Dealers shift to zero-day margin calls

摘要

Europe's largest dealers are in the process of increasing the frequency of margin calls for bilateral derivatives exposures in an effort to tighten up risk management and achieve better capital treatment under Basel Ⅲ. "Several dealers are moving to what is called zero-day collateral call. The protocol right now leaves you open to two days of unsecured mark-to-market. Agreeing to and posting the collateral call on the same day lowers the unsecured mark-to-market and the bank's RWA," said the global head of rates structuring at a European House. The regulatory clampdown in the wake of the financial crisis has seen a greater emphasis on regular collateralisation of derivatives exposures to avoid build-ups of systemic risk. Clearing has become mandatory for standardised derivatives, while regulators have prescribed hefty initial margin requirements for more bespoke trades that aren't cleared by central counterparties.