Initial margin
Morgan Stanley’s swaps clearing unit boosts client margin by $4.8bn
In total, FCMs see required client margin increase 18% quarter on quarter
Trading non-cleared derivatives tougher in Q3 – ECB
Twelve percent of respondents said trading conditions worsened for interest rate products
Banks warn of trader crunch at CCP default auctions
Risk USA: dealers hope for more cross-CCP fire drills
CCPs dismiss bank, buy-side criticisms
CME, Ice bat away suggestions of flaws in clearing house risk management
Stress-testing to improve strategic decision‑making
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
Tri-party repo and collateral businesses feather BNY Mellon’s earnings
Non-cleared margin rules and US Treasury issuance behind revenue surge
Initial margin posted to LCH’s repo service tripled at end-June
Surge in required IM indicates explosion in repo demand
Two Ice clearing houses trim liquid assets
Ice Clear Europe and Ice Clear US both removed cash from commercial lenders in Q2
Study of correlation impact on credit default swap margin using a GARCH–DCC-copula framework
In this paper, the authors establish generalized autoregressive conditional heteroscedasticity–dynamic conditional correlation (GARCH–DCC) and constant conditional correlation (CCC) copula model frameworks to study time-varying correlation among credit…
LCH SA members add €371m to cash, derivatives default fund
Funds for other clearing activities see quarter-on-quarter falls, in contrast
Ice’s European CDS clearing house adds €175m to default fund in Q2
In contrast, futures and options fund shrinks 6% quarter-on-quarter
DTCC default fund contributions climb 15%
CCP had 270 clearing members at end-June
Eurex Clearing members add €609m to default fund
Initial margin posted in Q2 soars 5%
Ice, CME shore up clearing house recovery planning
Introduction of VMGH and tear-ups comes amid impasse over CCP recovery and resolution rules
Buy side seeks non-cleared margin relief for SMAs
Sifma AMG calls for $50 million IM exchange threshold to be set annually
Clearstream, Euroclear eye buy-side bonanza as IM rules loom
Depositories offer access to automated margining in different ways, but each faces challenges
Initial margin product of the year: Murex
Asia Risk Technology Awards 2019
Margin Xchange iced after regulators lift IM burden
A&O-backed platform quits two-horse race, leaving Linklaters-backed service with a clear run
JSCC member default fund contributions fall to ¥676bn in Q2
Default fund contributions shrink 19%, but members’ initial margin payments climb
Big US banks hold more Treasuries as swaps collateral
Government securities made up 8.2% of all initial and variation margin at G-Sibs in Q2
Cleared swaps surge $6.6trn at US G-Sibs in Q2
Cleared swaps accounted for 54% of G-Sib notionals in Q2
Buy side continues with IM prep despite delays
Firms looking at custodian types, docs and trading strategies to optimise margin
Citi’s swaps clearing unit boosts client margin by $2bn
The largest FCM accounts for 27.1% of all required client margin