
Puzzling losses, a closely guarded auction and possible redemption – sources unpick Ronin’s collapse
CME was ill-prepared for negative oil prices, FCMs say
Bourse draws criticism over timing of options model change; delay in sending key margin file
TMX backs down on blanket margin hike after members revolt
Canadian CCP will review methodology and apply margin multipliers at the product level
RBS exits listed derivatives trading and clearing
Clients served eviction notices last week as bank moves to downsize NatWest Markets unit
Hedge fund Parplus said to be source of ABN’s $200m loss
New York-based volatility fund had close ties to defaulted prop shop Ronin Capital
ABN winds down Ronin books after Vix losses
$200m loss suffered by bank’s clearing business is thought to be mystery second default
Coronavirus rout revives attacks on futures margining
FCMs call for permanently higher margins following “unprecedented” number of breaches
Oil price shock triggers big margin calls
Banks and exchanges worked through weekend in anticipation of oil collapse
A peek inside op risk managers’ coronavirus response
Op risk managers steel their firms for looming pandemic amid an expected rise in cyber attacks
ECB mulls wider clearing house access to account facilities
Including CCPs in the Eurosystem may remove the need for them to seek a banking licence
CME, Eurex rebuff calls to compensate members for losses
BlackRock and BNP want CCPs that recover from a default to reimburse members and clients
EU banks rue SA-CCR mismatch with US
European clearers are stuck with CEM until 2021, but some US banks are reluctant to switch early
BNP leads a comeback for Europe’s clearers
Brexit, leverage ratio tweaks and concentration fears could help European banks compete with US FCMs
Eurex members divided over liquidity risk charges
Banks say proposed charge too conservative, debate whether add-on should be charged directly to clients
OCC updates default auction rules to encourage buy-side bids
Clearer’s proposed changes follow client fears of being locked out