A new CPSS-IOSCO consultative report puts forward a proposal for using non-defaulting clearing members IM to cover losses at a CCP. D.E.M.
Bloomberg have integrated the Initial Margin calculations from SwapClear into their trading platform. What this provides is:
An interesting paper spotted by SFM, with their summary, a link to the original paper and further background. It needs time to read but worth it. Banca d’Italia paper looks at factors behind RWA calculations, why they differ so much | Securities Finance Monitor.
Collateral Management system vendor 4sight has published their views on the ROI when using collateral optimisation, the paper is on their news page below entitled "Collateral Optimisation Whitepaper", link below. http://www.4sight.com/resources
As everyone keeps saying, there will be unexpected outcomes from the new regulations, and one of them is about to turn the ISDA CSA upside down. Given the severe margin requirements for bilateral (non-cleared) trades, a 10 days 99% VaR segregated by asset class, this has driven research into exposure management much harder than before, to find a way to limit the costs of posting such large amounts of margin. A number of techniques are presenting themselves which hadn't been looked in detailed before. Ben Larah at Sapient alerted me to this line of thinking, as did Amir at ClarusFT.
My latest piece for FTSE GM magazine - should you be thinking about how you route trades via your FCMs and CCPs using IM, Fees and Regulatory Capital as criteria? Decision support in a cleared world - FTSE Global Markets.
The BIS conducted a survey (http://www.bis.org/publ/bcbs240.pdf) "Regulatory consistency assessment programme (RCAP) – Analysis of risk- weighted assets for market risk", which in simple terms means a study into how banks calculate regulatory capital, including tests using 26 pre-defined sample portfolios.
DEM makes recommendations on how to monitor and manage large institutions, worth a read.
Pre crisis, one might have thought that:
- Banks survive if their assets are worth more than their liabilities.
Post crisis, we know that a more accurate account is