- Sophie Marnhier-Foy, Global principal product manager, Margin and clearing risk, Calypso Technology
- Jeff Himstreet, Vice-president and corporate counsel, PGIM
- Petal Walker, Special counsel, WilmerHale
- Oliver Frankel, Founder, Bilateral Risk Management
- Moderator: Joel Clark, Contributing editor, Risk.net
When the final phase of the swaps market’s new margining regime takes effect in 2020, hundreds – possibly thousands – of buy-side firms will be hit by complex margin requirements.
While most market participants are familiar with the variation margin requirements for non-cleared over-the-counter derivatives, only a few dozen have so far been caught by the requirements for initial margin. The third and fourth waves of the rollout – in September 2018 and 2019 – will see those numbers jump, but the ‘big bang’ final phase will pose the greatest challenge.
To avoid disputes under the new rules, big market participants have rolled out a standard initial margin model (Simm). However, its complexity exceeds the capabilities of many smaller firms.
Alternative approaches have the virtue of simplicity, but may overstate – or understate – margin requirements and open the door to constant disagreement with counterparties. One option may be to outsource Simm margin calculation to a third party, but these services are still on the drawing board.
Among the topics discussed in this webinar:
- What differentiates the various margin models
- Choosing the right model for your organisation
- What buy-side firms need to do in to reduce margin costs
- The remaining challenges and uncertainties