Bilateral Initial Margining

Ever since the financial crisis, supervisory authorities around the world have been working to reduce risks in the financial industry and, in particular, the OTC derivatives market. Various initiatives have been launched aiming to protect market participants from negative consequences of a counterparty’s default. As a result, a large number of new regulatory requirements have been introduced, including the obligation to clear certain products as well as new rules with respect to the collateralization of OTC derivatives.

In our workshop we would like to share our experience from our current project where we are implementing Bilateral Initial Margening and we would like to talk about requirements of your firm.
For further details take a look at our flyer.

Agenda

1. Initial Margining

  • Background and regulatory overview
  • Timeline (margin obligation)
  • Initial margin calculation (frequency, approaches, ...)
  • Standard method
  • Internal initial margin models (concept, requirements, ...)
  • ISDA-SIMM TM
  • Data requirements (standard method and ISDA-SIMM TM)

2. Testing with a third-party provider (AcadiaSoft)

  • Preparation and requirements
  • Unilateral testing
  • Bilateral testing
  • Prototyping ISDA-SIMM TM
  • Sample calculations

3. Lessons learned from testing and implementation

  • Matching position data
  • Product classification
  • Bucket mapping
  • Validation and alignment of interest rate sensitivites
  • Calculation of cross-currency swap inputs for ISDA-SIMM TM

4. Questions and discussion

Michael Kratochwil Nagler & Company
Contact Person

Michael Kratochwil

Location Frankfurt am Main

+49 (151) 10837207

E-Mail
Thomas Weisshaar Nagler & Company
Contact Person

Thomas Weisshaar

Location Wien

+ 43 (676) 675 0833

E-Mail

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