CFTC, Treasury officials boost Isda push for IM revamp
Isda AGM: Research paid for by trade body calls for variable MPOR
Giancarlo: replace 10-day MPOR with tailored approach
Read all our coverage from the Isda AGM here
A senior US regulator and an official at the US Department of the Treasury have added their weight to a derivatives industry campaign to rethink the way initial margin is calculated for non-cleared swaps.
Rules finalised by US prudential regulators in 2015 require derivatives users to post initial margin on non-cleared trades, calculated using a 99% confidence interval and 10-day liquidation horizon – or margin period of risk (MPOR). Margin for
More on Regulation
Most read on Risk.net
- Regulators to scrutinise CCP default auctions
- People moves: Bank of America names new Apac chiefs, Wilkinson leaves LGIM, Lloyds loses Coutte, and more
- VAR surges, revenues tank at French banks hurt by volatility
- A rush on Libor fallbacks to head off holdouts
- Swaps data: SOFR volume and margin insights
Back to Top