Initial margin
DTCC members add $26bn to default funds in 2018
Clearing house's own contributions dipped $8.5 million last year
Cleared swaps surged among US banks in 2018
Cleared swaps accounted for 49% of notionals at end-2018
Clearing members inject $2.5bn to JSCC default funds in 2018
Higher contributions likely reflect increased exposures at the CCP
Nasdaq auction failure ignites anti-clearing backlash
CCP members wary of illiquid risks
Could machine learning improve CVA and IM calculations?
Banks have built ways to calculate CVA more quickly, but neural networks could offer more accurate method
Drop margin on swaps leaving Libor, Basel says
Joined by Iosco, Basel says moves to Libor successors should not be saddled with margin requirements
Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)
In this paper, the author applies stochastic (backward) automatic differentiation to calculate stochastic forward sensitivities.
Swaps data: SOFR volume and margin insights
Data shows recent leap in SOFR trades – and hints at growth in synthetic swaps
Hope fading for margin threshold hike
Smaller buy-side firms could still escape compliance burden via expected regulatory guidance
Nasdaq default came at time of mass margin breaches
CCP's clearing members incurred 49 margin breaches as of end-September
Ice Clear Europe posts $1.2bn margin breach in Q3
In total, 55 margin breaches reported at end-September 2018
CME trims default fund in Q3
Non-interest rate futures and options default fund reduces by $3.7 billion
OCC default fund drops $5bn under new approach
Switch to stress-testing based approach triggers drop in required default resources
Data shortage hits margin models for Asia banks
Thin trade volumes in local derivatives threaten to undermine key tests for initial margin models
Clearing house of the year: CME Clearing
Risk Awards 2019: Clearer moved early to ramp up default resources and counter threat of February volatility spike
Rumble in the IM jungle: how new platforms match up
After testing rival margin services, banks now have to pick a favourite – one has better tech, the other is cheaper
Banks warned on holes in EU’s proposed Brexit relief
Potential EC, French and German no-deal relief is expected to be short-lived and incomplete
Hedge fund giants lead fourth wave of IM candidates
BlueCrest, Capula, Citadel, Millennium and Rokos expected to be in scope for next phase of margin rules
Quant of the year: Alexei Kondratyev
Risk Awards 2019: A glimpse of the future? Quant uses ML to model term structure and crunch margin costs
Law firm of the year: Linklaters
Risk Awards 2019: Linklaters at forefront of major changes to OTC derivatives market
Ice changing margin model for move into options
CCP aims for Q1 2019 roll-out of new Monte Carlo-based methodology as it plans launch of index swaptions
Banks demand greater scrutiny of CCP margin add-ons
Nasdaq Clearing blow-up prompts questions over CCPs’ methods of applying top-ups to concentrated positions