Tag: initial margin

initial margin

Assure Hedge Gets Finance for IM Push

FX hedging service provider Assure Hedge has announced that it has agreed terms with Carrig Glen Investments (CGI), whereby CGI will provide up to a £9m margin finance facility for clients of Assure Hedge at a utilisation cost of 10% per annum. Under the terms of the arrangements, CGI will be entitled to subscribe for […]

CFTC Extends IM Compliance for Larger Firms

As the US and much of the world faces a Black Swan event in the form of the COVID-19 pandemic, Commodity Futures Trading Commission (CFTC) chairman Heath Tarbert today announced a one year extension for larger entities facing compliance with initial margin (IM) requirements for uncleared swaps, making the new compliance date September 1, 2021 […]

ISDA to Create Custody Function for IM

The International Swaps and Derivatives Association (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. ISDA […]

Basel Committee, IOSCO Agree to One Year Delay on Margin Rules

The Basel Committee on Banking Supervision and the International Organization of Securities Commissions (IOSCO) have announced a one year delay to the final phase of the implementation of the margin requirements for non-centrally cleared derivatives. The two bodies say they acknowledge the progress that has been made to implement the framework, the final phase of […]

ISDA Launches Test Version of IM Documentation Platform

The International Swaps and Derivatives Association (ISDA) and law firm Linklaters have launched a test version of a new online tool that will allow firms to electronically negotiate and execute initial margin (IM) documentation.
ISDA says the IM module is the first step in a broader push to make its documentation available online through ISDA Create, the association’s new digital documentation platform. ISDA Create – IM will enable users to produce, deliver, negotiate and execute IM documents with multiple counterparties simultaneously.

Charles River and Cassini Team Up for Margin Estimation

Charles River Development and Cassini Systems have formalised a business alliance to automate the calculation of margin estimates and provide pre- and post-trade analytics in the Charles River Investment Management Solution (IMS) for OTC and exchange-traded derivatives.
Emerging regulations and clearing rules mandate that investment firms post initial margin (IM) when trading cleared and non-cleared OTC derivatives, futures, and options on futures. Together with Charles River’s post-trade processing and settlements, IBOR, and GIPS-compliant performance measurement, expanded collateral management capabilities provide investment managers with a complete front and middle office solution, the firm says.

Want to Trade an Uncleared IRS? That’ll be 8bp

A new staff working paper from the Bank of England finds that clients trading interest rate swaps in an uncleared environment are paying around eight basis points for the privilege.
The paper uses data from trade repositories to study trading and pricing patterns in IRS markets and finds the risk premia attached to, and therefore the pricing of, IRS trades varies greatly. The price differentials in risk premia are, “highly significant in statistical and economic terms,” the paper states. This premium substantially decreases when initial margin is posted and with the client’s creditworthiness.

Research Paper Takes Aim at “Unrealistic” Non-Cleared Margin Requirements

The International Swaps and Derivatives Association (ISDA) has published a new academic paper that analyses the regulatory initial margin framework for the non-cleared derivatives market and argues that the 10-day liquidity horizon applied under the framework is “not realistic”.
The paper, written by Rama Cont, chair of mathematical finance at Imperial College London, examines the rationale for the 10-day liquidity horizon applied under the initial margin rules for non-cleared trades, and assesses whether it is appropriate. The 10-day period is double the five days set for cleared trades.

FIA PTG Calls for “Data-Driven” Discussion on Liquidity

As part of what it terms a continuing effort to foster a productive, data-driven discussion about the nature of liquidity and liquidity provision, FIA PTG has released a white paper entitled Liquidity in Today’s Markets that seeks to promote principles that it says are fundamental to building healthy, liquid markets.
The paper includes recommendations detailing what the association believes to be the general parameters necessary to promote liquidity, thereby establishing a basis for further discussion between market participants and regulators.

ISDA Releases Updated SIMM Model

The International Swaps and Derivatives Association (ISDA) has announced the launch of the latest version of the Standard Initial Margin Model (SIMM), which incorporates a number of enhancements to further develop the methodology.
The ISDA SIMM is a common methodology for calculating initial margin requirements on non-cleared derivatives, and launched in September 2016 in response to new margin rules. An industry governance committee monitors and assesses the model and oversees the process of updates and recalibrations. As part of this process, the governance committee conducts an annual recalibration of the ISDA SIMM parameters and an annual methodology review to consider recommendations from users of the model.

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