Initial Margin

Decision Support and Analytics for Clearing

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New regulations are transforming how banks and the buy-side process Over the Counter (OTC) derivatives business, and in particular making the relationship between process choices and cost of the highest importance. For instance, U.S. regulations insist that the journey from execution to clearing take mere seconds, which makes limit checking pre-trade vital to smooth the path for each trade.

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Procyclicality of Risk Based Initial Margin Models | Bank of England Research

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The Bank of England have published a study into the way IM models work when reacting to stressed market conditions, comparing models such as VaR, Historic Simular VaR and HSVaR with an Exponentially Weighted Moving Average (EWMA) filter.

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The impact on collateral operations | Risk & IBM survey

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Risk magazine sponsored by IBM conducted a global survey from 28 February until 27 March 2014, polling 130 Sell & Buy Siders in a first effort to enlighten us a bit more on where industry stands with its preparations with regards to the upcoming margin regime for non cleared OTC Derivatives, expected to be implemented in phases between 2015 and 2019.

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The Many Ways to Compress a Portfolio | SwapClear Announcement

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There are many ways to reduce a portfolio and simply it for operational and economic purposes

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CCPs Revise Margin Models | Esma

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According to a Risk Magazine article (subscription required), some European CCPs are revising their margin models in order to comply with Esma regulations regarding the effects of procyclicality on margin requirements.

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Weekly Roundup | Clearing & Collateral Management | 16 December 2013

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Clearing: Standard Initial Margin Model (SIMM)

ISDA Publishes Initial Thoughts on SIMM

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Weekly Roundup | Collateral Management | 22 Oct 2013

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The Top Stories in Collateral Management this week:

CACEIS Launches Buy-Side Collateral Tool

Asset servicing firm CACEIS has launched a new buy-side collateral management tool offering clients a global and consolidated view of their collateral by counterparty. FTSE Global Markets: CACEIS launches buy-side collateral tool

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Bilateral Posting of Initial Margin En Vogue Ahead of Regulation

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Risk.net reports that a number of large derivatives dealers, including Bank of America, Barclays, Deutsche Bank, UBS and Citi, have started posting bilateral initial margin between each other.

These lump sums appear to be:

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Swap Margins Increase by 12% | CME Group

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CME group put an announcement on their website on October 15th stating that, effective October 16th, an Event Risk add-on of  3% will be applied to the base margins for all OTC IRS portfolios.

This will increase by 3% every day over the next four business days, resulting in an eventual 12% Event Risk add-on.

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