IHS Markit launches OTC derivatives initial margin calculation service
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IHS Markit launches OTC derivatives initial margin calculation service 28 September 2018New York Reporter: Brian Bollen
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IHS Markit, a provider of information, analytics and solutions, has launched its initial margin calculation service with coverage for non-cleared derivatives across interest rates, equities, foreign exchange, credit and commodities.
The service delivers risk sensitivity and margin calculations using models for valuing over-the-counter derivatives and independent market data from IHS Markit and its portfolio valuations service.
It incorporates ISDA’s Standard Initial Margin Model methodology and the industry-standard common risk interchange format file.
The new service is part of the industry response to the complex, five-phase international framework for posting initial margin that began in 2016.
The International Swaps and Derivatives Association estimates that more than 9,000 trading relationships and 1,000 counterparties will come into scope during the final phase of implementation in 2020.
Nosheen Amir-Ebrahimi, managing director and co-head, derivatives data and valuation services at IHS Markit, said: “The service provides financial institutions [with] a flexible solution powered by best-in-class derivatives valuations data and an infrastructure that breeds operational efficiency.
She added: “Most importantly, we now offer our customers an integrated end-to-end collateral management ecosystem which automates and streamlines the entire margin lifecycle, ensuring consistency across initial and variation margin calculations.”
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