# Initial Margin Optimization

Summary: Initial Margin requirements for OTC Derivatives are large and increasing at CCPs IM Optimization is a periodic or trade by trade analysis that seeks to reduce overall IM Clearing members can achieve significant cost and capital benefits Similar techniques can be extended to UMR and ISDA SIMM Client IM is growing much more rapidly than […]

# How Trump Has Increased Your Margin Requirements

aka “How Volatile is Initial Margin?” The month of November has seen a very significant market movement for most markets, and in particular for fixed income derivatives. Some of our clients this past month have seen some massive swings in margin requirements for their cleared swaps, and I was intrigued to go see if this […]

# Margin Buffer, Event Risk and the US Election

Following on from my article on Sizing the Margin Buffer for Cleared Swaps I wanted to look at how a margin buffer sized prior to Trump’s US Election win, would have held up on November 9, 2016 and whether such Event Risk should be handled differently. USD Swap Rates We covered the market moves in our […]

# 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 […]

# 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 […]

# How much Initial Margin will Uncleared Derivatives require in the first month of trading?

Uncleared Margin Rules (UMR) come into effect as of 1st September So let’s play a fun little game. Take the SDR data for Uncleared Derivatives. Import this data into CHARM, our Initial Margin and Risk tool. Make a few broad assumptions about the trades and the Dealer market. We end up with an estimate of how much IM […]