Clearing houses take a backward-looking view on risk. 2017 was the year of lowest average volatility ever but, as this rolls off the back of the look back period, will margins increase?
It has always stuck in the back of my mind. With the firm and increasing bond vol (MOVE), and the more recent massive moves in european rates as wel as US equities, could a scenario like this be (or become) in play? Also given the sheer size of the otc derivatives on the balance sheets of various banks. It seems more relevant than ever.
How, other than the vol indices mentioned could/should we track or gauge this?
Hi, I remember reading the posts on your website about clearing houses and margin req’s changing due to volatility: https://www.russellclarkim.com/marketviews/russell-clark/2019/11/clearing-houses-and-initial-margin
It has always stuck in the back of my mind. With the firm and increasing bond vol (MOVE), and the more recent massive moves in european rates as wel as US equities, could a scenario like this be (or become) in play? Also given the sheer size of the otc derivatives on the balance sheets of various banks. It seems more relevant than ever.
How, other than the vol indices mentioned could/should we track or gauge this?
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