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  1. 01 Why have IM?
  2. 02 What is IM?

What is IM?

IM is a measure of the losses which could occur in a portfolio:

  • Over a specific holding period
  • Using a confidence level
  • Calculated using a variety of methods

Cleared Trades

OTC derivatives trades cleared via SwapClear or other CCPs always have IM required. For SwapClear the IM is:

  • Holding period: 5 days for direct member and 7 days for clients
  • Derived using Expected Shortfall to pick the losses, rather than a confidence level
  • Calculating using a historical Value at Risk simulation with 5 years history

This article by ClarusFT compares the IM method across many clearing houses.

Un-cleared Trades

Global regulators now required un-cleared OTC trades to be subject to variation margin and initial margin. These requirements are being phased in each September until 2021.

The general IM requirements for un-cleared trades are:

  • For a 10 day holding period
  • With a 99% confidence level
  • Over a 1, 3 or 5 year period of scenarios

You can compare the un-cleared margin requirements using the tools at the FlightPlan Regulations Map for all global jurisdictions.

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