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SIMM Initial Margin and what-if analysis.

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CCP IM & VM, What-if, Optimise and more.


Fundamental Review of the Trading Book.


Standardised approach for Credit Risk.

Latest Posts

  • Sep, 19

    ISDA SIMM – What changes in v2.6?

    Version 2.6 ISDA has published ISDA SIMM v2.6 with a full re-calibration of risk weights, correlations and thresholds. The calibration period is a 1-year stress period (Sep-08 to Jun-09, the Great Financial Crisis) and the 3-year recent period ending Dec 2022 (or possibly later, but at time of writing I cannot find this specified, so am going […]

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    Jul, 26

    FSB Paper on Liquidity in Core Government Bond Markets

    I recently took a first look at Central Clearing of Bonds and Repos and in that blog I mentioned a Financial Statility Board (FSB) paper on Liquidity in Core Government Bond Markets. This paper analyses the liquidity, structure and resilience of government bond markets, with a focus on the events of March 2020; characterised as […]

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  • Jul, 25

    Even More on Blocks and new rules for FX

    CFTC Global Markets Advisory Committee Following up on my blog last week, there is now the recording of the CFTC’s Global Markets Advisory Committee (GMAC) available on youtube: There are some interesting take-aways: Showing; Elsewhere, Tradeweb and Bloomberg provided insights into the RFQ1 vs RFQ-to-many split amongst large trades. This is some really interesting data. […]

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    Jul, 19

    New Block Trading Rules Will Now Start in December 2023

    Those of you with long memories will recall a particular blog I wrote about Block Trading and new rules that were going to come into play: Those new rules could have come into play as early as March 2023, but they have been delayed until December 2023. As a result, we have just seen learnt […]

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  • May, 23

    ISDA SIMM v25a the first off-cycle release

    Version 2.5a ISDA has published ISDA SIMM v2.5a with a re-calibration of interest rate risk weights only. This is an off-cycle release, due to the higher interest rates volatility observed in 4Q 2022, compared to that in 2019-2021 and the stress period of Sep-08 to Jun-09; the time period used for the calibration of v2.5. Quarterly industry […]

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    May, 10

    Is Now The Time to Optimise Your Initial Margin?

    Initial Margin ISDA have just published the latest edition of the “ISDA Year-End Margin Survey”: We have covered previous versions of this survey, which are always worth a re-read because you can laugh at any predictions we made in the past! Sifting through all of those reveals that between $650-800bn in extra IM was anticipated by ISDA […]

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  • Mar, 22

    USD Swaps Margin Calls in March 2023

    I know our readers will have followed the events of the last two weeks, covering Silicon Valley Bank (SVB), First Republic Bank(FRC) and Credit Suisse (CS). Each different institutions, but each faced with massive depositor withdrawals caused by a loss of trust in the soundness of their business. At the start of 2023, who would […]

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    Nov, 21

    GBP Swaps variation margin in a financial crisis

    We covered the significant increase in initial margin for cleared GBP Swaps in two recent blogs; How Kwasi Kwarteng has increased your IM and Rishi Sunak and the impact on GBP Swaps IM. In the first of those blogs, Chris added a brief section towards the end on variation margin and I wanted to take […]

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  • Nov, 9

    Rishi Sunak and the impact on GBP Swaps Initial Margin

    In early October we wrote about How Kwasi Kwarteng has increased your Inital Margin, given that so much has happened in the past month, I wanted to update the GBP Swaps initial margin figures in that article. Before we start, two general points, very nicely illustrated by two The Economist covers. On the left, “Reasons […]

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    Oct, 5

    How Kwasi Kwarteng Has Increased Your Initial Margin

    Initial Margin for GBP swaps has increased by up to 65% due to the mini-budget. 5 of the 6 largest ever moves in GBP rates have occurred during September 2022, since the mini-budget. We look at Initial Margin models and how IM has changed over time. It is fair to say that GBP Swap markets […]

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