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ISDA tables standard initial margin model 

December 12, 2013
Christopher Whittall, IFR Asia

The International Swaps and Derivatives Association has moved forward with plans to standardise initial margin calculations across the industry, as the derivatives market looks to wrestle with costly regulatory requirements associated with uncleared swaps.

Dealers lobbied vociferously against Basel Committee proposals to calculate initial margin on a gross basis rather than allowing for netting on trades between the same counterparties. But regulators held their ground and the industry has now turned its attention to initiatives to dampen the impact of the rules, which will come into force for the largest dealers in December 2015.

Chief among these is standardising how initial margin is calculated. Banks currently use their own models and metrics to work out initial margin amounts, meaning numbers can vary across the industry.

Read more: IFR Asia

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