CHARM

Margin, Risk and Capital for Derivatives

For Clearing Members, Swap Dealers, Clients

LCH/CME/ASX/EUREX/SIMM

Default Management Fire-drills

Initial Margin, What-If and Optimise

Attribution of IM and Margin Valuation Adjustment

CCP Switch and Optimise Clearing Broker

Client Clearing – Funding and intra-day monitoring

Capital, SA-CCR, FRTB SA, FRTB IMA

Web Apps and AWS Cloud

Latest Posts

  • May, 25

    For the first time, we see over $1Trn in Initial Margin

    Total Initial Margin across the industry has now topped $1trn for the first time. Initial Margin requirements across the industry have increased by $725bn since 2016. This drives the need for more optimisation. We look at the data and benchmark the ISDA projections from way back in 2015. Capitolis First this week, a recommendation. No […]

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    Feb, 9

    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 […]

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  • May, 25

    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 […]

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    May, 11

    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. […]

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  • Jul, 8

    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 […]

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    Jun, 3

    Backtesting of margin models

    Given the recent increases in initial margin that I covered in a few recent blogs (see Procyclical margins in the time of Covid-19 and Crashing rates and swap margins), I wanted to look into backtesting of margin models. Background Backtesting is a well established practice, widely used by all CCPs to check the adequacy of […]

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  • May, 20

    Procyclical margins in the time of Covid-19

    I recently read an interesting BIS Bulletin, titled “The CCP-Bank nexus in the time of Covid-19”, by Wenqian Huang and Elod Takis (available here), with the following key takeaways: The specific part I am going to focus on today is the third bullet point, “higher margins should be expected but the extent of procyclicality or […]

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    May, 6

    How Much Margin? 2019 Edition

    We analyse how much Initial Margin is being held versus derivatives in 2019. This covers cleared and uncleared OTC derivatives, plus exchange traded contracts (Futures and Options). It is difficult to perform the same analysis for Variation Margin. We take a look at the latest ISDA Margin Survey to see if it holds the answers. […]

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  • Mar, 11

    Crashing Rates and Swap Margins

    In observing the markets over the last few weeks there are so many significant moves; Oil prices collapsing by 30% in a day, S&P500 declining 7.6% in a day, the 7th worst move since WW2 and worst since 2008, the whole US Treasury Curve out to 30Y trading below 1% for the first time ever. […]

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    Jul, 23

    A new $50billion threshold for UMR and 1-year extension

    Today BCSB IOSCO put out a press release announcing two significant changes to the UMR timeline: A one-year extension, to Sep-21 for the final UMR implementation phase for firms with > $8 billion of aggregate average notional amount (AANA) of un-cleared derivatives. An new phase for firms with > $50 billion of AANA on the […]

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