Margin models
Ice Clear Europe posts $1.2bn margin breach in Q3
In total, 55 margin breaches reported at end-September 2018
Margin model revamp should top 2019 agenda for Asian CCPs
As rates rise and trade tensions grow, CCPs must be prepared for higher volatility
Data shortage hits margin models for Asia banks
Thin trade volumes in local derivatives threaten to undermine key tests for initial margin models
Clearing house of the year: CME Clearing
Risk Awards 2019: Clearer moved early to ramp up default resources and counter threat of February volatility spike
Lower margin can fuel procyclicality in CCPs – research
Efforts to prevent ‘margin spiral’ during stress could encourage more risk-taking, paper argues
Banks demand greater scrutiny of CCP margin add-ons
Nasdaq Clearing blow-up prompts questions over CCPs’ methods of applying top-ups to concentrated positions
Choosing the right model for non-cleared OTC margining
When the final phase of the swaps market’s new margining regime takes effect in 2020, hundreds – possibly thousands – of buy-side firms will be hit by complex margin requirements.
Clearing houses in Asia to overhaul creaking margin models
Fears of Nasdaq-style failures spur rethink of margining practices at HKEx, JSCC, SGX
Risk.net podcast: OCC’s Fennell on Nasdaq breach, crypto and ‘skin in the game’
Clearing house is “seriously considering” contributing to own default waterfall
CME plans sweeping overhaul of ageing Span model
New margin calculator will bring futures, options and swaps under single framework
Industry calls for 12-fold hike in margin threshold
Request to regulators would permanently exempt almost 1,000 firms from non-cleared margin rules
Spotlight on auction in €114m Nasdaq clearing blow-up
Four-member auction may have turned 39% margin breach into huge default fund loss
Lehman’s ghost: how three CCPs anchor models to crash
The Lehman crash still haunts the margin models of LCH, CME and Eurex, albeit in different ways
Dealers warn Asia: get ready now for 2020 IM deadline
Firms preparing to post margin in September 2020 need to complete systems by March 2019
Ice Clear Europe had a top margin breach of $91 million in Q1
A total nine breaches are reported, averaging $14 million
CME reports two margin breaches in Q1
Shortfalls totalling $79 million were by far the largest for the CCP since public reporting started in 2015
CCPs incur fewer margin breaches in 2017
LCH Ltd reports 399 fewer breaches than in 2016; DTCC 156
CFTC, Treasury officials boost Isda push for IM revamp
Isda AGM: Research paid for by trade body calls for variable MPOR
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
Bosses escape blame for options blow-up at Swedish bank
Court rules negligence by former managers and auditor of HQ Bank did not cause 2010 licence withdrawal
Capital savings from new IM regime elude dealers
Slow model development and approval processes mean banks yet to see benefits expected under margin rules
CCP margin backtests can hide flaws, research finds
In richer test, ‘filtered’ VAR beats five other measures
Banks win concessions in battle over CCP margin models
European Commission proposal would shine light on clearing house margin charges