An excerpt from a discussion between triCalculate's co-CEO, Martin Engblom, and XVA (valuation adjustment) expert Jon Gregory in which they discuss the current state of play for XVA. Our experts provide professional insight on topics such as credit…
Smaller buy-side firms could still escape compliance burden via expected regulatory guidance
Citi remains the largest FCM, with a 27.5% share of total required client margin
In total, 55 margin breaches reported at end-September 2018
Clearing member says it is giving notice to quit bourse, citing concerns over concentration of risk on venue
This paper studies the effect of less procyclical margin models on cleared volumes and risk taking in a stylized CCP.
JGB turmoil, heightened activity may have caught clearing members off-balance
Major changes are expected under the new IFRS 17 regime – insurance companies must make efforts to comprehend and communicate the full impact of changes to profit emergence under different scenarios, and its sensitivity to different methodology choices,…
After testing rival margin services, banks now have to pick a favourite – one has better tech, the other is cheaper
Delays to Emir review raise fears that UK schemes may lose exemption
Efforts to prevent ‘margin spiral’ during stress could encourage more risk-taking, paper argues
Potential EC, French and German no-deal relief is expected to be short-lived and incomplete
In this paper, the authors compare the data from three major clearing houses concerning tail losses and member concentration.
BlueCrest, Capula, Citadel, Millennium and Rokos expected to be in scope for next phase of margin rules
Nasdaq Clearing blow-up prompts questions over CCPs’ methods of applying top-ups to concentrated positions
Margin utility AcadiaSoft will create docs for users, but also connect with rival services
In its latest margin survey, the International Swaps and Derivatives Association reported that initial margin (IM) collected by the top 20 firms increased by 22% to $130.6 billion at the end of 2017. As new transactions become subject to IM requirements,…
When the final phase of the swaps market’s new margining regime takes effect in 2020, hundreds – possibly thousands – of buy-side firms will be hit by complex margin requirements.
James Schwartz and Chrys Carey, of counsels at Morrison & Foerster, explore the impact of a recent Commodity Futures Trading Commission white paper – including how its author’s suggestions would affect cross-jurisdictional application of its regulations …
Python is rapidly becoming the world’s most popular programming language and its versatility and ease of use has enabled it to achieve widespread adoption in finance, becoming the multipurpose tool of choice for quantitative analysts and other financial…