Margin call
LCH Ltd sent record €6bn VM call to one clearing member in Q3
Largest estimated payment obligation in the event of a member default also climbs quarter on quarter
At LCH Ltd, IM levels edged lower in Q3
Peak aggregate initial margin call for equities fund hit £3 billion
Initial margin at the OCC leapt 20% in Q3
Cleared options contract volumes hit 1.9 billion in Q3
IM, default fund resources fell at Eurex in Q3
Total collateral held remains elevated compared to pre-coronavirus crisis
Margin calls on insurers, pension funds stoked MMF rout – ECB
Dutch firms accounted for huge share of VM payments in March
Regulators’ margin model rules too lax – BlackRock exec
Risk USA: EU anti-procyclicality rules like “putting a curtain over a draughty window”
Jerome Kemp on the skewed economics of clearing
Only Fed intervention prevented “a really big market disaster” during Covid, says derivatives veteran
Regulators should set ‘guidelines’ for CCP margins – Kemp
Citi’s former clearing head says CCPs are still competing on margin
Initial margin held by top CCPs declined over Q2
Cash collateral held at central banks down 23% across top CCPs
Eurex initial margin ebbed over Q2 as default fund swelled
Participant contributions to default fund up 55% quarter-on-quarter
For a post-Covid world, quant fund revives a contentious idea
Crisis puts out-of-vogue practice of “porting” alpha back in play
Pimco’s Mariappa on iterating through the Covid-19 crisis
Buy-side risk survey: bond giant’s risk head is paying closer attention to idiosyncratic risks
Asia collar financing surges on back of Covid-19 volatility
Options-based structures gain ground on margin loans – and dealers say it may be a structural shift
Ice Europe’s CDS unit hit by almost 1,000 IM breaches in Q1
Peak breach was €100 million in size
Initial margin models of top CCPs slipped in Q1
Achieved coverage levels declined quarter-on-quarter
LCH SA incurs record number of margin breaches in Q1
Largest initial margin shortfall amounted to €100 million
Initial margin held by JSCC swelled 65% in Q1
Largest IM call for JGB index futures and options unit was ¥443.9 billion
DTCC’s mortgage unit hit by $1.5bn margin breach in Q1
A large, directional portfolio $100 billion in size was to blame
OCC made $32bn initial margin call in Q1
Clearing house reported peak margin breach of $273 million
Margin breaches exceed €500m at Eurex in Q1
Eurex disclosed 3,180 margin shortfalls over twelve months to end-March
FCMs feared systemic incident during March back-office meltdown
Trade breaks following Covid-19 spike in futures volumes required massive clean-up job, says BofA exec
Eurex’s risk chief on the need for boring models
Banks need stability and predictability of VAR-based margin when volatility spikes, says clearing house CRO
Client margin up 40% at Morgan Stanley’s swaps unit in Q1
Aggregate US FCM margin up a huge $34.8 billion quarter-on-quarter
