Initial margin
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
Third firm joins race to solve IM ‘big bang’
Margin utility AcadiaSoft will create docs for users, but also connect with rival services
MVA: Forecasting initial margin for client trades and dynamic hedges
In its latest margin survey, the International Swaps and Derivatives Association reported that initial margin (IM) collected by the top 20 firms increased by 22% to $130.6 billion at the end of 2017. As new transactions become subject to IM requirements,…
Choosing the right model for non-cleared OTC margining
When the final phase of the swaps market’s new margining regime takes effect in 2020, hundreds – possibly thousands – of buy-side firms will be hit by complex margin requirements.
Swaps data: cleared vs non-cleared margin
Growing margin burden for non-cleared swaps means cleared margin is likely to grow further, argues Amir Khwaja
Esma’s Brexit novation relief falls short
Proposed clearing reprieve too narrow to alleviate burden of mass swaps migration
SGX to exit swaps clearing business
Decision will leave some contracts without a CCP from next April
Banks scent margin offset in US SA-CCR proposal
US agencies seek comment on whether IM should be recognised in leverage ratio calculations
After Nasdaq, cracks appear in foundation of clearing
Default fund loss triggers debate on risk sharing, auction rules and ‘skin in the game’ at CCPs
