Margin

The impact of moving from SPAN to VaR

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Read our previous post on the pros and cons of moving from SPAN to VaR here > Market participants are generally aware of the margin rates published on services such as Bloomberg. These are based on the SPAN scanning range – the expected future price move. Given the way that the SPAN methodology works, if you just trade futures for […]

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CFTC to simplify segregation

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July 24th saw a unanimous approval of the CFTC’s proposal to reduce the complexity surrounding segregation of assets held as collateral in uncleared swap transactions. Under the Dodd-Frank, a swap dealer was required to notify each counterparty that they (the counterparty) possessed the right to choose whether that to keep their funds in a segregated […]

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Initial Margin for Non-Centrally Cleared Derivatives: Issues for 2019 and 2020

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In response to the global financial crisis of 2008-2009, the G20 agreed to a financial regulatory reform agenda covering the over-the-counter derivatives markets and market participants, among them recommendations for the implementation of margin requirements for non-centrally cleared derivatives.

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Initial Margin for Non-Centrally Cleared Derivatives: Issues for 2019 and 2020

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In response to the global financial crisis of 2008-2009, the G20 agreed to a financial regulatory reform agenda covering the over-the-counter derivatives markets and market participants, among them recommendations for the implementation of margin requirements for non-centrally cleared derivatives.

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SPAN vs VaR – The pros and cons of moving now

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If you trade futures and options you are probably aware of SPAN. It is the most widely used margin algorithm for ETD products, but it is reaching end of life. Because of this, CCPs and Exchanges are moving away from SPAN to VaR-based methodologies for margin calculation, for example: Eurex have already made the move with Prisma; launched in May […]

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Getting Ready for Initial Margin: The Steps to Take (Japanese)

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Each September until 2020, increasing numbers of entities will be required to meet initial margin regulations as the threshold level for compliance reduces. Preparation for meeting these requirements will take significant time, and will involve intensive work to ensure systems, processes and documentation are in place.

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Getting Ready for Initial Margin: The Steps to Take (Japanese)

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Each September until 2020, increasing numbers of entities will be required to meet initial margin regulations as the threshold level for compliance reduces. Preparation for meeting these requirements will take significant time, and will involve intensive work to ensure systems, processes and documentation are in place.

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Getting Ready for Initial Margin: The Steps to Take (Korean)

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Each September until 2020, increasing numbers of entities will be required to meet initial margin regulations as the threshold level for compliance reduces. Preparation for meeting these requirements will take significant time, and will involve intensive work to ensure systems, processes and documentation are in place.

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