Margin models
ECC risk chief says Iran crisis will not delay VAR transition
Incorporating 2022 Ukraine shock ensured new margin model is robust in face of energy volatility
Asian banks close out energy clients as Iran war bites
Firms with short jet fuel positions faced losses up to $100 million as initial margin soared 566%
EU can handle energy price pressure – it’s been here before
Reforms made after Russia’s invasion of Ukraine have made region more resilient to energy shocks, officials say
Iosco chief sees no need for CCPs to hold more capital
CCPs have shown resilience in volatile times without extra skin-in-the-game, says Buenaventura
Iran strikes a stress test for CCP margin models
CME’s Span2 and Ice’s IRM2 are performing as advertised. The next few days could test their mettle
Clearing houses warn Esma margin rules will stifle innovation
Changes in model confidence levels could still trip supervisory threshold even after relaxation in final RTS
Lifetime achievement award: Dennis McLaughlin
Risk Awards 2026: When the stakes are systemic, ex-Princeton prof is never far away
Global CCPs suffer record IM breaches in tariff-hit Q2
JSCC leads surge ahead of Eurex, CDCC, OCC and LCH
Ice’s VAR migration reignites debate on margin levels
CCP says IRM 2 is more sensitive to portfolio risk, but banks fear increased risk to clearing members
The Bank of England’s four pillars for a new CCP rule book
Executive director urges feedback on margin transparency, broader collateral and aiding innovation
Why margin transparency is always somebody else’s problem
As Esma pushes for clearing clients to receive better information, no-one wants to provide it
Esma official insists CCP model approvals will speed up
CCP supervision chief says regulator is seeking more human resources for its new responsibilities
How confident are we of margin model procyclicality measurements?
This paper investigates procyclicality models, bringing attention to that fact that typical measures of model responsiveness are random variables and impacted by uncertainty.
BoE takes subtle leverage snipe at CCP cross-margining
Margin offsets might increase risk, but could also encourage more central clearing
Innovation of the year – Technology: Cumulus9
Energy Risk Awards 2025: Disruptive technology firm harnesses AI to create transformative risk management capabilities
Emir 3.0 could complicate Eurex cross-margining for repo
Clearing house targets November 2025 to launch repo on Prisma, but new EU rules are imminent
Industry fears Emir 3.0 fast model approval will cause delays
More model changes could be caught by proposed criteria for defining significance
ForexClear posts record $2.8bn aggregate margin call
Volume growth and increased risk exposures drive Q4 spike
CCP models vulnerable to Trump risk
Volatility of ‘will he, won’t he’ tariff strategy could confound clearing house risk models
Margin standards are here – and clearing firms aren’t happy
Clearing members complain that latest transparency proposals would force them to act as middlemen by providing margin simulation tools for clients
Bank of England wants dynamic Emir for UK clearing houses
Review won’t just photocopy EU legislation, as BoE seeks to make rules simpler and adaptable