Margin models
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
Span 2: a fine balance
Switching margin model means walking a tightrope of competing interests amid regulatory scrutiny
A look under the hood of Span 2, CME’s new margin engine
VAR-based framework has new ways of netting contracts and setting volatility floors and more
CME no longer looking back to Lehman
Changes to rates margin model move CCP into line with rivals
The great migration: CCPs ponder life after Span
As CME moves to a value-at-risk methodology, CCPs that license its model look on nervously
SGX’s Koh defends clearing methods post-Nasdaq
Existing tools still work, despite external scrutiny on default management, says risk chief
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