Margin
EU plan to suspend power derivatives gets icy response
Proposal from energy ministers to ease collateral burdens blasted as “silly” and “terrible idea”
Interest rate vol triggered three breaches at CME in Q2
CCP’s interest rate swaps clearing unit reported its first initial margin shortfalls since Q3 2020
Margin costs leap on Simm rejig and rates hikes
Acadia finds roughly one-third jump in exposure following Simm recalibration, with higher funding costs adding to burden
Credit checks, what credit checks? How crypto lending ate itself
Collapse of hedge fund Three Arrows Capital exposes “sloppy and irresponsible” credit standards among crypto lenders
LME member default fund contribution jumps 89%
Following record-breaking margin breach in Q1, the CCP plumped up its line of defence
Goldman’s rates traders have been crowd-watching
Talking Heads 2022: Steepener unwinds in sterling were “canary in the coalmine”, says rates trading co-head
Banks shock commodities by 1,000% in stress-test rethink
Energy price spikes force clearing firms to consider extreme or even ‘implausible’ scenarios
How Citi is handling topsy-turvy rates markets
Talking Heads 2022: Rate hikes and inflation have forced a rethink of the US bank’s hedging strategies
Choice of margin period of risk and netting for computing margins in central counterparty clearinghouses: a Monte Carlo investigation
The authors provide a quantitative comparison for evaluating the impact of collecting margins in a gross-versus-net system with the margin period of risk (MPOR) set to between one and five days.
Buy-side retreats to ‘dirty’ CSAs amid collateral crunch
Repo market fears prompt insurers and pension funds to revert to bond collateral
Goldman hoovers up $1.5bn of client margin in June
US bank bucks trend as top FCMs all cut required margin for futures and options trades
The ghost of Archegos returns to haunt Simm
UK regulator’s attack on Simm may have more to do with the failed family office than meets the eye
PRA’s pot shots threaten Simm’s global ubiquity
UK regulator’s push to improve model governance could tip non-cleared derivatives market into chaos
Phase six margin cohort may exceed estimates as vol bites
Acadia sees numbers around one-third higher than initial count, with fewer set to rely on relief
UK offers six-month margin reprieve for China netting sweep
Transition period falls short of Isda’s 18-month request, Hong Kong mulls similar relief
Commodities surge presents UMR test for Asia’s sell side
Increased interest in commodity exotics comes amid scrutiny of margin calculation models
FCM client margin for F&O hit all-time high in May
But concentration among top 10 broker-dealers continues to shrink
Share of required margin increases at top EU CCP members
Number of clearing members with total requirements of €10bn and above has been increasing since 2017
Concentration risk add-ons too low at Ice and ECC, says regulator
Results of European stress test suggest shortfall of collateral for large commodities positions is equivalent to 17% of total required margin
Client margin at Wedbush unit up 46% in April
Futures and options clearing unit saw largest monthly increase across all FCMs
Commodities threaten pain for initial margins
Market volatility and spot-based Simm approach may drive large margin spikes in little-tested asset class
Initial margin at Ice Europe up 15% over Q1
IM held against F&O positions hit all-time high, as number of margin breaches nudged higher
Eurex’s fixed income and IRS units hit by almost 700 breaches
Peak breaches in Q1 were €706 million and €214 million in size, respectively
BNY Mellon offers ‘seg-light’ custody model to aid IM prep
Pre-prepared docs would cut unnecessary account fees and reduce risk of trading halts