Initial margin

ISDA Response to US Proposed Rule-making on Swap Margin Requirements

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ISDA has published the following response to US proposed rule-making on swap margin requirements.

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Margin Xchange…we hardly knew you

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Highlander 1986, “There can be only one!” or for a younger generation, “When you play the game of thrones, you win or die”.

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ISDA Self-Disclosure Exercise for Regulatory IM Phases 4 and 5

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Following the July 23rd Statement by BCBS and IOSCO revising the timeline for compliance with initial margin requirements and the end of the Phase 5 AANA calculation period in the US, ISDA is rerunning the multi-lateral IM self-disclosure exercise.

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ISDA Create to Add New Custody Legal Function for Initial Margin

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ISDA and Linklaters have announced the addition of a new custody function on ISDA Create’s initial margin (IM) offering, which will enable users to complete all documentation required for regulatory IM on a single platform. BNY Mellon will be the first custodian to go live on the platform.

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ISDA Publishes ISDA SIMM™ v2.2

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ISDA has published the ISDA SIMM™ Methodology, version 2.2, with an Effective Date of December 1, 2019. This version of SIMM includes updates based on the full recalibration and industry backtesting of the methodology.   It also includes additional granularity for the FX asset class, the removal of curvature margin from equity volatility indexes and an alteration to allow for annual calibration of credit non-qualifying intra-bucket correlations.

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A First for Derivatives Markets

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Anyone familiar with the history of the derivatives market will be able to tell you when the first swap was negotiated – in 1981, between IBM and World Bank. Thirty-eight years on, the market has seen the latest important landmark: completion of the first fully electronic negotiation of relationship-level swaps documentation between two counterparties.

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Taking the Pulse of Our Members

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For much of the past decade, regulation has been the biggest driver of change in the derivatives market, and for good reason. Such has been the scale of the requirements and the frequency of the deadlines that compliance has been the priority for most market participants. But there comes a time when we need to take a broader, more strategic view, rather than only looking to clear the next regulatory hurdle.

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IM- the breakdown (averted)

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As expected, ISDA have communicated a more granular breakdown of
estimates for the likely population of the new IM phases 5 and 6, via relevant
working groups. These have been replicated and published by a number of third
party firms. Although all the numbers are estimated, there seems to both a lack
of mathematical rigour and some confusion between the population and threshold
estimates.

The estimates are as follows:

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When Wikipedia Gets It Wrong

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We all do it. You need to understand something and the first thing you do is google it and invariably one of the first hits you get is Wikipedia. The problem is that Wikipedia isn’t always correct. When it comes to Margin, it can lead to a lot of confusion.   Initial Margin If you google Initial Margin, this is […]

The post When Wikipedia Gets It Wrong appeared first on OpenGamma.

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