January 10, 2012
FIA article on margining at SwapClear & ICE
The FIA magazine (free with subscription) has two articles on margin calculations for IRS and CDS at SwapClear and ICE. Both make their approach to margin calculations more transparent to a public audience than is usually available, especially ICE. Worth a read.
CDS clearing at ICE: http://www.futuresindustry-digital.com/futuresindustry/201111#pg33
IRS clearing at LCH.Clearnet SwapClear: http://www.futuresindustry-digital.com/futuresindustry/201111#pg36
Front page below.