What will you do if you get a margin call? LCH’s Heiko Cassens and SEB’s Gabriel Vimberg – in dialogue at PostTrade 360° Copenhagen – see members and clients putting increasing efforts into being better prepared when the question arises.
“We see that people get much more interested in their margin management – their margin requirements,” says Heiko Cassens, LCH’s head of sales and relationship management for the EMEA and APAC regions, in discussion with Gabriel Vimberg, head of derivatives clearing at SEB. (This is a bit after 11 minutes in the video.)
[This is an updated version, now featuring the video, of our article on this session. The brief original version was published on the first conference day, 23 September.]
“In general, margin models of CCPs behaved quite well in that there were no extraordinary swings and no specific pro-cyclicality. But there were of course margin swings because they were data driven. So we see is additional interest from members and clients into these margin numbers – to drill down, analyse them and report better, and plan for potential margin calls,” says Heiko Cassens.
Gabriel Vimberg agrees:
“Specifically from the futures industry, we saw margins sky-rocket during March for a lot of our clients when volatility increased. I think a lot of clients became conscious of what really sets the initial margin levels,” he says.
“Yes there is definitely a high degree on focus around that, where you look at how volatility affects your margin and how that, in turn, affects the collateral management that you need to do. But the high volatility also meant that we saw large variation margin movements on some of the days throughout the crisis.”
Find your favourite-topic dot
In the time bar of the player window you may find little dots that lead to labeled parts of the interview. You can also overview these labels by clicking the menu-looking icon further right in the controls bar. With these, you can easily find parts on
• the covid-19 clearing volume swings,
• a stark increase in clearing in DKK (and discussion on the reasons for this),
• the impact of growing cleared-vs-uncleared price spreads,
• observed strategies to the uncleared margin rules (“UMR”) under implementation,
• how Nordic firms are doing on interest-rate benchmark transition, and
• current Brexit issues.
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