CCP Initial Margin for Interest Rate Swaps

The Dodd-Frank Act in the US and the EMIR Directive in Europe have mandated the requirement for Interest Rate Swaps to be cleared at Clearing Houses. One of the most significant differences in market practices from this change is the requirement to post collateral to meet the Initial Margin requirement. At the recent 13th Annual Collateral Management Conference in London, 2012, Amir Khwaja shared some insights on the topic.


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2 thoughts on “CCP Initial Margin for Interest Rate Swaps

  1. Thank you for this interesting presentation. As you mention, the VAR of the portfolio can change even if there are no new trades. This change in VAR can be significantly different to the change in PL.
    Do you know if EMIR and Dodd Franck have any provision for this?
    Is there a “reset” of the initial margin or a “variation” margin linked only to VAR changes?

    1. Thank you for your comment.

      Initial margin has to be met by posting collateral to the account and every day any increase in margin must be met by posting more collateral and any decrease can be used to reduce the collateral.

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