Initial margin
EU gives one-year margin reprieve on equity options
Regulators point to possible systemic risk in margin loophole, as industry urges parity with US
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
Big US banks cut OTC notionals by $10trn in Q3
Cleared notionals made up 54% of aggregate total notionals outstanding
MVA taking the long road to acceptance
Four years on, the adjustment is still not a standard part of non-cleared swap pricing
Foreign exchange prime broker of the year: HSBC
Risk Awards 2020: UK bank manages risk in real time, while building tool to cut exposures up to 80%
EU to grant last-minute margin reprieve for equity options
European Commission to publish changes to Emir technical standards within days
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Regulatory relief, but the pressure is still on
As the new compliance schedule for IM requirements on non-cleared derivatives comes into force, IHS Markit’s director, derivatives data and valuation services, Kashyap Sheth outlines what to expect next
The digitisation of legal negotiations and data
In partnership with Risk.net, specialists from AcadiaSoft, Linklaters, and the International Swaps and Derivatives Association weighed in on the digitisation of derivatives documentation for a virtual roundtable discussion. Recent innovations, aimed at…
Swaps data: CCPs – a systemically important market infrastructure
Disclosures show heavy concentration of initial margin in top three clearing services, writes Amir Khwaja
Morgan Stanley’s swaps clearing unit boosts client margin by $4.8bn
In total, FCMs see required client margin increase 18% quarter on quarter
Trading non-cleared derivatives tougher in Q3 – ECB
Twelve percent of respondents said trading conditions worsened for interest rate products
Banks warn of trader crunch at CCP default auctions
Risk USA: dealers hope for more cross-CCP fire drills
CCPs dismiss bank, buy-side criticisms
CME, Ice bat away suggestions of flaws in clearing house risk management
Stress-testing to improve strategic decision‑making
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
Tri-party repo and collateral businesses feather BNY Mellon’s earnings
Non-cleared margin rules and US Treasury issuance behind revenue surge
Initial margin posted to LCH’s repo service tripled at end-June
Surge in required IM indicates explosion in repo demand
Two Ice clearing houses trim liquid assets
Ice Clear Europe and Ice Clear US both removed cash from commercial lenders in Q2
Study of correlation impact on credit default swap margin using a GARCH–DCC-copula framework
In this paper, the authors establish generalized autoregressive conditional heteroscedasticity–dynamic conditional correlation (GARCH–DCC) and constant conditional correlation (CCC) copula model frameworks to study time-varying correlation among credit…
LCH SA members add €371m to cash, derivatives default fund
Funds for other clearing activities see quarter-on-quarter falls, in contrast
Ice’s European CDS clearing house adds €175m to default fund in Q2
In contrast, futures and options fund shrinks 6% quarter-on-quarter
DTCC default fund contributions climb 15%
CCP had 270 clearing members at end-June
Eurex Clearing members add €609m to default fund
Initial margin posted in Q2 soars 5%