Initial margin
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
The initial margin challenge – Why the bang just got bigger
With uncertainty abounding as the industry heads into the final phases of implementation of the uncleared margin rules (UMR), Jean‑Paul Botha, delivery lead of financial trade documentation at Thomson Reuters Legal Managed Services, explores the…
Eurex default fund swells to €4.5 billion
Second quarter saw the second-largest quarterly increase since the CCP began reporting in 2015
Basel to propose IM offset in leverage ratio
Four sources say draft will make concession; it could also revive EU-US segregation drama
NSCC posts $137m margin breach
Securities CCP records largest margin shortfall since public disclosures began
Brexit: listed derivatives face OTC mutation
No-deal would flip EU27 users into different regime for UK-listed trades
FICC concentration risk ebbs
Open positions in government securities held by ten largest clearing members falls to 37%
BAML exec fears ‘systemic risk’ if margin issue not resolved
Regulators urged to make swift decision on exempting small end-users
OCC default fund shrinks $3 billion
Change reflects CCP's model methodology and calmer markets in Q2
Industry calls for 12-fold hike in margin threshold
Request to regulators would permanently exempt almost 1,000 firms from non-cleared margin rules
BAML may rejoin China swaps market after US policy shift
Clearing exemption removes swaps deterrent as bank seeks to hedge growing China exposure
Nasdaq slow to share defaulter info with peer CCPs
“Why didn’t you tell us earlier?” other clearers want to know
Spotlight on auction in €114m Nasdaq clearing blow-up
Four-member auction may have turned 39% margin breach into huge default fund loss
Lehman’s ghost: how three CCPs anchor models to crash
The Lehman crash still haunts the margin models of LCH, CME and Eurex, albeit in different ways
Dealers warn Asia: get ready now for 2020 IM deadline
Firms preparing to post margin in September 2020 need to complete systems by March 2019
Buy side could be biggest voice in key margin decisions
Asset managers encouraged to join Simm’s daily polling mechanism – despite some dealers’ concerns
UK regulator quizzes banks on margin gaps
Request for ‘risks-not-in-Simm’ data could usher in new Pillar 2 capital charge
JP exec calls for derivatives margin changes
Move follows 13 significant margin breaches in 2018, with one breaching by as much as 245%
Exchanges warn on clearing concentration
Clearing houses urge margin offset in leverage ratio, adoption of SA-CCR and recalibration of NSFR
Preparing for the initial margin phase-in
Requirements for the mandatory exchange of initial margin are expected to be time‑consuming and laborious to implement. David White, head of sales at triResolve, discusses the lessons learned from in‑scope firms, obstacles to achieving compliance and how…
Optimisation services edge closer to EU clearing exemption
Lawmakers ask European Commission to consider if offsetting non-cleared trades could be exempt
Efficient Simm-MVA calculations for callable exotics
Algorithmic differentiation are used to simulate sensitivities to calculate MVA
Complying with regulatory initial margin and automating the collateral management process
Since the introduction of uncleared margin rules, collateral management has been thrust into the regulatory spotlight, becoming a priority for firms with over-the-counter derivatives portfolios