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In a world of uncleared margin rules, Isda Simm adapts and evolves

A look back at progress and challenges one year on from UMR and Phase 6 implementation

Basel committee on banking supervisionInternational organization of securitiesInternational swapsBasel committeeBanking supervisionInternational organizationSecurities commissionsInitial marginIsda simmArgin efficiencyMargin modelsNon cleared tradesBilateral tradeInterest rate derivativesNterest rate swapsPortfolio optimisation

LDI firms update margin stress tests post-gilt crisis

For some managers, stress-testing models failed to reflect the convexity effects of the crisis on initial margin

United kingdomFinancial conduct authority fcaBank of england boeNited kingdom ukLiability driven investment ldiIsda simmAlue at risk varInitial marginPension funds

EU lawmakers converge on centralising Simm validation

Industry cautiously optimistic Council and Parliament will support EBA compromise

Council of europeEuropean unionEuropean banking authorityEuropean banking authority ebaCouncil of the european unionEuropean parliamentEuropean commission ecIsda simmRisk model validationInitial marginOver the counter otc derivativesNon cleared trades

Why Isda ditched off-cycle updates for Simm

Ad hoc updates riled industry, while regulators pushed for predictability in model recalibrations

International swapsDerivatives associationInternational swaps and derivatives association isdaNited states usNon cleared tradesInitial marginMargin modelsIsda simmNterest rate swapsInterest rate derivatives

EU rulemakers lean towards Simm validation for dealers only

Council supports EBA proposal to narrow scope of rules, while parliament takes a tougher line

European unionCouncil of the european unionEuropean banking authority ebaEuropean commission ecEuropean parliamentBroker dealerBuy sideApital requirements directive crdUropean market infrastructure regulation emirIsda simmModel validation

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