Margin

Getting Ready for Initial Margin: The Steps to Take (Korean)

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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.

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Margin Rules and ISDA SIMM

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When it comes to the changes associated with the financial reform agenda, the work to implement the margining of non-cleared derivatives has to be one of the most significant and transformational. The phase-in of the non-cleared margin rules is roughly half way complete, with phases three, four and five coming into scope in 2018-2020. ISDA has helped the industry every step of the way, and it is important to highlight the work that lies ahead to integrate small banks and a broad range of buy-side members and commercial end users.

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Margin Rules and ISDA SIMM

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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.

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ISDA Create – IM

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What is ISDA Create – IM?

ISDA Create is an online solution that will, among other things, allow firms to produce, deliver, negotiate and execute documents and capture, process and store data from such documents completely within the solution, thereby providing users with a complete digital record of such documents/data.

The post ISDA Create – IM appeared first on International Swaps and Derivatives Association.

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The Battle for IM Margin Documentation Automation Moved Forward

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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. 

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IM calculation change imminent-ish

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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.

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Video – How is Collateral Used in the Derivatives Market?

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Collateral acts as a backstop that protects market participants and the economy as a whole. The requirement to post collateral is a key reform that makes the derivatives market more transparent, resilient and safe.

ISDA’s new whiteboard animation video explains how collateral is used in the derivatives market, and how it makes the financial system safer.

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Video – How is Collateral Used in the Derivatives Market?

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Collateral acts as a backstop that protects market participants and the economy as a whole. The requirement to post collateral is a key reform that makes the derivatives market more transparent, resilient and safe.

ISDA’s new whiteboard animation video explains how collateral is used in the derivatives market, and how it makes the financial system safer.

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Margin Requirements for Non-cleared Derivatives

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The advent of mandatory daily initial margin (IM) and variation margin (VM) requirements for non-cleared over-the-counter (OTC) derivatives transactions has raised many questions regarding the methodology that should be used for computing these margin requirements. Regulatory guidelines require IM levels for non-cleared contracts to cover a 99% loss quantile of the netting set over a horizon of 10 days, as opposed to 3 to 5 days for cleared OTC contracts.

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Margin Requirements for Non-cleared Derivatives

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The advent of mandatory daily initial margin (IM) and variation margin (VM) requirements for non-cleared over-the-counter (OTC) derivatives transactions has raised many questions regarding the methodology that should be used for computing these margin requirements. Regulatory guidelines require IM levels for non-cleared contracts to cover a 99% loss quantile of the netting set over a horizon of 10 days, as opposed to 3 to 5 days for cleared OTC contracts.

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