Moving Euro Clearing out of the UK: the $77bn problem?

We estimate the Initial Margin impact from moving EUR Clearing out of the UK This could happen as a result of Brexit We can make an estimate as to the maximum margin impact possible using publicly available data In terms of Initial Margin, we only see a small impact on the LCH SwapClear portfolio in London But […]

Direct Clearing For Dummies

Back in July of 2016, the CME submitted a proposal to the CFTC for a new class of clearing membership which they call “Direct Funding Participant” (“DFP”).  I was drawn to the topic last week when Bloomberg wrote an article about its imminent effective date of Sep 23, 2016.  As it happens, it appears that date was […]

Trading Obligation for Derivatives under MiFIR

I last looked at this in Oct 2015 in my article MiFID II and the Trading Obligation for Derivatives and now that a year has passed there is a new ESMA Consultation. The accompanying discussion paper is here and in this article I will review the key elements of the consultation. Background Once a class […]

ISDA SIMMをExcelで計算する

ISDA SIMM の方法書を見てみよう
金利商品について、ISDA SIMMに従って当初証拠金(IM)を計算するためのExcelスプレッドシートをつくりたい
そして、ISDA SIMMまたは中央清算における、単独トレードとポートフォリオに関するIMの計算について概略をのべる

ISDA 2016: Implementing Margin Rules for Non-Cleared Swaps

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 […]

NDF Clearing Is Taking Off

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 […]

ISDA SIMM™: Multi Currency Portfolios

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 […]

Margin Rules are Pushing Swaps to Clearing

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 […]

How large will Initial Margin be for Uncleared Swaps?

Continuing with the theme of Uncleared Margin, I wanted to look at how large the Initial Margin for Uncleared Swaps and Other Derivatives could become at the end point in 2019. ISDA Research Lets start with this interesting document from ISDA, Initial Margin for Non-Centrally Cleared Swaps. In which ISDA estimates that, with the $50 million counterparty […]

ISDA SIMM Excel Calculator

We go through the ISDA SIMM™ methodology document And create an Excel spreadsheet for Rates IM according to ISDA SIMM™ We provide a summary of Initial Margin for standalone trades and portfolios under ISDA SIMM and as Cleared portfolios at a CCP ISDA SIMM™ ISDA highlighted the documentation and operational issues surrounding the implementation of the UMRs (Uncleared […]