ISDA WGMR Implementation Initiative

ISDA Video Now Available: Preparing for the Variation Margin Rules

ISDA Amend December 1 Webcast Now Available: Launch of the Variation Margin Protocol 

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 Legal & Documentation  (K. Darras)

ISDA SIMM Governance Forum  (P. Koumantanos)


DateTitle / DescriptionDocuments
December 8, 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 ISDA SIMM Crowdsourcing Utility _User Guidelines_24 August 2016_v13 2_(PUBLIC).pdf ISDA_SIMM_vR1.0_(PUBLIC).pdf Risk Data Standards_v1.27 (PUBLIC).pdf ISDA SIMM vR1.1_8 December 2016 (PUBLIC).pdf ISDA SIMM vR1.2 v1_8 December 2016 (PUBLIC).pdf
December 8, 2016
Video 3: How to Prepare for the VM Big Bang
Mark New, Senior Counsel for the Americas at ISDA, describes the tools available to help firms prepare for the variation margin requirements. Click here to view the third video
December 7, 2016
Video 2: What are the Variation Margin Rules?
ISDA’s Chairman Eric Litvack outlines the variation margin requirements and highlights the need for firms to start preparing now. Click here to view the second video
December 6, 2016
Video 1: Overview of the Margin Rules
ISDA’s CEO Scott O\'Malia explains the implementation timeline for the new margining requirements for non-cleared derivatives. Click here to view the first video
December 1, 2016
ISDA Amend Webcast: Launch of the Variation Margin Protocol
ISDA Amend 2.0 includes a new protocol to enable market participants adhere to the variation margin requirements under various legal jurisdictions. Following on from our overview of the Self-Disclosure Letter, the next step requires participants to amend Credit Support Annexes (CSAs) to address regulatory compliance. This joint webcast with Markit helps market participants prepare for the upcoming uncleared margins deadline.
ISDA Amend 2.0 – Variation Modular Protocol-20161201 1451-1.mp4 ISDA Amend 2 0_webcast_Dec 01 2016 FINAL2 updated.pdf
November 28, 2016
Getting Ready for the March 1, 2017 Variation Margin Requirements: What Steps Do I Need to Take?
A list of steps prepared by ISDA on how to get ready for the March 1 variation margin deadline.
ISDA Margin Fact sheet FINAL.pdf
November 15, 2016
ISDA Announces New Head of Non-cleared Margin Initiative
Press Release
WGMR new head press release FINAL.pdf
October 26, 2016
ISDA Amend Webcast: Are you prepared for the next wave of margin rules?
Jurisdictions around the world are implementing regulatory margin requirements for non-cleared derivative transactions. ISDA Amend 2.0 includes new functionality to allow market participants to exchange information to determine if their trading relationships are subject to margin requirements. This joint webcast with Markit helps market participants prepare for the upcoming regulatory deadlines.
ISDA Amend Webcast: Are you ready for the margin rules?
isda161026.pdf
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 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