On September 20, 2016, I attended the ISDA 2016 Annual Europe Conference, titled The Future is Now: Implementing the Margin Rules for Non-Cleared Swaps. The Conference Agenda is here complete with the list of panelists for each of the sessions: Fireside Chat: The Future is Now The ISDA SIMM: Setting a New Standard The ISDA SIMM: Available […]

The last couple weeks we’ve written about if and how the Uncleared Margin Rules have changed behavior of dealers to clear trades that are not clearing-mandated.  The logic being that under the new Rules, it is more cost efficient to clear some trades than to have the trades exist bilaterally. Last week we saw: Clear Evidence that […]

We look at Initial Margin under ISDA SIMM™ for multiple currency portfolios. ISDA SIMM includes a 27% correlation parameter for aggregating across different currencies. We find that the difference between margins in Cleared and Uncleared space depends on the risk profile. The differences range from 1% to 74%, with Uncleared Margin always higher. Multi Currency Rates Portfolios […]

Last week I wrote about the uncleared margin rules (UMR) that mostly came into effect on September 1 in the US & Japan.  We concluded that: No evidence of a September 1st panic; there did not seem to be any halt or reduction in swaps trading through the new mandate Clearable swaps that have no clearing […]