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. UPDATE: We now offer […]