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Bilateral Margin Requirements, ISDA SIMM, and Central Clearing

Current regulation requires that OTC derivative markets implement bilateral margin rules with the requirements applying to virtually all significant OTC derivative users from September 2020. These rules are being phased-in with the aim of reducing systemic risk and promoting central clearing. This, along with related implications, is creating significant changes in the nature of collateralization both in terms of variation margin and initial margin – with the latter, in particular, being very complex to model in terms of costs and risk mitigation benefit.

In this hands-on course we will explore in detail the mechanics of bilateral margin rules for OTC derivatives and assess future scenarios along with their opportunities and risks. The program also covers initial margin methodologies, namely SPAN, Historical VAR, and the ISDA Standard Initial Margin Model (SIMM™). Aspects such as segregation and required CSA changes, multilateral netting, and the growing use of MVA (Margin Value Adjustment) are also explored.

The program is suitable for both banks and end-users of OTC derivatives.

Participants will be able to take away all worked examples, as well as additional exercises and models implemented using Excel functions and macros. They will also receive a copy of Dr Jon Gregory's book "Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives", published by Wiley Finance.

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  • Date:
  • Please contact us
  • Venue:
  • Manhattan - New York
  • Fee:

This course is also available in London and Singapore

Who The Course is For

  • Credit traders, Derivatives traders and marketers
  • Risk managers and credit risk practitioners
  • Structurers
  • IT, Middle office
  • Senior management, Quantitative researchers
  • Product control, Portfolio managers
  • Operations / Collateral management

Prior Knowledge

  • Numerate background (basic)
  • Knowledge of derivatives products
  • Basic knowledge of Microsoft Excel

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