Initial margin
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
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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
Banks win concessions in battle over CCP margin models
European Commission proposal would shine light on clearing house margin charges
MEP: Basel too slow to deal with clearing capital clash
Isda AGM: Swinburne criticises Basel’s lethargy on clash between leverage and clearing rules
Rethink urged over Basel’s counterparty exposure framework
Industry calls for softening of SA-CCR amid claims it could lead to doubling of calculated exposures
A sound modelling and backtesting framework for forecasting initial margin requirements
Anfuso, Aziz, Loukopoulos and Giltinan propose a method to develop and backtest forecasting models for IM
Does initial margin eliminate counterparty risk?
Andersen, Pykhtin and Sokol show the existence of residual exposure after initial margin posting
Banks seek escape from inter‑affiliate margin burden
Internal transactions contributing “substantial” amount of banks’ initial margin requirement
Monthly swaps data review: ETD vs OTC margin totals
New disclosures from big CCPs show listed market consumes more margin than cleared swaps
Fear of something worse seen as key to CCP recovery
Forcing banks to pick up defaulted trades is “viable option”, says Fed researcher
OCC seeks leverage ratio relief as liquidity shrinks
85% of CCP’s volumes now short contracts on 20 biggest names, claims risk chief