Questions tagged [initial-margin]

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PV01: bumping all tenors along the curve or only a tenor at a time?

Item 22 from this ISDA SIMM 2.3 document gives the following definition for the PV01 of an instrument $i$ with respect to the tenor $t$: $$s(i, r_t) = V_i(r_t+1bp, cs_t) - V_i(r_t, cs_t)$$ where $r_t$ ...
SuavestArt's user avatar
1 vote
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Delta sensitivity calculation according to SIMM

According to this article, in the ISDA SIMM methodology, the delta sensitivity for interest rate products is calculated using $$ \text{delta} = \frac{V (x + 1 \text{bp}) - V (x - 1 \text{bp})}{2} $$ ...
Bogaso's user avatar
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1 answer
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Clarification of a term used in margin management by top counterparties

I am doing some primary research on margin management for different global counterparties and have come across the paper "The European central counterparty (CCP) ecosystem" by Armakolla et ...
Brian Smith's user avatar
1 vote
1 answer
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Segregated margin call question

What means segregated margin call and non-segregated margin call in the example. Why it is calculated that way? Thank you. https://www.google.com/url?sa=t&source=web&rct=j&url=https://www....
Tom Ho's user avatar
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Standardized initial margin calculation

BCBS 261 sets specific rules regarding to the initial margin calculation for bilateral trade (https://www.bis.org/publ/bcbs261.pdf) In page 21, the standardized rule sets the methodology for the same ...
Brian19931's user avatar
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1 answer
107 views

Margin Requirement model for CCP and non-central cleared OTC derivatives

What the models for computing margin requirement for central counterparty (CCP) and non-central cleared OTC derivatives.
user460329's user avatar
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Collateral Management - Initial Margin Frequency

My understanding is that initial margin presents over collateralization and comes into play in an actual default scenario as it aims to cover closeout costs. I was wondering what is the frequency of ...
saksobeat's user avatar
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Computing cost for crypto futures trades

I'm trying to replicate the cost of cryptofutures trade without success. Here are the inputs and the cost i got: Quantity: 1 BTC Mark Price: 11732.72 USD Leverage:20 Margin Percentage: 2.5% THE COST: ...
Valometrics.com's user avatar
4 votes
2 answers
1k views

ISDA SIMM swap sensitivities

Most of the commercial SIMM models require sensitivities to be passed in in CRIF format. The documentation mentions that "par sensitivities" need to be used. What exactly is a par sensitivity? When we ...
suhasghorp's user avatar
10 votes
3 answers
2k views

Why does buying future options require margin?

An option is the right, but not the privilege, to trade an underlying at the strike price. Buying a stock option doesn't require any margin - I've just tested this with InteractiveBrokers, trying to ...
Gascoyne's user avatar
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3 votes
2 answers
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MVA, initial margin valuation adjustment for derivatives

I have read a number articles about margin valuation adjustment (MVA), which effectively is the funding cost of the initial margin, which has become important because of the rise of central clearing ...
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1 vote
1 answer
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Initial margin requirement as percentage, not dollar value

Problem from Finan, FM/2 On 12-30-1998, you decided to bet on the January effect. On that day, you bought 400 shares of Microsoft on margin at the price of 139 per share. The initial margin ...
Eleven-Eleven's user avatar