Why FCMs Don’t Like Intraday Margin Calls

We keep on hearing how difficult it is to be a clearing broker these days. Case in point – this Risk.net article discusses how FCMs had to find billions of dollars in the middle of the day after the Brexit vote.  This is because, when the market moves, Clearing Houses can choose to make margin calls […]

ISDA SIMM™ – Swaptions IM in Excel

We build an IM calculator in Excel for Swaptions under ISDA SIMM™. The methodology builds on the margin methodology for linear products, and uses very similar formulae. There are some subtleties around multiple currency portfolios that we expand upon. We also introduce the concept of Curvature Margin which is calculated via theta and lambda multipliers. UPDATE: We […]