Margin, Risk and Capital for Derivatives

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For Clearing Members, Clients, Swap Dealers

Initial Margin, What-If, MVA, Optimise: LCH/CME/SIMM/ASX


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  • Jun, 6

    CCP Margin Calculation

    Margin Calculations directly from Excel Are you using LCH SMART, CME CORE or ASX Online? Would you prefer to use Excel? For IM & VM Calcs, What-ifs, Optimize and more 14-day trials are available to members and clients Background CCPs provide software tools for their members and clients to estimate initial margin requirements. Generally these […]

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    Oct, 31

    Initial Margin, Compression Volumes and why the time to Optimise is now

    CCP disclosures show that total Initial Margin held at CCPs is increasing, mainly driven by increasing IM held by clients. We see a steady increase in the number of client accounts at CCPs, which is likely a key driver of Client IM heading higher. Compression volumes from the SDRs have hit recent records, and triOptima […]

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  • Sep, 27

    Initial Margin Attribution

    Initial margin is an important portolio measure Attributing it to constituent business units is not simple Diversification benefit between units is a key concept The choice of methodologies can align or mis-align incentives An example explains what you should know Initial Margin and Diversification Benefit IM is a portfolio risk measure and one that is […]

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    Sep, 20

    Margin for Non-Cleared Derivatives

    Uncleared Margin Rules (UMR) for IM have now been in force for one year The ISDA Margin Survey 2017 provides a snapshot of IM delivered and received $47.2 billion and $46.6 billion respectively, between Phase One firms (March 31, 2017) I look at how the figures compare to an $800 billion estimate from 2012 What […]

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  • Mar, 1

    Initial Margin Optimization

    Summary: Initial Margin requirements for OTC Derivatives are large and increasing at CCPs IM Optimization is a periodic or trade by trade analysis that seeks to reduce overall IM Clearing members can achieve significant cost and capital benefits Similar techniques can be extended to UMR and ISDA SIMM Client IM is growing much more rapidly than […]

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    Nov, 30

    How Trump Has Increased Your Margin Requirements

    aka “How Volatile is Initial Margin?” The month of November has seen a very significant market movement for most markets, and in particular for fixed income derivatives. Some of our clients this past month have seen some massive swings in margin requirements for their cleared swaps, and I was intrigued to go see if this […]

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  • Nov, 16

    Margin Buffer, Event Risk and the US Election

    Following on from my article on Sizing the Margin Buffer for Cleared Swaps I wanted to look at how a margin buffer sized prior to Trump’s US Election win, would have held up on November 9, 2016 and whether such Event Risk should be handled differently. USD Swap Rates We covered the market moves in our […]

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    Oct, 26

    Sizing the Margin Buffer for Cleared Swaps

    Daily Variation Margin flows between Clearing Houses and Clearing Members and between Clearing Members and their Clients are sizeable e.g. we know from LCH SwapClear’s CPMI-IOSCO Disclosures that the highest VM paid on a single day by all members to the CCP was $16 billion! As Clearing Houses make intra-day margin calls, Clearing members generally maintain […]

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  • Oct, 19

    Optimizing Swaps Margin Across Brokers

    Back in August I wrote an article about how large, self-clearing firms can reduce the amount of capital required to support their cleared business by wisely choosing to backload margin-reducing bilateral trades. While I wrote that about large banks, there is an analogous case for trading firms that do not self-clear.  In fact, we’ve been […]

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    Sep, 13

    How large will Initial Margin be for Uncleared Swaps?

    Continuing with the theme of Uncleared Margin, I wanted to look at how large the Initial Margin for Uncleared Swaps and Other Derivatives could become at the end point in 2019. ISDA Research Lets start with this interesting document from ISDA, Initial Margin for Non-Centrally Cleared Swaps. In which ISDA estimates that, with the $50 million counterparty […]

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