Clarus Excel Products


SIMM Initial Margin and what-if analysis.

CCP Margin

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


Fundamental Review of the Trading Book.


Standardised approach for Credit Risk.

Latest Posts

  • 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 […]

    Read more
    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 […]

    Read more
  • 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 […]

    Read more
    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 […]

    Read more
  • 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 […]

    Read more
    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 […]

    Read more
  • Sep, 28

    ISDA SIMM – What changes in v2.5?

    ISDA SIMM v2.5 is effective December 3, 2022 Updated with a full re-calibration and industry backtesting Meaning Initial Margin will change for most portfolios In particular, material increases for Commodity and Credit risks To quantify the actual impact of SIMM v2.5 Clarus CHARM can run both SIMM v2.5 and v2.4 on your portfolios And do so before go-live, to […]

    Read more
    May, 25

    For the first time, we see over $1Trn in Initial Margin

    Total Initial Margin across the industry has now topped $1trn for the first time. Initial Margin requirements across the industry have increased by $725bn since 2016. This drives the need for more optimisation. We look at the data and benchmark the ISDA projections from way back in 2015. Capitolis First this week, a recommendation. No […]

    Read more
  • Feb, 9

    The CFTC Monthly Cleared Margin Report

    The Commodity Futures Trading Commission (CFTC) produces a monthly cleared margin report for DCOs (CCPs) required to file daily initial margin with the CFTC’s Division of Clearing and Risk. The report aggregates initial margin from six DCOs: CME, ICE Clear Credit, ICE Clear US, ICE Clear Europe, LCH Ltd and LCH SA. The latest report […]

    Read more
    Nov, 10

    IM Model Validation for UMR under EMIR – Backtesting

    Last week the EBA published a consultation paper on its  its draft Regulatory Technical Standards (RTS) on Initial Margin Model Validation (IMMV) under the European Markets Infrastructure Regulation (EMIR).  This is an important and long awaited publication, particularly for the hundreds of firms in the EU that are complying with UMR IM requirements as of Sep 2021 […]

    Read more