Collateral Mgmt & Margin articles

Global Collateral risk tool

Global Collateral Risk Tool

Global Collateral Risk Tool

Global Collateral Risk Tool Davis Polk has a new portal chock full of tools for Risk Managers.  They’ve included one of the best one-stop resources I’ve seen online in their global collateral risk tool.   Davis Polk has always done good work.  I give them Kudo’s and I’ll do so again now.  Cut this tool particularly

With Initial Margin Rules Final Let the Training Begin

Initial Margin Rules Finalized The past few years we’ve spent implementing derivatives reform.  Firms purchased software, hired CCPs and participated in compression processes.  This year a regulations will continue to become effective. Like the new rules on Initial Margin for Bilateral (OTC) Derivatives were recently finalized.  There are two good sources for information on the final margin

3 reasons initial margin & leverage ratio are unrelated

3 Reasons Initial Margin is Unrelated to BASEL III’s Leverage Ratio

APPLES AND ORANGES BASEL III plans to apply the leverage ratio to all collateral, including initial margin on cleared derivatives transactions (cleared at a clearinghouse).  Swap Market participants are looking at cost increases estimated at 60%.  A decision such as this will mean sell side will have to add on that capital charge, giving sell

MHDS will publish new cheat sheet

Cheat Sheet When Rules Made Final

NEW cheat sheet will be posted when CFTC proposed rule changes are made final. On June 16, I published cheat sheets of Dodd-Frank related swap terminology, initial margins, Eligible Collateral, etc. which you can read here Then a few weeks ago, as is want to happen in this meshugenah world of derivatives reform, the CFTC proposed rule

how swap risk is calculated

How Swap Risk is Calculated

This blog on how swap risk is calculated is the conceptual view of how firms and CCP’s calculate the Initial Margin on Interest Rate Swaps.  While the numbers reflect a real at-market swap given the terms and conditions described they made vary widely from what your firm or clearinghouse requires. Thus this blog covers how the Independent Amount

Derivatives Cheat Sheet

Derivatives Cheat Sheets

These Derivative Cheat Sheets will help make sense of derivatives reform Cleared & Bilateral Haircuts & Collateral  The attached file shows it all on three pages The attached PDF file includes 3 resources: Page 1 – matrix of the various aspects and differences between Clearing a swap and entering into a bilateral swap (OTC)  

initial margin proposal

Margin Rules for Bilateral Derivatives

Last month, U.S. Banking Regulators presented a new proposal for the collection, calculation and segregation of margin for bilateral derivatives. The new US proposals are quite different from their original 2011 proposal in light of the BCBS/IOSCO issuance of their 2013 final policy framework on margin requirements for uncleared derivatives and the comments U.S. Banking Regulators

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