Initial margin
Bitcoin futures pricing kindles manipulation fears
CME and CBOE insist pricing methodology is robust; critics say contracts are ripe for manipulation
Degree of influence, 2017: Quants dissect initial margin
Initial margin, optimal execution and applications of machine learning were the hottest topics of 2017
Q&A: CFTC’s Quintenz weighs swap dealer threshold impact
Activity-based threshold could be ‘disincentivising’ dealers, says commissioner
Banks prepare for battle with Fed over G-Sib rules
Proposals would kill client clearing business, FCMs claim – but postponement is a chance to fight back
Industry hails potential US relaxation of margin timing rules
Treasury’s proposed shift from T+1 for non-cleared swaps welcomed, but IM calculation comments draw fire
NSFR consultation: industry awaits derivatives fix
Possible fixes under consultation don’t go far enough, say banks
Dealers blame US futures IM dip on low vol
CFTC data shows required initial margin down 15% since start of 2017
EC official hints at partial relocation of euro swaps
Commission yet to work out details such as which products and what share of stock may have to move
Asia clearing surge raises concerns over eligible collateral
Scarcity of high-quality liquid assets gives rise to liquidity risk worries, say banks
Don’t leave margining till the last minute
Institutions in Asia have a narrowing window to plan for initial margin regime
Industry renews push for triBalance clearing exemption
Dealers using Emir review to request carve-out for optimisation trades
Compliance fears slow use of synthetic swaps to cut IM
Dealers want firmer guidance on whether technique to slash margin costs contravenes clearing mandate
Capital savings from new IM regime elude dealers
Slow model development and approval processes mean banks yet to see benefits expected under margin rules
BNY Mellon’s Neal on funding, liquidity and collateral
Markets head Michelle Neal says firm has “big responsibility” after JP Morgan’s tri-party repo exit
Repeal CEM; reform SA-CCR
Capital framework hurts clearing resilience, Citi execs argue
Swaps users face potential margin bill for Libor transition
New margin rules could snare legacy trades amended to reference alternative rates, lawyers warn
Effective collateral management strategies
Sponsored webinar: Calypso
Ashurst non-netting opinion on China splits lawyers
EU banks using opinion for margin exemption, at possible cost of capital savings
Managing market liquidity risk in central counterparties
This paper discusses the different approaches to incorporating market liquidity risk within a CCP’s default waterfall and the challenges that these approaches pose.
Initial margin model sensitivity analysis and volatility estimation
This paper presents a new approach to parameter selection based on the statistical properties of the worst loss over a margin period of risk estimated by the margin model under scrutiny.
All MVA needs is a first-mover
Fair value adjustment for initial margin should be reflected in accounting statement
Accounting for initial margin under IFRS 13
Chris Kenyon and Richard Kenyon show why initial margin should be part of the fair value of a derivative
CCP margin backtests can hide flaws, research finds
In richer test, ‘filtered’ VAR beats five other measures
