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tomc


Total Posts: 2
Joined: Mar 2010
 
Posted: 2016-10-24 21:14
Hi All,

Long time lurker, first time poster. Apologies if this is a waste of peoples time. I'm starting some work on CCP Margin Methodologies which is something I don't know much about. I've searched the various websites but all I can find is an overview and the parameter files. Can anyone point me in the right direction/provide any further info? I'm guessing the actual methodology is only made available to clearing members?

Thanks,
Tom

HitmanH


Total Posts: 417
Joined: Apr 2005
 
Posted: 2016-10-24 21:41
Depends on the instrument. Look at SPAN, or variatious - but often commericial or members only
Also look at OpenGamma for some (historically) OTC instruments too

Martinghoul


Total Posts: 837
Joined: Oct 2008
 
Posted: 2016-10-25 10:26
I was under the impression that some are public. For instance, CME and what used to be LIFFE offered their detailed specs on request, at least for listed products.

Insofar as I may be heard by anything, which may or may not care what I say, I ask, if it matters, that you be forgiven for anything you may have done or failed to do which requires forgiveness...

Patrik
Founding Member

Total Posts: 1331
Joined: Mar 2004
 
Posted: 2016-10-25 11:07
They also publish their daily parameter file and free programs to check margin. PC Span for CME and ICE Span for ICE. If you dig around you'll find both the docs and tools to try things out.

(Only applies to listed instruments obviously)

Capital Structure Demolition LLC Radiation

tomc


Total Posts: 2
Joined: Mar 2010
 
Posted: 2016-10-27 16:32
Thanks all. I will look a bit harder. I managed to get a login for the CME Core online section which lets you check margin but doesn't provide any methodology for the initial margin or default fund contributions. From speaking to a few people it seems these are kept quite opaque for all participants which seems strange to me.

Patrik
Founding Member

Total Posts: 1331
Joined: Mar 2004
 
Posted: 2016-10-27 17:49
Not sure what level of info you're looking for, but the overall picture is pretty easy to get clued up on:
https://www.cmegroup.com/clearing/files/span-methodology.pdf

Capital Structure Demolition LLC Radiation

rp6


Total Posts: 24
Joined: Jun 2012
 
Posted: 2016-12-24 13:44
Yes i'm sure i've come across detailed methodology in the past, it's not a secret - just a pain in the arse.

Also, if you push your FCM hard on the point they should be able to give you a breakdown of offsets etc. Remember they might be applying a high multiple of the actual CCP required margin, according to your risk. From what i remember the opacity was because it used to be quite lucrative to over-margin clients in their omnibus account, but between new regs on segregation and low interest rates it's become more of a high-touch/high-cost pain than anything else....which I guess is one of the reasons why some of the smaller FCMs have gone.
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