Initial margin
Equity derivatives now biggest consumer of initial margin
Fragmented product set is 1.3% of OTC notional but attracts more margin than rates and forex
JSCC margin changes ease Japan interest rate pain
Negative rates prompted switch in the CCP’s margin calculation model for interest rate swaps
Swaps data: breaking down CCPs’ $750 billion funding bill
Amir Khwaja of Clarus FT considers how initial margin, variation margin and default fund contributions can quickly add up
From Lehman to rupee crashes: India’s CCP chief on market stress
Risk chief sets about bolstering CCIL’s risk modelling, lookback periods, and portfolio compression
US clearing banks still push for leverage ratio IM offset
Potential cut in ratio and adoption of SA-CCR not enough to stop shake-out, FCMs warn
Bitcoin’s busy month
Bitcoin could give us a safer central clearing mechanism
Initial margin with risky collateral
This paper explores the complication of calculating the IM amount requirement when collateral comprises risky assets in a parametric VaR framework. The authors show that the required IM amount can be calculated by solving a quadratic inequality.
FCMs demand self-certification overhaul after bitcoin debacle
CBOE, CME rush to list bitcoin futures “felt like an arms race”, says one FCM chief
Europe leaves IM haircutting in CCP recovery crosshairs
No explicit ban in parliamentary text; banks say method could spark exodus from stricken CCPs
No carve-outs in Fed’s revised leverage ratio proposal
Holdco leverage ratio will fall, but initial margin and custody funds still in scope
Taper talk drives wild swings in JSCC-LCH basis
Difference between pay-fixed yen swap rates at LCH and JSCC neared 16bp before falling 30% last week
LCH margin changes to ease funding stresses, say FCMs
Clearers welcome move to free up excess cash margin and remedy ‘double-dipping’ complaints
Bitcoin futures pricing kindles manipulation fears
CME and CBOE insist pricing methodology is robust; critics say contracts are ripe for manipulation
Degree of influence, 2017: Quants dissect initial margin
Initial margin, optimal execution and applications of machine learning were the hottest topics of 2017
Q&A: CFTC’s Quintenz weighs swap dealer threshold impact
Activity-based threshold could be ‘disincentivising’ dealers, says commissioner
Banks prepare for battle with Fed over G-Sib rules
Proposals would kill client clearing business, FCMs claim – but postponement is a chance to fight back
Industry hails potential US relaxation of margin timing rules
Treasury’s proposed shift from T+1 for non-cleared swaps welcomed, but IM calculation comments draw fire
NSFR consultation: industry awaits derivatives fix
Possible fixes under consultation don’t go far enough, say banks
Dealers blame US futures IM dip on low vol
CFTC data shows required initial margin down 15% since start of 2017
EC official hints at partial relocation of euro swaps
Commission yet to work out details such as which products and what share of stock may have to move
Asia clearing surge raises concerns over eligible collateral
Scarcity of high-quality liquid assets gives rise to liquidity risk worries, say banks
Don’t leave margining till the last minute
Institutions in Asia have a narrowing window to plan for initial margin regime