What’s next for EUREX-LCH basis ?

‘How the mighty have fallen’ This statement can be aptly applied to the long-end EUREX-LCH basis on the EUR curve which has seen the 30y point on curve fall from around 3.5bps in March 2018, to almost flat earlier this … Read More

UMR Extension: Cassini Commentary

BCBS/IOSCO have announced the delay of the roll out of the final phase of Uncleared Margin Rules. Those firms with over 750 BN in AANA will still be required to begin posting Initial Margin from September 1st, 2019. Firms with 50BN-749 … Read More

Calculating Phase 5 AANA for U.S. Regulations

The U.S. non-cleared margin regulations require an earlier calculation period than other jurisdictions to determine whether a party is in-scope for initial margin. Phase 5 IM calculation period in the U.S. is June-August, 2019. To assist market participants that may … Read More