ISDA SIMM™ in Excel – Equity Options

We build an IM calculator in Excel for Equity Options under ISDA SIMM™. The methodology builds on the margin methodology for Swaptions, and uses very similar formulae. We cover all forms of IM. This blog is for the Vega and Curvature Margin. There are subtle differences to the implementation for Rates. Equity Options Initial Margin So […]

ISDA SIMM™ in Excel – Equity Derivatives

We build an IM calculator in Excel for Equity Derivatives under ISDA SIMM™. The methodology builds on the margin methodology for Rates products, and uses very similar formulae. We cover all forms of IM. This blog is for the Delta Margin. There are subtle differences to the implementation for Rates, mainly around the concept of “buckets” […]

ISDA SIMM™: Concentration Thresholds

Concentration Thresholds are introduced as part of Version 1.2 of ISDA SIMM™ as of 4th February 2017. We must derive our own co-variance matrix between currency pairs in order to implement the new concentration thresholds into our ISDA SIMM Excel calculator. We provide a step-by-step guide that builds on our previous explanations of the model. 4th […]

VM Big Bang – Analysing CSA Amendments

The VM Big Bang deadline is on March 1st 2017. We explain how a CSA governs Variation Margin for OTC Derivatives. ISDA are providing a Variation Margin protocol, allowing industry participants to efficiently amend their bilateral margin agreements (CSAs). We analyse what some of the changes could mean from a pricing perspective. Using a simple example, we highlight why the […]

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. Swaptions Initial […]

ISDA SIMM™ IM Comparisons

Clarus tools calculate margin under LCH, CME and ISDA SIMM™. It is a natural question to compare the three models. There are interesting differences across currencies and tenors. We find that SIMM is up to 37% higher than at a CCP. At last….! This blog has been sitting in my “to-do” box for long enough. It […]

Calculating MVA under ISDA SIMM™

We describe how to calculate Margin Valuation Adjustments under ISDA SIMM™. This is a simple four step process starting with Risk Projection and IM calculation. And concluding with present valuing the margin costs. We then compare the MVA adjustments for both cleared and uncleared swaps. What is a Margin Valuation Adjustment (MVA)? As Amir stated back […]

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 […]

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 […]

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 […]