Initial margin
JSCC’s initial margin hit all-time high in Q3
Requirements at ETP cash securities unit up fivefold, OSE-listed ETP service grows to record size
Rule change cuts ECC default fund by over a third
Member contributions hit two-year low and may fall further
CFTC sounds the alarm on clearing capacity
US regulator warns porting cannot be guaranteed in the event of a large member default
NSCC had top margin breach of $1.2bn in Q3
Margin shortfall is largest on record for the CCP and bucks wider trend across global clearing houses
Hard concentration: clearing members want clarity from CCPs
FCMs complain they struggle to pass opaque margin calculations through to end-clients
Buy side still prefers bilateral repo despite LCH margin update
New model will cut margin faster after stresses abate, but costs still high for directional trades
Indian CCPs derecognition costs BNPP, Deutsche €6bn in RWAs
Esma’s decision forces re-weighting of local exposures by EU dealers
Leveraged wrong-way risk
A model to assess the exposure to leveraged and collateralised counterparties is presented
CME’s Span 2 margin model generates systems headaches
Market participants welcome smarter margin requirements, but not the computational workload
Eurex repo haircutting to move to Prisma futures model
Switch will open cross-margining opportunities between repo and futures
EU lawmakers converge on centralising Simm validation
Industry cautiously optimistic Council and Parliament will support EBA compromise
ECC default fund changes set to cut clearing member contributions
Stress loss over margin designed to ease procyclical behaviour seen during 2022 energy shock
HKEX and LCH look to expand eligible collateral
Chinese government bonds in the frame as clearing houses seek to boost non-cash margin options
CFTC’s clearing house recovery rule splits industry
Some fear CCPs will fast-track recovery, others say any rule book will be ignored in emergency
Liquidity risk triples at Nasdaq in second quarter
Updated model extends time horizon to seven-plus days
Worst-case double default would have caused breach at CME
Stress loss based on hypothetical scenario was $390m higher than prefunded resources
Why Isda ditched ‘off-cycle’ updates for Simm
Ad hoc updates riled industry, while regulators pushed for predictability in model recalibrations
Members’ contributions to MBSD’s default fund up 11%
CCP’s skin in the game also up slightly, pushing aggregate amount to highest since Q1 2022
CFTC plan to relax MMF margin restriction sparks debate
Industry welcomes proposal to lift ban on repo-using funds as eligible IM, but some warn MMFs bring risks
Post-crisis accounting trick haunts clearing brokers
FCMs gave up interest income for capital savings when rates were low. Now, some want it back
FCM client margin for swaps hit record high in June
JP Morgan, Barclays drive required funds increase, with UBS doubling prior-year figure
Like your CSA dirty? It’ll cost more
Buy-side firms have to pay up if they want to post corporate bonds to their dealers, but prices vary
Emulating the Standard Initial Margin Model: initial margin forecasting with a stochastic cross-currency basis
The authors propose a stochastic cross-currency basis model extension to resolve the impact of missing risk factors when estimating initial margin and margin valuation adjustments in cross-currency basis swaps.
LCH Ltd’s RepoClear margin model gets a makeover
Changes aim to make margin models for gilt repo more sensitive to market moves