Non-standard clearing house margin for energy trades would increase RWAs unless relief granted
Proposal from energy ministers to ease collateral burdens blasted as “silly” and “terrible idea”
Widening eligible collateral on table; ECB intervention would need government indemnities
Energy price spikes force clearing firms to consider extreme or even ‘implausible’ scenarios
Banks stress-test clients, add big margin multipliers to insulate against risk of 100% price moves
Industry says proposed €1 billion increase would not be enough following spike in wholesale prices
IM held against F&O positions hit all-time high, as number of margin breaches nudged higher
US unit of Japanese bank overtakes Credit Suisse, Barclays, UBS and Interactive Brokers
Dynamics of biofuel prices on the European market: the impact of EU environmental policy on resources markets
This paper explains the major drivers of biodiesel market prices by examining agricultural resource prices and gasoil prices for automotive fuels in the context of European Union environmental policy.
German move to backstop margins with liquidity facility welcomed by energy producers – but others say it’s unnecessary
Price volatility in energy markets behind the largest cash call on record by the CCP
More than half of the CCP’s loss-absorbing funds is now deposited in central bank balances
JP Morgan reported the largest monthly increase across the 48 reporting firms
EFET warns energy market participants risk being unable to meet “unprecedented margin requirements”
Directional predictability between returns and trading volume in the futures markets of energy: insights into traders’ behavior
This papers aims to test for directional predictability between returns and volume (and vice versa) in the energy futures markets, employing a cross-quantilogram approach that enables the assessment of the temporal association between two stationary time…
Japanese bank overtakes Credit Suisse, UBS and Interactive Brokers to become seventh-largest FCM in required margin
XVAs and counterparty credit risk for energy markets: addressing the challenges and unravelling complexity
In this webinar, a panel of quantitative researchers and risk practitioners from banks, energy firms and a software vendor discuss practical challenges in the modelling and risk management of XVAs and CCR in the energy markets, and how to overcome them.
This paper present a novel systematic commodity trading model utilizing a time series momentum strategy.
In this paper, different machine learning approaches are applied to forecasting future yearly price trends in the natural gas Title Transfer Facility market in the Netherlands.
Lack of agreement on how to identify whether borrowers are converging with net zero targets
Hedging strategies were powerless to protect firms from runaway energy price rises
Clearing firms say exchange was slow to react as natural gas prices spiked
A fractional Brownian–Hawkes model for the Italian electricity spot market: estimation and forecasting
This paper proposes a new model for the description and forecast of gross prices of electricity in the liberalized Italian energy market via an additive two-factor model.