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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.

 


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