Initial margin
Lehman’s ghost: how three CCPs anchor models to crash
The Lehman crash still haunts the margin models of LCH, CME and Eurex, albeit in different ways
Dealers warn Asia: get ready now for 2020 IM deadline
Firms preparing to post margin in September 2020 need to complete systems by March 2019
Buy side could be biggest voice in key margin decisions
Asset managers encouraged to join Simm’s daily polling mechanism – despite some dealers’ concerns
UK regulator quizzes banks on margin gaps
Request for ‘risks-not-in-Simm’ data could usher in new Pillar 2 capital charge
JP exec calls for derivative margin changes
Move follows 13 significant margin breaches in 2018, with one breaching by as much as 245%
Exchanges warn on clearing concentration
Clearing houses urge margin offset in leverage ratio, adoption of SA-CCR and recalibration of NSFR
Preparing for the initial margin phase-in
Requirements for the mandatory exchange of initial margin are expected to be time‑consuming and laborious to implement. David White, head of sales at triResolve, discusses the lessons learned from in‑scope firms, obstacles to achieving compliance and how…
Optimisation services edge closer to EU clearing exemption
Lawmakers ask European Commission to consider if offsetting non-cleared trades could be exempt
Efficient Simm-MVA calculations for callable exotics
Algorithmic differentiation are used to simulate sensitivities to calculate MVA
Complying with regulatory initial margin and automating the collateral management process
Since the introduction of uncleared margin rules, collateral management has been thrust into the regulatory spotlight, becoming a priority for firms with over-the-counter derivatives portfolios
Brevan Howard is first non-bank caught by margin rules, sources say
Non-cleared exposures thought to exceed $1.5 trillion
Margin 'big bang' to catch tenfold more UK firms, FCA estimates
Risk Quantum analysis suggests around 50 firms will be captured by margin rules in total
Dealers and FCMs split on clearing incentives
72% of client clearing firms say leverage ratio a clearing disincentive
Swaps data: OTC margin up; futures margin down
Swaps initial margin jumps 22% year-on-year, against surprise fall in futures margin, writes Amir Khwaja of Clarus FT
Industry seeks smaller ‘big bang’ for margin
New study supports sixfold hike in 2020 compliance threshold to avoid “dormant” margin accounts
Initial margin – Preparing for the buy‑side ‘big bang’
Video Q&A: David White, triResolve
Hong Kong banks fear clashing swaps margin rules
SFC proposal could complicate trades with HKMA-regulated entities and centralised treasuries
Ice Clear Europe had a top margin breach of $91 million in Q1
A total nine breaches are reported, averaging $14 million
JSCC reinforces default funds
Member firm contributions swell ¥135.5 billion across derivatives clearing services
G-Sib swap portfolios reveal transatlantic divide
EU banks record 16% fall in non-cleared swaps, while US dealers see 9% growth
Isda faces member backlash on margin lobbying
Working groups were not consulted over Isda-funded paper that could threaten industry’s Simm
CCPs incur fewer margin breaches in 2017
LCH Ltd reports 399 fewer breaches than in 2016; DTCC 156
Fed, Goldman: wide use of SA-CCR creates problems
Isda AGM: Fed plans quick implementation, while Goldman urges caution on extending use