US bank sees requirement hike 27% quarter-on-quarter
CCP members were able to meet massive margin calls in March. But could they do it again?
With up to 90% lower exposures on offer, dealers say capital benefits could outweigh margin costs
The peak breach was almost $80 million in size
Liquidity and concentration add-ons covered 41% of mark-to-market exposure
Panellists from JP Morgan, Morgan Stanley and Tradeweb discuss "make or break" year for transition
Trade breaks following Covid-19 spike in futures volumes required massive clean-up job, says BofA exec
The authors analyze the role of auctions in managing the default of a central counterparty’s clearing member.
Banks need stability and predictability of VAR-based margin when volatility spikes, says clearing house CRO
Paper by BoE economist and co-authors backs ‘second-price’ auctions and limited penalties
Negative returns on dollar deposits at Eurex, Ice and LCH spur talk of business model change
Disagreement over liquidity risk add-ons may owe more to self-interest than risk management
Watchdog says carve-out needed in new recovery and resolution rules to avoid cascading default of clearing houses
Some users ignore new guidance to nominate SOFR for swap discounting
FSB overstepping brief by putting CCP operators’ equity on the hook in resolution, writes former CFTC chair
Clearers must strike balance between countercyclicality and sensitivity to risk
US and European firms back redress payments, but disagree over how they would work
Clearing houses ready launch of SORA and Honia swaps, but timing is uncertain
Negotiations on CCP recovery and resolution could provide a route to postpone Mifid rule
Puzzling losses, a closely guarded auction and possible redemption – sources unpick Ronin’s collapse
In this paper, we explore the procyclicality of initial margin requirements based on VaR volatility models.We suggest procyclicality can be reduced using a three-regime model rather than using ad hoc tools.
Five-week extension agreed after working group proposal for September delay fails to find consensus
LCH SA grew qualifying liquid resources 49% year on year
Annual recalibration means March volatility will not be reflected in margin until end-2021