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LDI firms update margin stress tests post-gilt crisis

For some managers, stress-testing models failed to reflect the convexity effects of the crisis on initial margin

United-kingdom
Financial-conduct-authority-fca
Bank-of-england-boe
Nited-kingdom-uk
Liability-driven-investment-ldi
Margin
Isda-simm
Alue-at-risk-var-
Initial-margin
Pension-funds
Milts

Bloating CCP default funds. New margin models. Are the two linked?

Dealers grumble that greater guaranty fund payments could undermine the ‘defaulter pays’ principle of clearing

Morgan-stanley
Cme-group
Eurex-clearing
Intercontinental-exchange-ice
Peach
Europe
Nited-states-us
Banks
Cp
Clearing
Learing-members

The unknown risk on the flip side of the basis trade

US mutual funds have amassed record notionals in Treasury futures that in some cases exceed their AUM

Bond-futures
Beverage
Basis-trading
Bonds
Hedge-funds
Indexes
Tail-risk
Alue-at-risk-var-
S-treasuries
Investing
Derivatives

Buy side still prefers bilateral repo despite LCH margin update

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

Rosa-fenwick
United-kingdom-repoclear
Columbia-threadneedle
Dlch
Bank-of-england-boe
Nited-kingdom-uk
Liability-driven-investment-ldi
Repo
Initial-margin
Margin-models
Alue-at-risk-var-

VAR breaches trip up Citi, CS USA and two others in Q3

Comerica’s VAR multiplier ratchets up while Huntington’s remains at record high

United-states
Comerica
Huntington-bancshares
Suisse-united-states
Citi
Credit-suisse
Huntington-bancshares
Comerica
Nited-states-us
Alue-at-risk-var-
Backtesting

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