Initial margin
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
Brevan Howard is first non-bank caught by margin rules, sources say
Non-cleared exposures thought to exceed $1.5 trillion
Margin 'big bang' to catch tenfold more UK firms, FCA estimates
Risk Quantum analysis suggests around 50 firms will be captured by margin rules in total
Dealers and FCMs split on clearing incentives
72% of client clearing firms say leverage ratio a clearing disincentive
Swaps data: OTC margin up; futures margin down
Swaps initial margin jumps 22% year-on-year, against surprise fall in futures margin, writes Amir Khwaja of Clarus FT
Industry seeks smaller ‘big bang’ for margin
New study supports sixfold hike in 2020 compliance threshold to avoid “dormant” margin accounts
Initial margin – Preparing for the buy‑side ‘big bang’
Video Q&A: David White, triResolve
Hong Kong banks fear clashing swaps margin rules
SFC proposal could complicate trades with HKMA-regulated entities and centralised treasuries
Ice Clear Europe had a top margin breach of $91 million in Q1
A total nine breaches are reported, averaging $14 million
JSCC reinforces default funds
Member firm contributions swell ¥135.5 billion across derivatives clearing services
G-Sib swap portfolios reveal transatlantic divide
EU banks record 16% fall in non-cleared swaps, while US dealers see 9% growth
Isda faces member backlash on margin lobbying
Working groups were not consulted over Isda-funded paper that could threaten industry’s Simm
CCPs incur fewer margin breaches in 2017
LCH Ltd reports 399 fewer breaches than in 2016; DTCC 156
Fed, Goldman: wide use of SA-CCR creates problems
Isda AGM: Fed plans quick implementation, while Goldman urges caution on extending use
EU’s evolving CCP resolution rules get mixed reviews
Isda AGM: Parliament tackles big issues in recovery and resolution text, but 'doesn’t go far enough'
CFTC, Treasury officials boost Isda push for IM revamp
Isda AGM: Research paid for by trade body calls for variable MPOR
Isda chair on the swaps market’s power shift
A decade ago, dealers held 18 of 19 board seats – but crisis has forced trade body to change
Uneven Basel rule adoption threatens regulatory arbitrage
Committee names and shames regulatory laggards
Swaps market off pace for IM rules – Isda survey
Participants want to see more standardisation in collateral and custodial contracts
A&O vs Linklaters in IM platform race
Law firms are backing rival attempts to cut margin doc costs for buy side
LCH-JSCC basis drops as hedge funds arrive
Capula and Rokos Capital among funds to have gained access to JSCC in recent months