Initial margin
Banks seek escape from inter‑affiliate margin burden
Internal transactions contributing “substantial” amount of banks’ initial margin requirement
Monthly swaps data review: ETD vs OTC margin totals
New disclosures from big CCPs show listed market consumes more margin than cleared swaps
Fear of something worse seen as key to CCP recovery
Forcing banks to pick up defaulted trades is “viable option”, says Fed researcher
OCC seeks leverage ratio relief as liquidity shrinks
85% of CCP’s volumes now short contracts on 20 biggest names, claims risk chief
Data woes force dividend swaps out of Simm update
Dealers have different approaches to pricing dividend risk factors
Some banks find huge margin savings by breaking up indexes
Splitting equity and commodity indexes can halve initial margin, but not everyone can do it
CCP margining not procyclical, research suggests
Excess collateral acts as buffer in 10 years of data at unnamed CCP
Legacy booking models impede NDF clearing, banks say
Novation lag holds up clearing of forex products; some say dealers are dragging feet
LCH margin changes aim to reduce banks’ funding costs
Changes to allow over-collateralisation by buy-side clearers should ease FCMs’ funding burden
CCP resolution plans ‘on the wrong path’, says Fed adviser
Bank framework has “contaminated” policy for CCPs, says Chicago Fed’s Steigerwald
Non-cleared swaps compression battle heats up
Quantile, LMRKTS, Capitalab and triBalance jostle for supremacy in IM optimisation
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