Insights, tips and industry commentary from the team behind the world’s first production-grade open source risk management platform.

Marc Henrard

by Marc Henrard on

5 Jul 2016

25% Increase In Cleared Swaps Initial Margin In The 5 Days Since Brexit

On Tuesday, 28th June, I posted a blog post about the impact of Brexit on OTC swaps cleared margin. We anticipated that the impact of Brexit would progressively increase in magnitude over the subsequent days. This post shows results from the…

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Marc Henrard

by Marc Henrard on

28 Jun 2016

The Impact Of Brexit On Your Next Cleared Swaps Margin Call

In the run-up to the Brexit vote, many firms trading OTC interest rate swaps were understandably worried about the impact of short term market volatility on the margin that they would need to post to their clearing houses. Our aim…

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Jonathan Senior

by Jonathan Senior on

20 Apr 2016

Introducing OpenGamma’s Next-generation Market Risk Library

The OpenGamma Platform was launched in 2011 to provide standardised models and market risk functionality to the industry, as open source software. It was designed to support a range of use-cases, and many people we engaged with saw its potential…

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Maxime Jeanniard

by Maxime Jeanniard on

9 Feb 2016

The Deadline For CAT 2 Frontloading Is Fast Approaching: Have You Quantified The Impact Of Clearing?

The frontloading deadline for Category 2 OTC clearing (21 May) is just around the corner, prompting many to start anlaysing the most cost-effective way to cope with this new requirement. As the provider of margin calculation software to both CCPs…

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Peter Rippon

by Peter Rippon on

15 Dec 2015

Our New Hosted Service Makes Margining Analysis Accessible For All

With regulation driving derivatives trading firms to make decisions on their approach to mandatory OTC clearing, they will be weighing up CCPs’ competing claims about potential cost savings that can be derived from cross-margining. However, attempting to separate the hype…

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Marc Henrard

by Marc Henrard on

26 Nov 2015

Your Questions Answered: New Q&A Available On Our MVA Research

We’ve received a number of follow-up questions on the back of the research paper on MVA we published last month in collaboration with University College London. We’ve provided answers to the questions below, and will continue to update with answers to your…

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OpenGamma

by OpenGamma on

17 Nov 2015

Results Of Our Margining Survey

In our last newsletter we asked readers to participate in a survey on margining. This produced some interesting results in regard to trends we see gaining momentum in the market in the near future: the rise of lifetime initial margin…

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Marc Henrard

by Marc Henrard on

29 Oct 2015

New OpenGamma Research With UCL Supports Practical Solutions For MVA

As the market is well aware, initial margin will be charged on both cleared and non-cleared OTC (for large dealers by Sep 2016). This ties up large amounts of high quality collateral which in turn creates a significant funding and…

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Dave Wong

by Dave Wong on

20 Oct 2015

Let’s Be Clear: Margining Is No Longer Just A Sell-side Headache

When the deadline for regulatory compliance was extended to Q4 2016, many buy-side firms may have gratefully shelved any nascent worries about OTC derivatives clearing. But the reality for many firms is that preparing for the day-to-day implications of this…

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OpenGamma

by OpenGamma on

12 Oct 2015

OpenGamma Margining: Or, How To Optimise Your OTC CCP Margin Buffer

A leading bank has created a central margin calculation utility for OTC Clearing powered by OpenGamma to address a number of requirements. This case study shows how they did it. Overview: The bank currently runs a margin buffer at the CCPs where…

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