ISDA WGMR Implementation Initiative

ISDA Amend Webcast Now Available: Are you ready for the upcoming margin rules? 

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 Data Sources  (T. Kruse/E. Hsu)

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

WGMR Legal & Documentation  (K. Darras)

ISDA SIMM Governance Forum  (P. Koumantanos)


DateTitle / DescriptionDocuments
September 1, 2016
Margin for Non-cleared Derivatives: ISDA Initiatives
The introduction of new margin requirements for non-cleared derivatives will transform how firms use derivatives, and will require significant changes to infrastructure, processes, models and documentation. ISDA has been working on a number of initiatives to help firms meet the rules.
Margin for Non-cleared Derivatives ISDA initiatives.pdf
August 31, 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).


Under the revised licensing program, any market participant will be able to license the ISDA SIMM™ to calculate initial margin for its own or its clients’ non-cleared derivatives transactions. Third-party vendors will also be able to license the ISDA SIMM™ for proprietary services or products. As part of the revised terms, an annual licensing fee will apply to all those who use the ISDA SIMM™. The licensing fees collected will cover annual maintenance and recalibration costs associated with the ISDA SIMM™ to ensure it continues to meet current and future regulatory standards. The licensing fee will be reviewed annually.


Please direct any questions regarding the ISDA SIMM™ licensing program to isdalegal@isda.org.

SIMM  - From Principles to Model Specification_4 Mar 2016_v4 (PUBLIC).pdf IM Discussion Paper 20150615 - CLEAN - PUBLIC.pdf SIMM_CrossCurrencySwap_Treatment_12 May 2016 (PUBLIC).pdf ISDA SIMM Governance Framework_25 July 2016 (PUBLIC).pdf ISDA SIMM FAQ_27 July 2016 (PUBLIC).pdf ISDA WGMR Workstream Summaries_ April 2016_public.pdf Risk_Data_Standards_v1.25_(PUBLIC).pdf ISDA SIMM Crowdsourcing Utility _User Guidelines_24 August 2016_v13 2_(PUBLIC).pdf ISDA_SIMM_vR1.0_(PUBLIC).pdf
August 11, 2016
ISDA Amend Webcast: Are you ready for the margin rules?
ISDA Amend 2.0 includes new functionality to allow market participants to implement the new margining requirements for non-cleared derivatives, as well as the ability to inform counterparties about elections they have made under the ISDA Resolution Stay Jurisdictional Modular Protocol (ISDA JMP). This joint webcast with Markit helps market participants prepare for the upcoming regulatory deadlines.
ISDA Amend Webcast: Are you ready for the margin rules?
ISDA Amend 2 0_webcast_Aug 11 2016 (final).pdf
July 8, 2016
ISDA letter to BCBS/IOSCO requesting uniformity in time frame for margin requirements
On July 8, 2016, ISDA sent a letter to the Basel Committee on Banking Supervision and International Organization of Securities Commissions requesting that the phase-in of the derivatives margin requirements is reset so there is a uniform time frame for adopting the margin rules in all major financial jurisdictions.
ISDA-Letter-to-BCBS-IOSCO-Global-Harmonization-Due-to-EU-Delay (002).pdf
July 7, 2016
Important Notice to Market Participants re: Application of Margin Rules to Phase 1 groups
Re impact of the US rules on margin for uncleared swaps for funds that are consolidated on the financial statements of large financial groups.
Application of Margin Rules to Phase 1 Groups.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