Page 2 - Margin Models News Today

New model will cut margin faster after stresses abate, but costs still high for directional trades

Market participants welcome smarter margin requirements, but not the computational workload

FIA Boca 2023: Model being adopted by rivals is “bad choice” for unpredictable assets, says exchange tech official

Letter warns of cross-currency repo risks, but they didn’t feature in Archegos or LDI blow-ups

Ad hoc updates riled industry, while regulators pushed for predictability in model recalibrations

Changes aim to make margin models for gilt repo more sensitive to market moves

Annual recalibration means March volatility will not be reflected in margin until end-2021

Recalibration lifts initial margin for some products by 37% after year-end volatility forces update

Annual recalibration of Simm could catapult some energy firms over relief thresholds

Three-day move in TBA prices on June 9 triggered second-highest backtesting deficiency to date