CCP Disclosures 3Q 2016 – Trends in the Data

Central Counterparties recently published their latest CPMI-IOSCO Quantitative Disclosures, so lets look at trends in the data, similar to my article on 2Q 2016 trends. Background Under the voluntary CPMI-IOSCO Public Quantitative Disclosures by CCPs, over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk and more are published each quarter with […]

VM Big Bang – Analysing CSA Amendments

The VM Big Bang deadline is on March 1st 2017. We explain how a CSA governs Variation Margin for OTC Derivatives. ISDA are providing a Variation Margin protocol, allowing industry participants to efficiently amend their bilateral margin agreements (CSAs). We analyse what some of the changes could mean from a pricing perspective. Using a simple example, we highlight why the […]