Tag: Working Group on Margin Requirements
VM/IM Repapering: Learning the lessons from ‘Big Bang’
What did we learn? 1 March 2017 – deadline day for ‘big bang’ – has come and gone. We all breathed a sigh of relief. Or did we? Regulators recognised the fact that firms would not be compliant and, in general, counselled the industry to ‘do your best to get it done by 1 September’. […]
Not toxic, just “lazy”
A short article in Risk magazine details a new practice amongst some of the larger swap dealers, of posting so-illiquid-as-to-be-solid assets as initial margin; Risk quotes the banks involved as putting “lazy” assets to work. Banks sign bilateral agreements with each other, arranging to post a static portfolio of assets to a third-party account. The […]
Interpretation of WGMR Haircut Means SCSA Lives To Fight Another Day
Risk Magazine is reporting that certain unnamed US and European regulators are hinting that the additional 8% haircut levied on collateral denominated in a different currency to that of the underlying, to be introduced pursuant to the Working Group on Margining Requirement’s (WGMR) “Margin requirements for non-centrally cleared derivatives”, may be applied only to initial […]