Initial margin
Better anti-procyclicality? From a critical assessment of anti-procyclicality tools to regulatory recommendations
The authors carry out quantitative and qualitative analysis of anti-procyclicality tools and suggest policy measures intended to make APC tools more effective.
Taming the systemic risk Hydra: 10 years of mandatory clearing
Regulators, clearers and market participants reflect on a decade of the clearing requirement
US FCMs wrap up 2023 with required customer funds toeing record high
Wells Fargo, BNP Paribas marked new peaks in December
Clearing members cheer plan for more transparency on CCP margin
European Parliament wants to amend Emir 3.0 draft to put extra obligations on clearing houses
LDI firms update margin stress tests post-gilt crisis
For some managers, stress-testing models failed to reflect the convexity effects of the crisis on initial margin
IM surges at LCH following CDS users’ shift from ICEU
Figures for Q3 show 16% jump at Paris-based CDSClear
Bloating CCP default funds. New margin models. Are the two linked?
Dealers grumble that greater guaranty fund payments could undermine the ‘defaulter pays’ principle of clearing
Clearing members sour further on cash for IM collateral
Sovereign bonds remain preferred choice at top CCPs in Q3
Concentration risk ticks up at large CCPs
Top five clearing members accounted for almost half IM and open positions in Q3
JSCC’s initial margin hit all-time high in Q3
Requirements at ETP cash securities unit up fivefold, OSE-listed ETP service grows to record size
Rule change cuts ECC default fund by over a third
Member contributions hit two-year low and may fall further
CFTC sounds the alarm on clearing capacity
US regulator warns porting cannot be guaranteed in the event of a large member default
NSCC had top margin breach of $1.2bn in Q3
Margin shortfall is largest on record for the CCP and bucks wider trend across global clearing houses
Hard concentration: clearing members want clarity from CCPs
FCMs complain they struggle to pass opaque margin calculations through to end-clients
Buy side still prefers bilateral repo despite LCH margin update
New model will cut margin faster after stresses abate, but costs still high for directional trades
Indian CCPs derecognition costs BNPP, Deutsche €6bn in RWAs
Esma’s decision forces re-weighting of local exposures by EU dealers
Leveraged wrong-way risk
A model to assess the exposure to leveraged and collateralised counterparties is presented
CME’s Span 2 margin model generates systems headaches
Market participants welcome smarter margin requirements, but not the computational workload
Eurex repo haircutting to move to Prisma futures model
Switch will open cross-margining opportunities between repo and futures
EU lawmakers converge on centralising Simm validation
Industry cautiously optimistic Council and Parliament will support EBA compromise
ECC default fund changes set to cut clearing member contributions
Stress loss over margin designed to ease procyclical behaviour seen during 2022 energy shock
HKEX and LCH look to expand eligible collateral
Chinese government bonds in the frame as clearing houses seek to boost non-cash margin options
CFTC’s clearing house recovery rule splits industry
Some fear CCPs will fast-track recovery, others say any rule book will be ignored in emergency
Liquidity risk triples at Nasdaq in second quarter
Updated model extends time horizon to seven-plus days