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 […]

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 […]

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 […]

As September 1, 2016 is the first date for the implementation of margin requirements for OTC Derivatives that are not cleared by a clearing house, I thought it would be interesting to re-visit this topic. Background My article Final US Rules on Margin for Non-Cleared Swaps, written in Oct 2015, summarises the US rules and compliance […]

At the end of my article on Final US Rules for Non-Cleared Swaps, I noted that I would look at ISDA’s Standard Initial Margin Model (SIMM). On doing so, I was surprised to see the direction that ISDA is now taking, one that I did not expect. Read on to find out why. Background The ISDA […]

On October 22, the United States published its Final Rules to establish the minimum margin requirements for swaps transacted by  insured depository institutions, which are not cleared by a clearing house. The Joint Rules are the work of the Federal Deposit Insurance Corporation (FDIC), the Office of the Comptroller of the Currency (OCC), the Federal […]