Margin
Margin exchange threshold relief: get out of jail free?
‘Game-changing’ IM exchange threshold relief may not be the phase five free pass it first appears
EU bank clients pressed for better trade terms in 2019
Hedge funds saw price and non-price conditions tighten in Q4
Eurex members divided over liquidity risk charges
Banks say proposed charge too conservative, debate whether add-on should be charged directly to clients
Custody battle: competing tensions put IM prep in jeopardy
Conflicting custody interests and delayed docs call IM phase five readiness into question
At CCPs, sovereign bonds are top IM collateral
Government debt makes up 48% of IM on average among top clearing houses
On eve of Brexit, PPF’s chief risk officer isn’t too worried
Stephen Wilcox talks about getting pensions paid without the benefit of controlling ‘UK Plc’
At CME, required IM up 18% in Q3
Surge follows busy August and September for the swaps clearing business
SwapClear model update causes IM hike
Maximum aggregate IM call for Q3 was £3.7 billion
Margin test, open access, repo stress
The week on Risk.net, December 14–20, 2019
US firms must rerun non-cleared margin test in March
Proposed CFTC calculation delay offers in-scope firms chance to trade out of phase five compliance
Smarter trading in a fragmented world
FX Week recently hosted a webinar in partnership with Refinitiv to ask foreign exchange industry leaders to discuss geopolitical challenges, market changes and developments, and evolving technologies, and how they have shaped forex markets in Asia
Coping with uncleared margin rules – the tricks, traps and tools
A unique insight on the evolving UMR strategies of 110 banks and buy‑side firms
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
Will uncleared margin rules change the FX landscape?
As the next phases of uncleared margin rules come into force, there will be an economic driver for more clearing of FX. By Phil Hermon, Executive Director of FX Products at CME Group
EU gives one-year margin reprieve on equity options
Regulators point to possible systemic risk in margin loophole, as industry urges parity with US
Germany scrambles to shut the door on Mifid open access
Finance ministry will face fine timing to reverse clearing rule during its EU presidency
IM phase five – Smaller on bang, bigger on complexity
The initial margin ‘big bang’ may have been reined in by last-minute relief, but dealers aiming to get hundreds of buy-side firms over the documentation finish line by September 1, 2020 fear a compliance bottleneck
How pre-trade IM calculation can optimise and reduce collateral drag
With firms under pressure to make their systems compliant with uncleared margin rules (UMR), the increase in margin requirements has put further strain on the availability of high-quality liquid assets. Mohit Gupta, senior product specialist at Cassini…
Estimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte Carlo
The authors propose a model for conduct risk losses, in which conduct risk losses are characterized by having a small number of extremely large losses (perhaps only one) with more numerous smaller losses.
JSCC issued ¥486bn VM call in Q3
Estimated largest payment obligation sized at ¥620 billion
JSCC had a top margin breach of ¥114m in Q3
Three backtesting exceptions disclosed for 12-month period to end-September
MVA taking the long road to acceptance
Four years on, the adjustment is still not a standard part of non-cleared swap pricing
Clearing house of the year: LCH
Risk Awards 2020: CCP conquers Brexit threat to deliver banner year for RFRs, margin and forex