Margin models
Derivatives client clearer of the year: JP Morgan
Risk Awards 2021: bank avoided tech snags and margin call surprises that plagued peers during crisis
Clearing house of the year: Eurex Clearing
Risk Awards 2021: clearer’s Prisma margin model proves its mettle in year of market tumult
Nasdaq held Aas portfolio for nine months after blow-up
Swedish regulator reveals CCP’s decision to keep defaulted power portfolio – and claims it was not fully hedged
Nasdaq whacked with $36 million fine over Aas default
Swedish regulator’s fine poses serious questions over default management and margining, while providing few answers
LCH Ltd sent record €6bn VM call to one clearing member in Q3
Largest estimated payment obligation in the event of a member default also climbs quarter on quarter
Don’t blame CCPs’ models for Covid margin spikes – WFE
Lobby group counters popular view that tools could ease procyclicality; puts focus on liquidity management
At LCH Ltd, IM levels edged lower in Q3
Peak aggregate initial margin call for equities fund hit £3 billion
Initial margin at the OCC leapt 20% in Q3
Cleared options contract volumes hit 1.9 billion in Q3
IM, default fund resources fell at Eurex in Q3
Total collateral held remains elevated compared to pre-coronavirus crisis
Can CCPs zone in on improved margin buffers?
Dynamically adjusting margin add-ons could reduce cyclical funding demands
Data quality in focus as UMR deadlines stretch
The uncleared margin rules are seen by many as key to accurate and fast margin calculations. IHS Markit explores how firms can quickly assess proposed trades, calculate initial margin accurately and effectively handle the margin exchange workflow to…
Regulators’ margin model rules too lax – BlackRock exec
Risk USA: EU anti-procyclicality rules like “putting a curtain over a draughty window”
FCM client margin for swaps continued to shrink in Q3
Barclays the outlier as required IM jumps 22%
Jerome Kemp on the skewed economics of clearing
Only Fed intervention prevented “a really big market disaster” during Covid, says derivatives veteran
Regulators should set ‘guidelines’ for CCP margins – Kemp
Citi’s former clearing head says CCPs are still competing on margin
Eurex initial margin ebbed over Q2 as default fund swelled
Participant contributions to default fund up 55% quarter-on-quarter
After Covid, CCPs face calls for revamped disclosures
Banks and buy-side firms working with clearers to provide more granular info on margin shortfalls
LME distressed at severity of Esma stress tests
Watchdog’s simulated price shocks said to be unprecedented in metals markets
Concerns roil prop clearing waters in wake of ABN losses
State-backed lender insists few clients have defected – but sharks circle, post-Parplus
Ice Europe’s CDS unit hit by almost 1,000 IM breaches in Q1
Peak breach was €100 million in size
Higher margins would aid clearing stability – Ice Clear chief
Using volatility floors to aid “higher margins in peacetime” would have to be globally applied policy, warns Serafini
Eurex’s risk chief on the need for boring models
Banks need stability and predictability of VAR-based margin when volatility spikes, says clearing house CRO
Eurex CRO: market meltdown will mean margins stay higher
Record breaches at global exchanges fuelling pressure to keep rates permanently higher, says risk chief
CCPs failing to set effective margin limits – study
Clearers must strike balance between countercyclicality and sensitivity to risk