Margin models
Procyclicality control in risk-based margin models
This paper revisits the procyclicality issue in risk-based margin models and provides additional insight on procyclicality mitigation techniques.
CME targets year-end rollout of new margin model
Clearing house testing new Span 2 framework with members, more work needed with vendors
JSCC issued $2.8bn VM call on a clearing member in Q1
The call was for a participant in the CCP’s clearing services that cover IRS, CDS and exchange-traded financial products
Delays to IM model approvals causing ‘anxiety’ for MetLife
Isda AGM: US insurer says regulators unprepared to accept docs where model approval is obligatory
Credit Suisse and the Wild West of synthetic prime brokerage
Industry insiders describe a frontier business with few rules – and plenty of questionable practices
JSCC incurred 311 IM breaches in 2020
IRS service experienced the largest breach last year
LCH SA skin in the game fell in Q4
In contrast, pre-funded clearing member contributions to the default funds increased 10% to €6.1 billion
One FICC member paid record $102bn to cover dues in Q4
Previous highest payment obligation of a single participant was $77 billion in size
Initial margin at Ice CCPs surged over 2020
Required IM at Ice Clear US increased 42% year on year
IM at LCH Ltd fell to post-Covid low in Q4
Required IM for SwapClear dropped to £149.5 billion, down 3% quarter on quarter
Initial margin at the OCC topped $100bn in Q4
Exchange-traded derivatives hub cleared 7.5 billion contracts in 2020
Margin breaches quadrupled at Eurex in 2020
Equity derivatives service witnessed 1,782 breaches last year alone
Hero or villain? NSCC draws fire for Robinhood margin waiver
Fears of moral hazard after CCP waives billions in margin demands following meme-stock volatility
EU’s initial margin relief may come too late for phase five
Long-awaited easing of model governance requirements unlikely to take effect by September
CFTC urged to take lead on CCP margin models
Advisory committee unable to agree steps on margin period of risk, model transparency
Derivatives client clearer of the year: JP Morgan
Risk Awards 2021: bank avoided tech snags and margin call surprises that plagued peers during crisis
Clearing house of the year: Eurex Clearing
Risk Awards 2021: clearer’s Prisma margin model proves its mettle in year of market tumult
Nasdaq held Aas portfolio for nine months after blow-up
Swedish regulator reveals CCP’s decision to keep defaulted power portfolio – and claims it was not fully hedged
Nasdaq whacked with $36 million fine over Aas default
Swedish regulator’s fine poses serious questions over default management and margining, while providing few answers
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
Don’t blame CCPs’ models for Covid margin spikes – WFE
Lobby group counters popular view that tools could ease procyclicality; puts focus on liquidity management
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