We estimate the Initial Margin impact from moving EUR Clearing out of the UK This could happen as a result of Brexit We can make an estimate as to the maximum margin impact possible using publicly available data In terms of Initial Margin, we only see a small impact on the LCH SwapClear portfolio in London But […]

Back in July of 2016, the CME submitted a proposal to the CFTC for a new class of clearing membership which they call “Direct Funding Participant” (“DFP”).  I was drawn to the topic last week when Bloomberg wrote an article about its imminent effective date of Sep 23, 2016.  As it happens, it appears that date was […]

I last looked at this in Oct 2015 in my article MiFID II and the Trading Obligation for Derivatives and now that a year has passed there is a new ESMA Consultation. The accompanying discussion paper is here and in this article I will review the key elements of the consultation. Background Once a class […]

ISDA SIMM の方法書を見てみよう
金利商品について、ISDA SIMMに従って当初証拠金（IM）を計算するためのExcelスプレッドシートをつくりたい
そして、ISDA SIMMまたは中央清算における、単独トレードとポートフォリオに関するIMの計算について概略をのべる