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Bilateral Margin

Margin Rules and ISDA SIMM

Bill: The PDF provided on the ISDA website examines refinements to the way IM is calculated for uncleared business. It links market size and liquidity to portfolio size and closeout timing to make the amount of IM more proportional to the size and risk in a given portfolio. According to Risk magazine this paper bypassed the ISDA WGMR causing some concern. At the moment the paper is purely academic and isn't a change to SIMM but more a discussion paper for global regulators.

The Battle for IM Margin Documentation Automation Moved Forward

The September 2019 Uncleared Margin deadline (and the 2020 date) will bring many more firms in-scope for exchanging IM. Both ISDA with LinkLaters, A&O with Markit and SmartDX are in the process of launching platforms to dramatically simplify the process of negotiating and implementing the necessary agreements. The A&O platform was announced in April here, we now have a high level description of the ISDA platform in the attached PDF and description below. 

IM calculation change imminent-ish

There is mounting pressure to revisit a fundamental aspect of the IM calculation methodology. The BCBS-IOSCO 2015 framework mandates an IM determination based on a 99% VAR over a fixed 10 day liquidation horizon[1]. ISDA have published a paper by Professor Rama Cont, Chair of Mathematical Finance at Imperial College London, which advocates for a […]

The blog post at DRS comments on the paper from the CFTC that fundamentally revisits how risk is measured and managed in the uncleared market. Worth a read, Bill.

ISDA AGM Round-Up - 8 Announcements with a Focus on Margin

The ISDA AGM generated a wave of content last week which we've assembled into one handy place. Most of the material is focussed on margin for non-cleared products given the changes due in 2019.

Margin Xchange launched from A&O, IHS Markit and Smart Communications

Three companies – international legal practice Allen & Overy, business information provider IHS Markit and SmartDX™ from customer communications management leader Smart Communications™ – have come together to launch Margin Xchange™, a new product for the derivatives market.

Webinar: Simplify SIMM Sensitivities with triCalculate

Join this webinar Tuesday 24 April where we’ll discuss how triCalculate can provide your SIMM™ sensitivities quickly, easily and cost-effectively.

Getting Ready for Initial Margin: The Steps to Take

Each September until 2020, increasing numbers of entities will be required to meet initial margin regulations as the threshold level for compliance reduces. Preparation for meeting these requirements will take significant time, and will involve intensive work to ensure systems, processes and documentation are in place.

Book Review : A Practical Guide to the 2016 ISDA Credit Support Annexes for VM (Under English & New York Law)

A new book on the ISDA 2016 VM CSA provides useful background on regulation, and shows how to implement an English Law or New York Law CSA.

Collateral management implementation: business model and culture are important, too

The focus on collateral management by both the buy- and sell-side has been one of the most important process changes that have emerged from financial crisis regulation.

FCA issues FFX outlook- fog confirmed

The FCA have today issued their response to the ESAs 24 November FFX announcement. It is brief and is worth reading in full as a masterclass in ironic prevarication and understatement. Highlights below (emboldening is ours): “The amendments to the RTS should become increasingly clear over time and we would expect firms to make their […]

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