Ice changing margin model for move into options
CCP aims for Q1 2019 roll-out of new Monte Carlo-based methodology as it plans launch of index swaptions
Ice Clear Credit has received regulatory approval to switch from its stress-based initial margin methodology to one based on Monte Carlo simulations – a step, the clearer says, that paves the way for it to launch clearing for options on credit default swaps (CDS) indexes.
The firm is planning to adopt the new method in the first quarter of 2019, having received approval from the US’s Commodities Futures Trading Commission, which regulates index-based over-the-counter derivatives, at the end of
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