IHS Markit announced the launch of its Initial Margin Calculation Service with broad coverage for non-cleared derivatives across interest rates, equities, FX, credit and commodities.
A complex, five-phase international framework for posting initial margin began in 2016, and ISDA estimates more than 9,000 trading relationships and 1,000 counterparties will come into scope during the final phase of implementation in 2020. As this milestone approaches, asset managers face significant challenges in building or sourcing the data, risk sensitivity models and other tools required to calculate and manage initial margin.
The Initial Margin Calculation Service delivers risk sensitivity and margin calculations using robust models for valuing OTC derivatives and independent market data from IHS Markit and its Portfolio Valuations service. It incorporates ISDA’s SIMM methodology and the industry-standard Common Risk Interchange Format (CRIF) file.