Tag: SIMM
SIMM falls short
On 28 June 2022, the UK’s Prudential Regulation Authority (PRA) published a letter to the Chief Risk Officers of banks operating under its jurisdiction. The letter details its review of the market’s use of ISDA’s Standard Initial Margin Model (SIMM); the review was intended to assess the SIMM’s performance during recent periods of market stress […]
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 […]
Sharing the burden
OpenGamma, the open source trading and risk analytics platform, have announced a plan to create an industry-wide utility to facilitate compliance with the (eventually) forthcoming rules on the margining of non-cleared trades. Margin calculations will use the standard initial margin model (SIMM), as amended by each individual user, a reference copy of the open source […]
ISDA Publishes Initial Thoughts on SIMM
On 2 September 2013, the Basel Committee on Banking Supervision (“BCBS”) and the International Organization of Securities Commissions (“IOSCO”) published their final policy document regarding “Margin requirements for non-centrally cleared derivatives” (see this blog post for more detail). Under the guidance, firms will be required to exchange initial margin (IM) on a gross basis. In […]
ISDA to Develop Standard Model for Margining Non-Cleared Trades…
…but refuses to take a standing count in the fight over initial margin. This is a link to an article in Risk Magazine which confirms that, despite its continued in-principle opposition to the initial margin proposals contained within the Working Group on Margin Requirement’s (WGMR) consultation paper on “Margin requirements for non-centrally cleared derivatives”, ISDA […]