Margin models
More cleared repo sponsors join Eurex ahead of cross-margining
End of TLTROs for banks and pension fund search for liquidity management tools drives uptake
IM requirements at LCH ForexClear hit record high in Q2
Latest figures show a 32% increase quarter on quarter to $10.7bn
Clearing members welcome JSCC initial margin reforms
Stress loss add-ons touted as path to ensure defaulter pays and default fund contributions shrink
Eurex default fund reshuffle leaves members frustrated
Clearing members say concentration margin add-ons would be fairer than buffer on all portfolios
Ice postpones migration to VAR in bid to improve offsets
Clearing house will move on freight products before energy, as users fret over margin spikes
VAR migration postponed at LME amid nickel crisis review
Clearing house faces tricky balance between arbitrage trades and corporate metals hedging
Isda pushes to ‘decouple’ Simm calibration from model changes
Emir 3.0 prompts effort to separate risk-weight revisions from methodology updates
Alternative margin models for mortgage-backed securities
The authors investigate mortgage-backed securities, applying margin frameworks often used on other asset classes to MBSs which could be uses as a supplemental model framework.
Industry urges focus on initial margin instead of intraday VM
CPMI-Iosco says scheduled variation margin is better than ad hoc calls by clearing houses
Buy side would welcome more guidance on managing margin calls
FSB report calls for regulators to review existing standards for non-bank liquidity management
CCPs show support for daily stress margin tools
Anti-procyclicality measure floated by HKEX official sparks interest from rivals including Nasdaq
US FCMs’ residual interest buffers hit record low in December
A decade on from CFTC rules on residual interest target, firms’ segregated cash has not kept pace with client funds
US FCMs far apart on target residual interest levels
Dealers diverge widely in how much capital they deem necessary to cover customer fund shortfalls
Emir 3.0 threatens lag for Simm revisions
New EU rules could stall changes aimed at improving risk sensitivity of industry margin models
Esma pledges faster approvals for CCP margin model changes
Löber says regulatory sign-off on small model changes should take just three weeks under Emir 3.0
Large EU prop traders dump once-loved capital method
Industry lobbied for requirement based on margin haircuts, but it has provided little relief
In a world of uncleared margin rules, Isda Simm adapts and evolves
A look back at progress and challenges one year on from UMR and Phase 6 implementation
A dynamic margin model takes shape
New paper shows how creditworthiness and concentrations can be reflected into margin requirements
Dynamic margining long/short equity trading strategies
A repo haircut model extends a previous solution for long-only strategies
EU clearing houses want global standard on procyclicality
CCPs fear Europe will adopt its own prescriptive rules despite ongoing international consultation
Better anti-procyclicality? From a critical assessment of anti-procyclicality tools to regulatory recommendations
The authors carry out quantitative and qualitative analysis of anti-procyclicality tools and suggest policy measures intended to make APC tools more effective.