Initial margin
A cost–benefit analysis of anti-procyclicality: analyzing approaches to procyclicality reduction in central counterparty initial margin models
In this paper, the authors suggest how margin setters and policy makers might measure procyclicality and target particular levels of it by recalibrating parameters in a margin model to reduce its procyclicality or by applying an anti-procyclicality tool.
At LCH, required IM rose over Q3
Required minimum demanded of clients increased at ForexClear, RepoClear and EquityClear, but fell at SwapClear
One NSCC member paid record $40bn to cover dues in Q3
The cash call was 141% larger than the previous quarter
Review of 2021: Default, revolt, reform
Archegos, GameStop, the last days of Libor – markets just about coped in a bleak and disorderly year
Margin rules lead to rise in Asian NDF clearing volumes
LCH and Eurex position themselves for NDF clearing uptick ahead of next UMR phase
EU’s IM model validation rules may put Simm in jeopardy
Draft RTS creates validation hurdles and cross-border conflicts, industry warns
Client margin up 7% at Bank of America’s swaps unit
Aggregate required client margin across all FCMs at highest point since second quarter of 2020
CME delays Span 2 rollout till at least mid-2022
FCMs ask bourse to postpone long-planned switch to new VAR model to allow more time for testing
Morgan Stanley cleared swaps jump 9% in Q3
Latest quarterly increase, alongside that of Bank of America and State Street, bucks the trend across top US banks
Model changes could raise Eurex swaps margins by over a fifth
Covid-induced market volatility becomes permanent stress scenario to nix procyclicality
FX prime brokers jockey for buy-side flows as IM phase 6 looms
Banks say concentrating trades through single dealer would ease paperwork logjam for asset managers
Credit Suisse’s US clearing unit cuts client margin by 37%
Required segregated customer funds down more than a third since Archegos blowup
Energy vol puts spotlight on Ice’s TTF futures margin
Clearing firms say exchange was slow to react as natural gas prices spiked
Initial margin at LCH Ltd rose in Q2
RepoClear and ForexClear saw biggest increase over the quarter
State Street launches tri-party custody for IM clients
Third-party provider begins shifting phase five clients to full-service collateral model
Phase five margin queues spur calls for custody revamp
Custodians urged to update “antiquated technology” ahead of three-fold jump in phase six initial margin onboarding
From the margins: CGBs vie to join the collateral club
Can CGBs emulate US Treasuries as initial margin on cross-border derivatives trades?
OTC derivatives clearing: no turning back
Clearing advocates have plenty of reasons to feel optimistic about the future
Ion expands into OTC markets with Clarus deal
Tech titan adds real-time swaps margin analytics to its post-trade services for listed derivatives
IM phases five and six collide as buy side delays readiness
More than 1,000 segregated accounts for uncleared margin may still need to be opened post-deadline
Client margin down 33% at Credit Suisse’s swaps unit in Q2
Drop in IM could signal clients jumping ship in the aftermath of Archegos blowout
Uncleared margin rules – Should only geeks care about initial margin calculation?
Why the consequences of inadequate initial margin calculation should not be underestimated
GameStop frenzy triggered $2 billion margin breach at OCC
Total initial margin held by the OCC's default fund stood at $114.4 billion in Q1
JP Morgan warns hedge funds to expect intraday margin calls
US bank may demand variation margin ‘up to seven’ times a day after Archegos default