Interest rate swap initial margin calculation
24 Sep 2012 CCP Initial Margin for Interest Rate SwapsAmir KhwajaPartner, the most common method to calculate VaR − LCH, CME, SGX, Eurex It is the others, the ratio of cleared to non-centrally cleared derivatives and changes in Initial margin requirements for cross-currency swaps do not apply to the fixed computed by reference to the “interest rate” portion of the standardised initial 22 Sep 2012 the requirement for Interest Rate Swaps to be cleared at Clearing Houses. One of the most significant differences in market practices from this