Margin
US regulator may bend on margin rule for segregated accounts
CFTC open to extending September 15 deadline
Will the exit price be right in new Isda docs?
Industry body is updating unloved procedure for valuing terminated swaps
Initial margining product of the year: Calypso Technology
Asia Risk Technology Awards 2020
Imperfect balance? Clearers weigh EU’s CCP resolution tools
Potential levels of loss mutualisation under EU rules are unnerving some clearing members
For a post-Covid world, quant fund revives a contentious idea
Crisis puts out-of-vogue practice of “porting” alpha back in play
The unintended impact of collateral on financial stability
Initial margin requirements for OTC derivatives can increase risk of contagion, writes economist
Asia collar financing surges on back of Covid-19 volatility
Options-based structures gain ground on margin loans – and dealers say it may be a structural shift
SA-CCR adoption may spur wider FX swaps clearing
With up to 90% lower exposures on offer, dealers say capital benefits could outweigh margin costs
Initial margin models of top CCPs slipped in Q1
Achieved coverage levels declined quarter-on-quarter
LCH SA incurs record number of margin breaches in Q1
Largest initial margin shortfall amounted to €100 million
Contagion can spread via cross-asset links, ECB study shows
Research throws more light on the hidden risks of central clearing
Margin breaches exceed €500m at Eurex in Q1
Eurex disclosed 3,180 margin shortfalls over twelve months to end-March
FCMs feared systemic incident during March back-office meltdown
Trade breaks following Covid-19 spike in futures volumes required massive clean-up job, says BofA exec
EU banks expect further margin reprieve for equity options
Exemptions for intra-group and equity options from non-cleared margin rules expire by January 2021
Client margin up 40% at Morgan Stanley’s swaps unit in Q1
Aggregate US FCM margin up a huge $34.8 billion quarter-on-quarter
Clearing banks feel pinch as rates turn negative
Negative returns on dollar deposits at Eurex, Ice and LCH spur talk of business model change
Switching CCP – How and why?
As uncertainty surrounding Brexit continues and the impacts of Covid-19-driven market volatility are analysed, it is essential for banks and their end-users to understand their clearing options, and how they can achieve greater capital and cross…
Margin scuffle at Eurex blurs lines between risk and returns
Disagreement over liquidity risk add-ons may owe more to self-interest than risk management
European lawmakers urged to prevent CCP contagion risk
Watchdog says carve-out needed in new recovery and resolution rules to avoid cascading default of clearing houses
CFTC advisory body backs six-month initial margin ‘grace period’
Majority vote to recommend extra six-month extension for phases five and six of initial margin rules
EU banks predict OTC trading terms will tighten – ECB
Almost one-quarter of surveyed lenders say conditions will deteriorate
CCPs failing to set effective margin limits – study
Clearers must strike balance between countercyclicality and sensitivity to risk
Podcast: Kaminski and Ronn on negative oil and options pricing
The market is gravitating to the Bachelier model as an alternative to Black 76