PEOPLE MOVES
NEWS UPDATE
DERIVATIVES
Legal & General Investment Management (LGIM)
has announced the appointment of Michelle Scrim-
geour as the firm’s new chief executive.
Formerly the chief executive officer for EMEA
and APAC at Columbia Threadneedle. Scrimgeour
will succeed Mark Zinkula, who is due to retire in
August this year after eight years with LGIM. Scrim-
geour joined Columbia Threadneedle in April 2017,
after a five-year spell with M&G Global as the firm’s
chief risk officer.
The head of market structure and regulatory
reform at Morgan Stanley has joined the US
investment bank’s rival Goldman Sachs in a similar
role in February.
Eleanor Beasley is now part of the equities exe-
cution team as an executive director and European
head of market structure and regulatory strategy.
Beasley now reports to co-head of electronic exe-
cution in Europe at Goldman Sachs, David Cornish,
but her role has expanded beyond the Goldman
electronic trading business to include all execution
services and channels.
BNY Mellon’s chief executive officer of their mar-
kets unit has taken up a new role as head of US
fixed income, currencies and commodities (FICC) at
Royal Bank of Canada.
In a major coup for the Canadian bank, highly
regarded market structure expert Michelle Neal
joined in New York after three and a half years at
BNY Mellon. Prior to her most recent role, Neal held
a number of senior market structure positions at
Deutsche Bank, Nomura/Instinet, RBS and Gold-
man Sachs during her 20-year career.
FTSE founder and London Stock Exchange Group
(LSEG) veteran Mark Makepeace has stepped
down from his role as director of the Information
Services Division.
Waqas Samad, formerly the CEO of Barclays Risk
Analytics & Index at Barclays, and currently the
CEO of benchmarks at FTSE Russell, will succeed
Makepeace as he takes on a non-executive chair-
man for Information Services role.
8 // TheTrade // Spring 2019
Derivatives trading costs could
double in times of market stress
I
nitial margin requirements in times of market volatility
could see the costs of trading derivatives almost double
for some firms, according to OpenGamma.
The analytics specialist investigated the impact of cal-
culated stress on margin for a number of client portfolios
using historical data for margin rates for listed futures
contracts between 2008 and 2018. The research found
that initial margin for one client portfolio, consisting of
fixed income futures contracts traded on SPAN exchange
CME, could surge by up to 94% at times of high volatility.
As global trade tensions continue alongside rising US
interest rates and growing debt, OpenGamma said fund
managers will be navigating unpredictable market move-
ments in the months ahead, adding particular pressure to
firms trading eurobond futures. Further analysis showed
that one client portfolio consisting of bond futures traded
on VaR-based exchange Eurex could see margin require-
ments surge by up to 70% at time of market stress.
Peter Rippon, OpenGamma’s chief executive, com-
mented that hedging is an effective tool to combat the
unexpected higher costs during market volatility. The
research continued that after hedging, the CME futures
portfolio saw margin increase at 14% rather than 94%,
while the Eurex Eurobonds portfolio saw margin increase
at 35%, rather than 70%.
“By using an efficient hedging overlay, firms can soften
the spike if the right strategy is implemented,” Rippon
said. “No fund manager wants to be posting more margin
than they need to. Understanding how to control initial
margin costs will be key for firms to maintain liquidity, as
they may need sufficient cash to buffer against unpre-
dictable market conditions.”