Initial margin
Podcast: Kaminski on lessons from commodity market defaults
Professor Vince Kaminski analyses Nasdaq and PJM defaults
Don’t fear the clearer
Wider use of CCPs not systemic threat – but participants do face hard-to-measure risks
HKEX clearing head talks margin and auctions post-Nasdaq
CCPs have work to do to restore confidence in clearing, but Roland Chai has a plan
Goldman welcomes Basel’s rationalisation drive
Isda AGM: Praise for efforts to curb fragmentation, but EU official defends rollback of deference
Japanese firms delay IM plans due to netting uncertainty
Those caught in phase five are awaiting law change to enable use of custodian banks
At Ice Clear Europe, 84 margin breaches in 2018
Clearing house posted just nine breaches in 2017
OCC members' default fund payments drop 39% in 2018
Calculation switch shaves billions off mandatory contributions
Will the Nasdaq default spur CVA for CCPs?
Quant proposes model to calculate bank credit risk exposure to CCP
CME had top margin breach of $138 million in 2018
Margin shortfall triggered by "extreme volatility" in natural gas markets
LCH ForexClear posts two margin breaches in Q4 2018
Second-largest breach since public disclosure began was $17.8 million in size
CFTC paves way for no-deal Brexit swaps transfers
Affiliate transfers would not trigger US margin rules if UK crashes out of EU without a deal
Dealers seek clarity on buy-side IM relief
Hundreds of buy-side firms may still need to calculate margin and get models approved
DTCC members add $26bn to default funds in 2018
Clearing house's own contributions dipped $8.5 million last year
Cleared swaps surged among US banks in 2018
Cleared swaps accounted for 49% of notionals at end-2018
Clearing members inject $2.5bn to JSCC default funds in 2018
Higher contributions likely reflect increased exposures at the CCP
Nasdaq auction failure ignites anti-clearing backlash
CCP members wary of illiquid risks
Could machine learning improve CVA and IM calculations?
Banks have built ways to calculate CVA more quickly, but neural networks could offer more accurate method
Drop margin on swaps leaving Libor, Basel says
Joined by Iosco, Basel says moves to Libor successors should not be saddled with margin requirements
Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)
In this paper, the author applies stochastic (backward) automatic differentiation to calculate stochastic forward sensitivities.
Swaps data: SOFR volume and margin insights
Data shows recent leap in SOFR trades – and hints at growth in synthetic swaps
Hope fading for margin threshold hike
Smaller buy-side firms could still escape compliance burden via expected regulatory guidance
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