Margin
IM requirements for interest rate swaps up $30bn in December
Latest figures from CME, Eurex and LCH show a trend reversal from previous six months
Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
Dealers inch closer to clearing of FX forwards
LCH’s ForexClear aims to ease capital charges and margin constraints on banks, but will it kick-start clearing?
US FCMs wrap up 2023 with required customer funds toeing record high
Wells Fargo, BNP Paribas marked new peaks in December
LDI firms update margin stress tests post-gilt crisis
For some managers, stress-testing models failed to reflect the convexity effects of the crisis on initial margin
IM surges at LCH following CDS users’ shift from ICEU
Figures for Q3 show 16% jump at Paris-based CDSClear
Bloating CCP default funds. New margin models. Are the two linked?
Dealers grumble that greater guaranty fund payments could undermine the ‘defaulter pays’ principle of clearing
Clearing members sour further on cash for IM collateral
Sovereign bonds remain preferred choice at top CCPs in Q3
Concentration risk ticks up at large CCPs
Top five clearing members accounted for almost half IM and open positions in Q3
JSCC’s initial margin hit all-time high in Q3
Requirements at ETP cash securities unit up fivefold, OSE-listed ETP service grows to record size
Barclays’ F&O client margin hit new high in October
Bank on course to overtake Citi as sixth-largest FCM by required funds in the US
NSCC had top margin breach of $1.2bn in Q3
Margin shortfall is largest on record for the CCP and bucks wider trend across global clearing houses
Margin failings raise concern over Treasury basis trade
Opaque models at clearing houses cast doubt on calculations for concentration add-on
Buy-siders bemoan ‘dark arts’ of corporate bond CSA discounting
Litany of pricing variables fuel wide differences in how dealers calculate discount rates for collateral agreements
Bank balancing: optimising margin and capital in a higher rate environment
This Risk.net paper, featuring leading practitioner insights, assesses the challenges banks are facing in the new higher-for-longer interest rate environment, and the strategies and tools they are using to optimise margin and capital on their derivatives…
Eurex repo haircutting to move to Prisma futures model
Switch will open cross-margining opportunities between repo and futures
Buy side reflects on BoE’s gilt liquidity lifeline
Lending facility could prevent repeat of last year’s LDI crisis if properly designed, pension and insurance experts say
Client margin up 8% at Barclays’ swaps clearing unit
UK bank bucks trend and overtakes Wells Fargo to become sixth FCM by share in August
Morgan Stanley’s default fund contributions jump $1.9bn in Q2
Aggregate increase across US clearing banks pushes requirements to highest point since 2021
US takes scissors to repos. In Europe, it’s not cut and dried
Stateside banks fear disadvantage over haircut rules that EU sees as not ready to implement
Why Isda ditched ‘off-cycle’ updates for Simm
Ad hoc updates riled industry, while regulators pushed for predictability in model recalibrations
Citi, JP Morgan slash $3tn of OTC notionals in Q2
Trimming of cleared portfolios bucks trend across top US banks
Post-crisis accounting trick haunts clearing brokers
FCMs gave up interest income for capital savings when rates were low. Now, some want it back
FCM client margin for swaps hit record high in June
JP Morgan, Barclays drive required funds increase, with UBS doubling prior-year figure