Initial margin
Banks seek to pry open CCP black boxes
Clarity on model inputs may have averted Brexit chaos, FCMs claim
OTC infrastructure service of the year: AcadiaSoft
Risk Awards 2017: Hub receives 10 million lines of data daily under new margin regime and it has big plans for the future
Clearing house of the year: LCH
Risk Awards 2017: CCP enjoys stellar year for volumes, and demonstrates willingness to adapt following Brexit stresses
Law firm of the year: Allen & Overy
Risk Awards 2017: Law firm played a key role in the struggle to meet the September 2016 margin deadline
LCH platform to provide risk calculations for margin hub
SwapAgent agrees to send standardised sensitivities for bilateral trades to AcadiaSoft for IM calls
Non-cleared margin requirements: The top five considerations
Sponsored feature: TriOptima
Rethinking the margin period of risk
The authors describe a new framework for modeling collateralized exposure under an International Swaps and Derivatives Association Master Agreement with a Credit Support Annex.
Banks seek to standardise cross-currency settlement dates
Talks under way to exchange principal amounts on IMM dates to allow for greater netting
Margin model keeps testing the limits of industry co-operation
Simm supporters say it is a work in progress, but more participants may slow that progress
Systemic risks in CCP networks
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
Stretched margins: growing pains for Simm
The standard initial margin model could become more strained as its use expands in 2017
Banks and clients clash over novation MVA charges
Some banks swallowing new margin funding costs, others forcing clients to pay up
Non-cleared margin – a timeline
Milestones in the development of margin requirements for non-cleared trades
I want security: stylized facts about central counterparty collateral and its systemic context
In this paper, the authors introduce the principal policy issues affecting CCPs and collateral and then use these disclosures to contextualize some stylized facts that may aid in understanding and addressing the policy issues.
VM showdown a clash banks could not win
Clients clinging to hard-won CSA terms, in face of dealer calls for standardisation
OTC market resisting swap futures threat
Swap futures yet to break out, but backers see margin, accounting and Citadel as tailwinds
VM regime threatens explosion of small margin calls
Transfer threshold designed to avoid small payments is unworkable, critics claim
Industry friction on initial margin model backtesting
NFA said to have set 10-day standard; other regulators applying different approach
Industry faces crunch time on Simm enhancements
If the required new risk factors are not added on time, firms may face a more punitive look-up grid
O’Malia: renegotiate VM docs now to avoid March mayhem
Risk USA: variation margin deadline much tougher than September 1, Isda chief warns
Huge Brexit margin calls stoke intra-day funding fears
Calls on June 24 may have topped $40 billion; critics urge regulators to review episode
LCH to revise margining after Brexit backlash
Excess intra-day margin will offset other collateral calls from November 3
LCH under scrutiny after outsized Brexit margin calls
Intra-day calls criticised by banks; FIA working group pushing for change
Netting questions linger in Asia margining rules
Hong Kong set to exempt non-netting trades from margin regime, following Australian position