Is Now The Time to Optimise Your Initial Margin?

Initial Margin ISDA have just published the latest edition of the “ISDA Year-End Margin Survey”: We have covered previous versions of this survey, which are always worth a re-read because you can laugh at any predictions we made in the past! Sifting through all of those reveals that between $650-800bn in extra IM was anticipated by ISDA […]

USD Swaps Margin Calls in March 2023

I know our readers will have followed the events of the last two weeks, covering Silicon Valley Bank (SVB), First Republic Bank(FRC) and Credit Suisse (CS). Each different institutions, but each faced with massive depositor withdrawals caused by a loss of trust in the soundness of their business. At the start of 2023, who would […]

The CFTC Monthly Cleared Margin Report

The Commodity Futures Trading Commission (CFTC) produces a monthly cleared margin report for DCOs (CCPs) required to file daily initial margin with the CFTC’s Division of Clearing and Risk. The report aggregates initial margin from six DCOs: CME, ICE Clear Credit, ICE Clear US, ICE Clear Europe, LCH Ltd and LCH SA. The latest report […]

Archegos, APAs and Uncleared Margin Rules

My recent blog on Archegos, Trade Repositories and Initial Margin, was very popular, so I wanted to do a follow up on the same two topics; transparency of derivatives and initial margin requirements. For those of you not familiar with the three letter acronym, APA, it stands for Approved Publication Arrangement which is a European […]

Archegos, Trade Repositories and Initial Margin

Amongst the many questions that standout from the huge losses suffered by prime brokers in closing out the positions of Archegos Capital Management, the two that interest me most are, first the lack of transparency of the derivatives (total return swaps) used for these positions and second the in-adequate risk management by the prime brokers. […]

Clearing House Margin calls in Q1 2020

Clearing Houses have recently published data on the magnitude of margin calls they made in Q1 2020 and these are interesting to say the least. Given the massive price volatility we observed in March across all asset classes, we knew these were going to be big numbers, so let’s dive into the detail. Variation Margin […]