Initial margin
Worst-case double default would have caused breach at CME
Stress loss based on hypothetical scenario was $390m higher than prefunded resources
Why Isda ditched ‘off-cycle’ updates for Simm
Ad hoc updates riled industry, while regulators pushed for predictability in model recalibrations
Members’ contributions to MBSD’s default fund up 11%
CCP’s skin in the game also up slightly, pushing aggregate amount to highest since Q1 2022
CFTC plan to relax MMF margin restriction sparks debate
Industry welcomes proposal to lift ban on repo-using funds as eligible IM, but some warn MMFs bring risks
Post-crisis accounting trick haunts clearing brokers
FCMs gave up interest income for capital savings when rates were low. Now, some want it back
FCM client margin for swaps hit record high in June
JP Morgan, Barclays drive required funds increase, with UBS doubling prior-year figure
Like your CSA dirty? It’ll cost more
Buy-side firms have to pay up if they want to post corporate bonds to their dealers, but prices vary
Emulating the Standard Initial Margin Model: initial margin forecasting with a stochastic cross-currency basis
The authors propose a stochastic cross-currency basis model extension to resolve the impact of missing risk factors when estimating initial margin and margin valuation adjustments in cross-currency basis swaps.
LCH Ltd’s RepoClear margin model gets a makeover
Changes aim to make margin models for gilt repo more sensitive to market moves
JSCC’s IRS unit hit by record margin breaches
Interest rate volatility drives coverage level below CCP’s risk appetite, triggering IM methodology review
Sovereign bonds top choice for IM collateral
Drive towards higher interest-earning assets strongest at CME and LCH among top CCPs
RepoClear’s default fund halves in Q1
Elevated initial margin allows LCH service to scale back second line of defence to lowest point on record
Ice Credit makes biggest IM call since early pandemic
Aggregate peak calls were 17% higher in Q1 than previous quarter across 25 clearing houses
Initial margin hits all-time high at two LCH services
Despite initial margin spike, breaches at SwapClear climb to nearly 19,000
Initial margin breaches surge at JSCC government bonds division
Sharp interest rate fluctuations triggers largest backtesting deficiency on record
Peak IM call hits record $4.8bn at FICC’s GSD
Required IM also rose to all-time high during volatile Q1
Regulatory confusion clouds first annual IM recalculation
Firms dropping out of scope may need to continue posting non-cleared margin in some jurisdictions
Liquidity risk hits record high at CME
Heightened market volatility in Q1 pushes F&O’s worst-case payment obligation up 13%
Simm’s first off-cycle rejig hits non-cleared rates
Recalibration lifts initial margin for some products by 37% after year-end volatility forces update
What can we expect from a good margin model? Observations from whole-distribution tests of risk-based initial margin models
This paper offers a means of testing initial margin models based on their predictions of the whole future distribution of returns of the relevant portfolio which is demonstrated to be more powerful than typical backtesting approaches.
CCPs mull collateral options amid debt ceiling deadlock
Isda AGM: Raising haircuts and minimum maturities are among measures on the table to avoid a cliff-edge
Initial margin at OCC declined over Q4
Calmer markets triggered downward revision as requirements drop $30bn
Mitigating margin procyclicality: the effectiveness of anti-procyclicality measures during the Covid-19 stress event
This paper analyzes the effectiveness of APC measures implemented by central counterparties for clearing member and client margins, with effectiveness sensitive to the details of calibration and type of portfolios to which the measure is applied.
Nasdaq exec criticises VAR models in erratic energy markets
FIA Boca 2023: Model being adopted by rivals is “bad choice” for unpredictable assets, says exchange tech official