Sunday, 5 April 2020

Mandatory IM: Category 5 and 6 delayed by one year

The BCBS has proposed a deferral of final implementation phase of the mandatory IM requirement for non-centrally cleared derivatives. The BCBS press release can be found at:

The BCBS deferral is in line with the proposition that Marc made at the QuantSummit and quoted in the press.

As mentioned previously, we have developed our own code related to a Standard Initial Margin Model (SIMM) used by most of the banks under mandatory IM (currently category 1 to 4). Our implementation is AD compatible and provides the derivatives/sensitivities with respect to all the inputs (all the input amounts).

Note added: By doing some reviews, we have also noticed that some open source code for its computation contains bugs related to the computation of correlations (string comparison bugs).