Margin
Swaps market off pace for IM rules – Isda survey
Participants want to see more standardisation in collateral and custodial contracts
The rapid evolution of compression: Keeping pace with optimisation activity
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JSCC margin changes ease Japan interest rate pain
Negative rates prompted switch in the CCP’s margin calculation model for interest rate swaps
FCMs warn CCPs not to compete on margin
Equity moves in February exceeded margin posted against some cleared products
European legislators to exempt CCPs from new bank rules
Support in Council and Parliament suggests leverage ratio, NSFR exemptions will be in final text
VM rules sound death knell for forex swaps in Europe
Market participants claim instrument was a “mythical creature” that never really existed
Clearing conundrum – Forging a solution for the bilateral market
Central clearing has had a beneficial effect on the over‑the‑counter derivatives market, but for some products the road to a cleared model has not been smooth. Capital, operational and margin costs of the non-cleared market have increased, while…
Derivatives close-out netting nears approval in India
Legislation expected early next year will clarify that local banks can use technique, say lawyers
Asset manager of the year, risk management: Legal & General Investment Management
Risk Awards 2018: LGIM led on inflation e-trading, margin rules prep
FCA: buy side can stop work on VM rules for forwards
UK regulator follows up on statement from ESAs that urged forbearance
Goldman swaps assets drop $140bn after margin change
Move follows guidance from US regulators; no word from Goldman on capital impact
Swaptions expiries complicate portfolio optimisation runs
triBalance and Quantile users call for better post-trade co-ordination between dealers
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
New EU bank rules threaten Eurex, LCH investment policies
CCPs with EU bank licences currently run leverage ratios of less than half the minimum
Ashurst non-netting opinion on China splits lawyers
EU banks using opinion for margin exemption, at possible cost of capital savings
A balanced approach to central counterparty margining
This paper is meant to serve as a comparison of the approaches and margin models employed by CCPs.
Performance testing of margin models using time series similarity
This paper proposes a performance test based on empirical similarity that would account for margin shortfall, procyclicality and efficiency in a single score.
Cleared margin setting at selected central counterparties
In this paper, the authors address one aspect of CCP risk management: initial margining practices. The paper provides a historical review of margining at selected CCPs as well as an overview of their current margin policies.
CCP margin backtests can hide flaws, research finds
In richer test, ‘filtered’ VAR beats five other measures
Margin settlement risk and its effect on CVA
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Japan seeks speedy margin rule equivalence decisions
The country has equivalence agreements with Canada and the US, but not Europe
Time trial: the big risks that lurk in OTC margin gaps
Banks take aim at margin and trade-flow lag that can cause 95% of counterparty risk