Тематический хаб · 1 опубликованных обзоров
Derivatives Margin & Prudential Regulation research topics and source records from FinLexicon Wiki. ISDA Standard Initial Margin Model (SIMM) refers to a parametric, sensitivity-based methodology calibrated across a 10-day margin period of risk (MPOR) at a 99% confidence interval to calculate regulatory initial margin for non-centrally cleared over-the-counter (OTC) derivatives under BCBS-IOSCO Uncleared Margin Rules (UMR).
ISDA Standard Initial Margin Model (SIMM) refers to a parametric, sensitivity-based methodology calibrated across a 10-day margin period of risk (MPOR) at a 99% confidence interval to calculate regulatory initial margin for non-centrally cleared over-the-counter (OTC) derivatives under BCBS-IOSCO Uncleared Margin Rules (UMR).
ISDA SIMM (Standard Initial Margin Model) is a sensitivity-based parametric model that nets delta, vega, and curvature exposures across tenors and buckets using calibrated correlations and concentration thresholds. The BCBS-IOSCO Standardized Schedule applies fixed percentage add-ons (1% to 15% of gross notional) adjusted only by a 40%/60% Net-to-Gross Ratio (NGR) formula, resulting in significantly higher margin calls for hedged portfolios.
Crossing the $8.0 billion USD (€8.0 billion EUR) Aggregate Average Notional Amount (AANA) brings a consolidated corporate group into legal scope for Uncleared Margin Rules. Once in scope, the two counterparty groups only need to physically exchange segregated Initial Margin once their bilateral SIMM calculation exceeds the consolidated $50 million USD/EUR IM exchange threshold, subject to a $500,000 Minimum Transfer Amount (MTA).
No. Physically settled FX forwards and FX swaps are exempt from regulatory Initial Margin requirements across US (Prudential/CFTC), EU EMIR, UK EMIR, and APAC jurisdictions. However, their gross notional value must still be included when calculating a firm's $8.0 billion AANA threshold, and they remain subject to daily Variation Margin exchange between covered institutions.
Because UMR strictly prohibits the rehypothecation or commingling of Initial Margin, cash held directly in a custodian's deposit account exposes the posting party to the commercial bank credit risk of the custodian. Consequently, institutional counterparties pledge sovereign bonds (0.5%–4.0% haircut), main-index equities (15.0% haircut), or sweep cash into eligible tokenized or traditional government Money Market Funds.