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Avoiding the BCBS / IOSCO Margin Requirements for Bilateral Portfolios
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...
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4sight | Collateral Optimisation ROI Whitepaper
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”,...
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Finadium: Guide to Margining for Cleared Swaps vs. Futures | Securities...
The post below is a trailer for a paid report, which itself looks interesting, but you need to be a subscriber. Finadium: Guide to Margining for Cleared Swaps vs. Futures | Securities Finance Monitor....
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IOSCO publishes comments to Feb 15 Consultative Paper on Margin for...
IOSCO yesterday published the comments received on the second consultative paper for uncleared derivatives on their website. All responses from industry participants are available under ‘View Comments’...
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The Volatility of Low Rates | Raphael Douady | Riskdata Working Paper
A paper for the quants, about how markets behave in a low interest rate environment, and how this relates to VaR, and therefore margin exceptions in clearing (or outside for that matter). The author’s...
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Catalyst issue guidance on CCP margining
Putting a spotlight on the challenges presented by Initial Margin algorithm changes at SwapClear and Eurex In recent months, both SwapClear and Eurex have indicated that they will overhaul their...
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Putting Things Into Perspective | Swaps vs. Swap-Futures
It looks as though some market participants could do with a couple of words of advice from Harry Enfield’s Scousers: “Calm Down!” The Initial Margin (IM) calculation differences between swaps and...
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Daniel L. Doctoroff: Where’s the Futures Trade Repository? | CEO of BBG
Check the story via the link, the CEO and President of Bloomberg sets out his stall to precede the court action on margin requirements for Deliverable Swap Futures. Congress mandated that swap...
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Buy Side Backs Bloomberg Margin Request | Makes No Sense
All this debate on the appropriate holding period for futures, swaps or their hybrids, would be avoided if the CFTC and other regulators developed an approach that obliged each DCO (CCP) to provide...
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Value at Risk, what you should know, overview and detail
Last week I presented Value at Risk to a meeting of the CFA Institute. The brief was to provide an introduction to Value at Risk, why it is used in capital markets, how is it calculated, strengths and...
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ISDA 2013 EMIR Portfolio Reconciliation, Dispute Resolution and Disclosure...
On 25th June 2013, ISDA has sent its members the pre-publication draft of the ISDA 2013 EMIR Portfolio Reconciliation, Dispute Resolution and Disclosure Protocol, asking them to provide their comments...
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Cross-margining at CME slowed by practical challenges – Risk.net
Interesting commentary on combining futures into an OTC portfolio at CME The margin savings on offer are also lower than the eye-catching figures of 70–80% in CME marketing material. While that is...
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Margin requirements for non-centrally cleared derivatives – final report...
It’s out – follow the link below or click for the pdf to read the BIS / IOSCO requirements for margin on non-cleared OTC derivatives. I’ve also added a summary of the Margin requirements for...
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Summary Of The Proposals for Margin on Uncleared OTC Derivatives
After a quick read through, the main points of the BIS IOSCO proposals for margin on uncleared OTC derivatives appear to be: FX spot and forwards are except The FX parts of a Currency Swap are exempt...
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Beat Amazon, 30% Off The Latest Book on Central Clearing for OTC Products |...
David Murphy, the author behind the Deus Ex Macchiato blog and Independent Consultant, has written the latest book on central clearing, which gathers together straightforward explanations of the...
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Footnote 15 Currency and Rates Portfolios Can Be Portfolio Margined | BCBS...
The text of footnote 15 (page 12) in the Summary Of The Proposals for Margin on Uncleared OTC Derivatives reads thus: “Currency and interest rate derivatives may be portfolio margined together for the...
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Beat Amazon, 30% Off The Latest Book on Central Clearing for OTC Products |...
David Murphy, the author behind the Deus Ex Macchiato blog and Independent Consultant, has written the latest book on central clearing, which gathers together straightforward explanations of the...
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Interpretation of WGMR Haircut Means SCSA Lives To Fight Another Day
Reblogged from Regulatory Reform: Risk Magazine is reporting that certain unnamed US and European regulators are hinting that the additional 8% haircut levied on collateral denominated in a different...
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Swap Margins Increase by 12% | CME Group
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...
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Secretive start-ups eye uncleared OTC risk reduction | Risk.net
Whilst much of the attention has been on CCPs, in the background new services are emerging to respond to the coming increase in cost and margin for un-cleared OTC business. Risk provides a brief...
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