Margin models
At Ice Clear US, largest margin breach on record
The clearing house last reported a margin shortfall in Q2 2017
Ice, CME set to launch new VAR models in early 2020
Bourses plan to switch margining of energy futures at different times, prompting speculation of “arbitrage opportunities”
LCH RepoClear posts £23m margin breach
Five backtesting exceptions reported for 18-month period to end-March
HKEX boosts member credit risk monitoring
Hong Kong exchange’s several hundred clearing members pose complex default risk correlations, says chief risk officer
At FICC, 20 margin breaches in Q1
The clearing house posted 157 margin breaches for the 12-month period ending in March
RJ O’Brien’s chief risk officer on margin models and clearing
CME’s looming switch to VAR model will have pronounced effect on broker and its clients, says Brad Giemza
Podcast: Kaminski on lessons from commodity market defaults
Professor Vince Kaminski analyses Nasdaq and PJM defaults
HKEX clearing head talks margin and auctions post-Nasdaq
CCPs have work to do to restore confidence in clearing, but Roland Chai has a plan
At Ice Clear Europe, 84 margin breaches in 2018
Clearing house posted just nine breaches in 2017
CME had top margin breach of $138 million in 2018
Margin shortfall triggered by "extreme volatility" in natural gas markets
LCH ForexClear posts two margin breaches in Q4 2018
Second-largest breach since public disclosure began was $17.8 million in size
Dealers seek clarity on buy-side IM relief
Hundreds of buy-side firms may still need to calculate margin and get models approved
Margin or membership? Regulators react to Nasdaq default
Six supervisors – from Bafin to the MAS – downplay idea of mandatory increase in futures MPOR
Nasdaq default came at time of mass margin breaches
CCP's clearing members incurred 49 margin breaches as of end-September
Ice Clear Europe posts $1.2bn margin breach in Q3
In total, 55 margin breaches reported at end-September 2018
Margin model revamp should top 2019 agenda for Asian CCPs
As rates rise and trade tensions grow, CCPs must be prepared for higher volatility
Data shortage hits margin models for Asia banks
Thin trade volumes in local derivatives threaten to undermine key tests for initial margin models
Clearing house of the year: CME Clearing
Risk Awards 2019: Clearer moved early to ramp up default resources and counter threat of February volatility spike
Lower margin can fuel procyclicality in CCPs – research
Efforts to prevent ‘margin spiral’ during stress could encourage more risk-taking, paper argues
Banks demand greater scrutiny of CCP margin add-ons
Nasdaq Clearing blow-up prompts questions over CCPs’ methods of applying top-ups to concentrated positions
Choosing the right model for non-cleared OTC margining
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.
Clearing houses in Asia to overhaul creaking margin models
Fears of Nasdaq-style failures spur rethink of margining practices at HKEx, JSCC, SGX
Risk.net podcast: OCC’s Fennell on Nasdaq breach, crypto and ‘skin in the game’
Clearing house is “seriously considering” contributing to own default waterfall
CME plans sweeping overhaul of ageing Span model
New margin calculator will bring futures, options and swaps under single framework