Margin
Swaptions expiries complicate portfolio optimisation runs
triBalance and Quantile users call for better post-trade co-ordination between dealers
Asia clearing surge raises concerns over eligible collateral
Scarcity of high-quality liquid assets gives rise to liquidity risk worries, say banks
Don’t leave margining till the last minute
Institutions in Asia have a narrowing window to plan for initial margin regime
New EU bank rules threaten Eurex, LCH investment policies
CCPs with EU bank licences currently run leverage ratios of less than half the minimum
Ashurst non-netting opinion on China splits lawyers
EU banks using opinion for margin exemption, at possible cost of capital savings
A balanced approach to central counterparty margining
This paper is meant to serve as a comparison of the approaches and margin models employed by CCPs.
Performance testing of margin models using time series similarity
This paper proposes a performance test based on empirical similarity that would account for margin shortfall, procyclicality and efficiency in a single score.
Cleared margin setting at selected central counterparties
In this paper, the authors address one aspect of CCP risk management: initial margining practices. The paper provides a historical review of margining at selected CCPs as well as an overview of their current margin policies.
CCP margin backtests can hide flaws, research finds
In richer test, ‘filtered’ VAR beats five other measures
Margin settlement risk and its effect on CVA
Sponsored feature: CompatibL
Japan seeks speedy margin rule equivalence decisions
The country has equivalence agreements with Canada and the US, but not Europe
Time trial: the big risks that lurk in OTC margin gaps
Banks take aim at margin and trade-flow lag that can cause 95% of counterparty risk
Insurers press case for new-look risk margin
Firms call for lower cost of capital and link to interest rates in key element of Solvency II
Banks seek escape from inter‑affiliate margin burden
Internal transactions contributing “substantial” amount of banks’ initial margin requirement
Data woes force dividend swaps out of Simm update
Dealers have different approaches to pricing dividend risk factors
Monthly swaps data review: Libor dominance challenged
There are more sources of over-the-counter derivatives data available today than at any point in the market’s history
Ice rule change will see members post more cash
Changes pinned on CCP’s lack of access to Fed deposit account
A network model for central counterparty liquidity risk stress testing under incomplete information
The authors put forth a realistic network model that maximizes the use of data available to a CCP in order to simulate credit default contagion.
Legacy booking models impede NDF clearing, banks say
Novation lag holds up clearing of forex products; some say dealers are dragging feet
Masters: blockchain could ease margin headaches
Margining non-cleared derivatives a “massively under-optimised space”, says Digital Asset chief
The recent crises and central counterparty risk practices in the light of procyclicality: empirical evidence
This paper focuses on the risk practices of Central Counterparties in the light of their potentially procyclical features.
Non-cleared swaps compression battle heats up
Quantile, LMRKTS, Capitalab and triBalance jostle for supremacy in IM optimisation
Clearing portability under threat as FCM pool shrinks
Failure of big clearing brokers could see clients unable to move to stable competitors