Margin risk
UMR and the growth of client clearing
Following the implementation of phase six of the uncleared margin rules (UMR) this September, buy-side firms in-scope are carefully considering how to allocate capital and collateral more efficiently. Uchenna Uduji, ForexClear business manager, discusses…
CFTC urged to take lead on CCP margin models
Advisory committee unable to agree steps on margin period of risk, model transparency
Initial margin held by top CCPs declined over Q2
Cash collateral held at central banks down 23% across top CCPs
Eurex initial margin ebbed over Q2 as default fund swelled
Participant contributions to default fund up 55% quarter-on-quarter
The unintended impact of collateral on financial stability
Initial margin requirements for OTC derivatives can increase risk of contagion, writes economist
At CCPs, sovereign bonds are top IM collateral
Government debt makes up 48% of IM on average among top clearing houses
An old fight over margin protections rears its head
CFTC rules on margin and loss limits for separate accounts are being torn up for asset managers
JSCC bond unit reports 26 margin breaches in Q3
JGB turmoil, heightened activity may have caught clearing members off-balance
Risk.net podcast: OCC’s Fennell on Nasdaq breach, crypto and ‘skin in the game’
Clearing house is “seriously considering” contributing to own default waterfall
CME plans sweeping overhaul of ageing Span model
New margin calculator will bring futures, options and swaps under single framework
Complying with regulatory initial margin and automating the collateral management process
Since the introduction of uncleared margin rules, collateral management has been thrust into the regulatory spotlight, becoming a priority for firms with over-the-counter derivatives portfolios
Ice Clear Europe had a top margin breach of $91 million in Q1
A total nine breaches are reported, averaging $14 million
CME reports two margin breaches in Q1
Shortfalls totalling $79 million were by far the largest for the CCP since public reporting started in 2015
CCPs incur fewer margin breaches in 2017
LCH Ltd reports 399 fewer breaches than in 2016; DTCC 156
BP oil spill creates long-term oil risk management issues
BP’s Gulf of Mexico oil spill forces risk managers to look at long-term margin costs and soaring oil prices post-2012
Margin notes
Brett Humphreys explains how to measure and manage margin risk, an often-overlooked – yet often-significant – risk exposure