Saturday, 1 June 2019

Mandatory IM: category 5

The mandatory bilateral Initial Margin for derivatives is approaching for financial institution in the Category 4 (aggregate month-end notional amount in March, April and May 2019 greater than EUR 0.75 trillion), with an implementation date of September 2019.

It is time for the institutions in Category 5 (aggregate month-end notional amount in March, April and May 2020 greater than EUR 8 billion) to prepare for the September 2020 deadline.

muRisQ Advisory is specialized in interest rate derivatives. Our experience related to Initial Margin includes commenting on the regulatory consultations, implementing the first versions of SIMM™and comparing CCP models to uncleared regulatory requirements and SIMM. We have used the SIMM methodology in many contexts. Our implementation for interest rate includes Algorithmic Differentiation features for efficient computation of IM differentiation (see our blog on Initial Margin and double AD).

On top of spot IM computation we have also worked on Margin Valuation Adjustments (MVA) from an academic and practitioner perspective. Some examples of our research can be found on our "Forward Initial Margin and multiple layers of AD" blog.

Don't hesitate to contact us for quantitative advisory on projects related to the mandatory uncleared IM framework, technical questions related to SIMM and associated MVA questions.