The OTC Space | Category Archive

Buy Side Backs Bloomberg Margin Request | Makes No Sense

May 19, 2013 by Bill Hodgson 0 Comments

All this debate on the appropriate holding period for futures, swaps or their hybrids, would be avoided if the CFTC and other regulators developed an approach that obliged each DCO (CCP) to provide empirical evidence for the product and market they wish to clear. This evidence would include trading data, portfolio data from market markers, the […]

Daniel L. Doctoroff: Where’s the Futures Trade Repository? | CEO of BBG

April 17, 2013 by Bill Hodgson 2 Comments

Check the story via the link, the CEO and President of Bloomberg sets out his stall to precede the court action on margin requirements for Deliverable Swap Futures. Congress mandated that swap transactions be reported to a “Swap Data Repository” that regulators can monitor to conduct real-time market surveillance and that the public can access […]

Putting Things Into Perspective | Swaps vs. Swap-Futures

April 4, 2013 by Ben Larah 5 Comments

It looks as though some market participants could do with a couple of words of advice from Harry Enfield’s Scousers: “Calm Down!” The Initial Margin (IM) calculation differences between swaps and swap-futures have already been covered in some depth on The OTC Space (see posts here and here). But, for convenience, here’s a quick summary: Cleared […]

Catalyst issue guidance on CCP margining

April 3, 2013 by Bill Hodgson 5 Comments

Putting a spotlight on the challenges presented by Initial Margin algorithm changes at SwapClear and Eurex In recent months, both SwapClear and Eurex have indicated that they will overhaul their margining algorithms, posing significant new challenges for all users of OTC derivative CCPs. Catalyst Development Limited, a specialist consultancy with one of the world’s largest […]

The Volatility of Low Rates | Raphael Douady | Riskdata Working Paper

April 3, 2013 by Bill Hodgson 2 Comments

A paper for the quants, about how markets behave in a low interest rate environment, and how this relates to VaR, and therefore margin exceptions in clearing (or outside for that matter). The author’s profile is here (http://www.riskdata.com/person/dr_raphael_douady.html) and here (http://www.linkedin.com/pub/raphael-douady/0/a0a/1ab). This has been kindly passed on via Sol Steinberg (http://www.swapclear.com/knowledge/ccp2/our-team.html) and (www.linkedin.com/pub/sol-steinberg/b/5a4/996) at LCH.Clearnet. The […]

IOSCO publishes comments to Feb 15 Consultative Paper on Margin for Un-cleared Derivs

April 3, 2013 by Mihir Vaidya 0 Comments

IOSCO yesterday published the comments received on the second consultative paper for uncleared derivatives on their website. All responses from industry participants are available under ‘View Comments’ here. Michael Beaton from Regulatory Reform has published a summary of some key industry responses here. There are some very interesting comments, especially from ISDA on the issue […]

bilateral, collateral, consultative document, consultative paper, derivatives, hypothecation, Initial Margin, isda, otc

Finadium: Guide to Margining for Cleared Swaps vs. Futures | Securities Finance Monitor

April 3, 2013 by Bill Hodgson 0 Comments

The post below is a trailer for a paid report, which itself looks interesting, but you need to be a subscriber. Finadium: Guide to Margining for Cleared Swaps vs. Futures | Securities Finance Monitor.

4sight | Collateral Optimisation ROI Whitepaper

April 2, 2013 by Bill Hodgson 1 Comment

Collateral Management system vendor 4sight has published their views on the ROI when using collateral optimisation, the paper is on their news page below entitled “Collateral Optimisation Whitepaper”, link below. http://www.4sight.com/resources

4sight, collateral management

Avoiding the BCBS / IOSCO Margin Requirements for Bilateral Portfolios

April 1, 2013 by Bill Hodgson 7 Comments

As everyone keeps saying, there will be unexpected outcomes from the new regulations, and one of them is about to turn the ISDA CSA upside down. Given the severe margin requirements for bilateral (non-cleared) trades, a 10 days 99% VaR segregated by asset class, this has driven research into exposure management much harder than before, […]