Margin models
LME distressed at severity of Esma stress tests
Watchdog’s simulated price shocks said to be unprecedented in metals markets
Concerns roil prop clearing waters in wake of ABN losses
State-backed lender insists few clients have defected – but sharks circle, post-Parplus
Ice Europe’s CDS unit hit by almost 1,000 IM breaches in Q1
Peak breach was €100 million in size
Higher margins would aid clearing stability – Ice Clear chief
Using volatility floors to aid “higher margins in peacetime” would have to be globally applied policy, warns Serafini
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
Eurex CRO: market meltdown will mean margins stay higher
Record breaches at global exchanges fuelling pressure to keep rates permanently higher, says risk chief
CCPs failing to set effective margin limits – study
Clearers must strike balance between countercyclicality and sensitivity to risk
Simm may come with a side benefit – a common data standard
Buy-side firms using Acadiasoft for Simm calculations must adopt the ORE XML data format
CME was ill-prepared for negative oil prices, FCMs say
Bourse draws criticism over timing of options model change; delay in sending key margin file
TMX backs down on blanket margin hike after members revolt
Canadian CCP will review methodology and apply margin multipliers at the product level
After coronavirus rout, concerns raised about Simm
Annual recalibration means March volatility will not be reflected in margin until end-2021
Asia CCPs forced to hike margins rapidly during equities rout
Margins for Nikkei 225 futures more than doubled at JSCC in a matter of days
Coronavirus rout revives attacks on futures margining
FCMs call for permanently higher margins following “unprecedented” number of breaches
Oil price shock triggers big margin calls
Banks and exchanges worked through weekend in anticipation of oil collapse
Margin exchange threshold relief: get out of jail free?
‘Game-changing’ IM exchange threshold relief may not be the phase five free pass it first appears
Eurex members divided over liquidity risk charges
Banks say proposed charge too conservative, debate whether add-on should be charged directly to clients
At CME, required IM up 18% in Q3
Surge follows busy August and September for the swaps clearing business
SwapClear model update causes IM hike
Maximum aggregate IM call for Q3 was £3.7 billion
IM phase five – Smaller on bang, bigger on complexity
The initial margin ‘big bang’ may have been reined in by last-minute relief, but dealers aiming to get hundreds of buy-side firms over the documentation finish line by September 1, 2020 fear a compliance bottleneck
Clearing house innovation of the year: Ice Clear Credit
Risk Awards 2020: Clearing house lures fund business with efficient new Monte Carlo methodology
JSCC had a top margin breach of ¥114m in Q3
Three backtesting exceptions disclosed for 12-month period to end-September
Clearing house of the year: LCH
Risk Awards 2020: CCP conquers Brexit threat to deliver banner year for RFRs, margin and forex
CCPs dismiss bank, buy-side criticisms
CME, Ice bat away suggestions of flaws in clearing house risk management
LCH to cut jump-to-default margin for cleared CDS
Move could bring margin for cleared CDS closer to bilateral trades, but mismatch remains