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LCH Ltd s RepoClear margin model gets a makeover

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

City ofUnited kingdomKingdom registered repoclearNited kingdom ukInitial marginLiability driven investment ldiGovernment bondsMargin modelsPension fundsAlue at risk varRisk management

After coronavirus rout, concerns raised about Simm

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

Cassini guptaIsda kruseMohit guptaDipak chotaiTara kruseBasel committee on banking supervisionInternational organization of securitiesDerivatives associationJd risk solutionsInternational swapsCassini systemsBasel committeeBanking supervisionInternational organizationSecurities commissionsInternational swaps and derivatives association isda

Simm s first off-cycle rejig hits non-cleared rates

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

Derivatives associationInternational swapsInternational swaps and derivatives association isdaNited states usIsda simmInitial marginNon cleared tradesMargin modelsInterest rate derivativesNterest rate swapsBilateral trade

Margin for non-cleared European energy trades to jump 80%

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

International swaps and derivatives association isdaInitial marginMargin modelsIsda simmNon cleared tradesBilateral tradeCommodity derivativesEnergy derivativesModel calibration

$899m margin breach at FICC s mortgage unit

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

Clearing corporationCommittee on paymentsIncome clearing corporationFederal reserveInternational organization of securitiesFixed income clearing corporationMarket infrastructuresInternational organizationSecurities commissionsDepository trustRisk quantumDepository trust amp clearing corporation dtccNited states usMortgage backed securities mbsLearing membersFixed income

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