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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
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