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. UPDATE: We now offer […]
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 UPDATE: We now offer free 14-day trials for our SIMM for Excel product ISDA SIMM™ ISDA […]
Have Uncleared Margin Rules Impacted Swap Activity?
We’re all aware that in the US, the new Uncleared Margin Rules (UMR) took effect on September 1st. Except they kinda didn’t take effect. There was this chestnut of No-Action relief issued by the CFTC on the day, which, if you just read the headline news reports, meant that the Rules were pushed back 1 […]
August 2016 Swaps Review
Continuing with our monthly review series, let’s take a look at Interest Rate Swap volumes in August 2016. First the highlights: On SEF USD IRS in August 2016 volume was 9% higher than July Curve trade volume at $96m DV01 was much higher than usual SEF Compression activity jumped to over $260b, the highest since June 2015 USD OIS […]
Defering Bilateral Margin Rules with Low Hanging Fruit
For all those Category 1 Covered Entities in the US and Japan, the following few days should be interesting with the introduction of Bilateral Margin Rules. For all entities not yet covered by the rules, you have some time on your hands. And this time should be used wisely. As a brief reminder, all covered […]
Cross Currency Swaps – how much margin will they need?
We look at the Standardised Schedule of Initial Margin for non-centrally cleared derivatives Cross Currency Swaps are a large part of the uncleared market that we did not look at last week We therefore take a look at the July volumes to estimate Initial Margin requirements for cross currency swaps Margin Requirements for non-centrally cleared derivatives The […]