Initial margin
Capital savings from new IM regime elude dealers
Slow model development and approval processes mean banks yet to see benefits expected under margin rules
BNY Mellon’s Neal on funding, liquidity and collateral
Markets head Michelle Neal says firm has “big responsibility” after JP Morgan’s tri-party repo exit
Repeal CEM; reform SA-CCR
Capital framework hurts clearing resilience, Citi execs argue
Swaps users face potential margin bill for Libor transition
New margin rules could snare legacy trades amended to reference alternative rates, lawyers warn
Effective collateral management strategies
Sponsored webinar: Calypso
Ashurst non-netting opinion on China splits lawyers
EU banks using opinion for margin exemption, at possible cost of capital savings
Managing market liquidity risk in central counterparties
This paper discusses the different approaches to incorporating market liquidity risk within a CCP’s default waterfall and the challenges that these approaches pose.
Initial margin model sensitivity analysis and volatility estimation
This paper presents a new approach to parameter selection based on the statistical properties of the worst loss over a margin period of risk estimated by the margin model under scrutiny.
All MVA needs is a first-mover
Fair value adjustment for initial margin should be reflected in accounting statement
Accounting for initial margin under IFRS 13
Chris Kenyon and Richard Kenyon show why initial margin should be part of the fair value of a derivative
CCP margin backtests can hide flaws, research finds
In richer test, ‘filtered’ VAR beats five other measures
Mnuchin makes life harder for quants
Proposed CCAR changes make KVA calculations even more complex
Margin settlement risk and its effect on CVA
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XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix
LCH limits substitution to tackle quarterly collateral flight
CCP clamps down on bond-for-cash switches driven by reporting and quarter-end repo spikes
ECB requests powers to regulate CCPs
Brexit heightens concern over importance of central counterparties
Banks turn to synthetic derivatives to cut initial margin
Options-based instruments can halve initial margin for some non-cleared products, say dealers
Just six banks caught by phase two of IM regime
Four EU, one Japanese and one Australian bank to start posting initial margin on non-cleared trades from September
Is it $5bn or $77bn? Data enters the euro clearing row
Eurex set to challenge LCH estimates of clearing relocation costs
Japan seeks speedy margin rule equivalence decisions
The country has equivalence agreements with Canada and the US, but not Europe
Margin rules spur Middle East netting upgrades
Bahrain, Qatar, UAE seek to bolster swaps safeguards
Banks urged to engage custodians in time for IM phase two
Isda AGM: Start legal negotiations now or risk missing September deadline, warn dealers
FSB asks whether CCPs could become shock-transmitters
Isda AGM: New analysis – due next month – looks at clearing network risks