ISDA WGMR Implementation Initiative

ISDA Webcast Now Available: Preparing for WGMR Implementation

In September 2013, the Working Group on Margin Requirements (WGMR), an initiative jointly run by the Basel Committee on Banking Supervision (BCBS) and the International Organization of Securities Commissions (IOSCO), issued the final margin policy framework for non-cleared, bilateral derivatives. Individual regulatory authorities across jurisdictions have since started to develop their own margin rules consistent with the final framework.

ISDA initiated a WGMR Implementation Program to facilitate the implementation of the margin rules across jurisdictions.

SIMM
A key component of the WGMR Implementation Program is the Standard Initial Margin Model (SIMM)TM project, which is focused on developing a common initial margin (IM) methodology that can be used by market participants globally.  Unlike the calculation of variation margin, which is based on day-to-day valuation changes that are often directly observable, initial margin calculations very much depend on the choice of model and the assumptions used. Under the framework set by the WGMR, firms can use their own internal models to calculate initial margin, as long as they meet certain criteria and obtain regulatory approval. These models have the potential to differ significantly, raising the possibility that counterparties will arrive at a different initial margin figure for the same trade. The result would be a surge in the number of disputes – and no obvious way currently in place to quickly resolve them. The SIMM provides an open, transparent, standard methodology that will be available to all.

In addition to the SIMM workstream, several ISDA WGMR implementation workstreams were formed to address all areas necessary for broad market compliance with new rules for both IM and variation margin (VM), including portfolio integrity, collateral management process changes, data, dispute resolution, and new legal documentation to govern collateral and segregation relationships.  The ISDA WGMR Oversight Committee coordinates the work of all the above workstreams.

Contacts:

WGMR Margin & Collateral Processing/Portfolio Integrity   (J. Pucciarelli)

WGMR Risk Classification and Methodology  (P. Koumantanos)

WGMR Data Sources  (T. Kruse/E. Hsu)

WGMR Dispute Resolution   (J. Pucciarelli / Y. Martes)

WGMR Legal & Documentation  (K. Darras)


DateTitle / DescriptionDocuments
June 3, 2016
ISDA publishes draft of ISDA SIMM documents

ISDA publishes documents related to ISDA’s proprietary Standard Initial Margin Model for non-cleared derivatives (ISDA SIMM). Service providers interested in utilizing ISDA SIMM in connection with services provided to their respective clients, as well as rights to the ISDA SIMM for use in connection with such offering, should contact isdalegal@isda.org for more information regarding the ISDA SIMM licensing program. There is no charge for market participants to use ISDA SIMM to calculate margin with respect to their own non-cleared trades.

The ISDA SIMM and related documentation are works-in-progress drafts that are subject to substantive changes pending final regulations and ongoing discussions and may be modified or withdrawn by ISDA in whole or in part.

SIMM  - From Principles to Model Specification_4 Mar 2016_v4 (PUBLIC).pdf IM Discussion Paper 20150615 - CLEAN - PUBLIC.pdf ISDA SIMM Methodology_7 April 2016_v3.15 (PUBLIC).pdf ISDA SIMM Log of Changes_7 April 2016 (v3.15 vs v3.11).pdf SIMM_CrossCurrencySwap_Treatment_12 May 2016 (PUBLIC).pdf Risk Data Standards_24 May 2016_v1.22 (PUBLIC).pdf
May 3, 2016
ISDA letter to European Commission on Margin RTS
On April 29, 2016, ISDA submitted a letter to the European Commission on the Margin RTS drafted by the European Supervisory Authorities. The letter covers a range of issues, but does not cover variation margin settlement timing, which will be addressed in a separate letter.
ISDA - Margin RTS - Letter to EC 280416.pdf
April 22, 2016
ISDA letter to BCBS-IOSCO seeking relief regarding swaps in jurisdictions without final rules
On April 22, 2022 ISDA submitted a letter to BCBS-IOSCO seeking temporary relief from margin requirements, for swaps, which a Covered Entity enters into with a covered counterparty in a jurisdiction which has not yet finalized its margin rules.
ISDA - Margin Interpretation Issues - Letter to BCBS-IOSCO Asking for Re.pdf
February 12, 2016
ISDA's comment letter to the US Prudential Regulators and CFTC regarding the use of a broad product set for calculating variation margin.
ISDA provided comments to the US Prudential Regulators and CFTC regarding the use of a broad product set for calculating variation margin, when transactions are subject to the US VM requirements and another margin regulation (issued by a US regulator or a non-U.S. regulator) or contractually agreed variation margin requirements. ISDA requests that the two US regulators allow parties to run a single VM calculation across both product groups.
ISDA - Margin (Broad Product) - Letter to PRs_CFTC.pdf
February 1, 2016
ISDA Webinar for Pension Funds on Margin Rules for Uncleared Swaps
This is an educational webinar which provides a high level overview of the new global margin requirements, the current ISDA WGMR Program, and issues relevant to Pension Funds. Speakers cover topics related to Initial Margin and Variation Margin, in addition to forthcoming documentation changes.
WGMR-Webinar.html ISDA Webinar for Pension Funds on Margin Rules for Uncleared Swaps.pdf
December 18, 2015
Follow up to ISDA’s response on the OSFI Consultation on Draft Guideline E-22 – Margin Requirements for Non-Centrally Cleared Derivatives
Cdn OSFI Margin Guidelines ISDA Response - Follow-up Comments.pdf
November 24, 2015
ISDA's comment letter responding to to the Canadian Office of the Superintendent of Financial Institutions (OSFI) draft Guideline E-22
ISDA provided comments to OSFI draft guidelines, which requires the exchange of margin to secure performance on non-centrally cleared derivatives transactions between covered entities.
Cdn OSFI Margin Guidelines ISDA Response - Comment Letter (Nov 24 2015).pdf
October 8, 2015
IBA Selected as New ISDA SIMM™ Crowdsourcing Utility
Press Release: ISDA announces that ICE Benchmark Administration Limited (IBA) has been selected to build and operate the crowdsourcing utility for the ISDA SIMM™.
ISDA SIMM Crowdsourcing Utility Oct 8 2015_FINAL.pdf
September 24, 2015
ISDA letter to BCBS/IOSCO relating to issues concerning timing requirements for margin delivery.
Proposed rules by EU and the US regulators require, with some exceptions, the collection of collateral on the business day after the trade date ("T+1"). ISDA requests adjustments to the proposed rules, for both VM and IM, to allow for flexibility for the variety of factors impacting the call and settlement timelines, while maintaining daily margin calls and settlement of collateral.
ISDA - WGMR Timing Letter (3).pdf
September 11, 2015
ISDA letter responding to the CFTC’s proposed cross-border rules for margin.
ISDA provides comments to the CFTC regarding the recently proposed rulemaking relating to the cross-border application of the Commission’s margin requirements for uncleared swaps . Our analysis of the proposed rules addresses five critical themes: supporting the ‘Guidance’ approach with modifications; addressing harmonization of global rules with simplified substituted compliance; adoption of a 5% de minimis exemption patterned after the “emerging markets” exemption in the Guidance; swaps of non-US CSE’s executed through or by a US branch should receive exemption; and margin rules should only take effect 12 months after rules are finalized by global regulators..
ISDA Response to CFTC Margin Proposal 091115.pdf