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December 5, 2012

OTC Margin Models Landscape

Given today's story at Risk Magazine about SwapClear tuning their IM model for a low interest rate environment, it's interesting that more or less all the other CCPs use a similar model (for Rates), and perhaps will be looking again at whether they are also capturing sufficient IM.  From publicly available information, here's how the various margin models stack up (if anyone can fill in the blanks or improve on this, please let me know): (Click to enlarge the image)


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