ISDA SIMM 개시증거금 모형과 구조화 금리 스왑

The purpose of this paper is to explain ISDA Standard Initial Margin Model (SIMM) and present the calculation of the initial margin of major interest rate structured swaps. From this quantitative analysis, we provide practical suggestions for soft landing of the initial margin regulation. We use Hull-White 1 and 2 factor model for vanilla swap, range accrual swap, and spread range accrual swap with issuer call options, which are major interest rate structured products of financial institution as hedging instruments. In order to sidestep some bias from selecting data sample and take market changes into account, data from 2014 to 2019 are used. Average ratios of initial margin to notional amount of each trades are estimated as 2.6%, 2.8%, 5.2% sequentially. In particular, it is important to include relevant maturity which reflect the major characteristics of trades. In particular, the SIMM initial margin using the Hull-White two-factor model sometimes showed a level of difficulty in coordination between counterparties. As such, the role of the financial supervisory authority is expected to increase in areas where coordination between theory and practice or among practices is necessary. In conclusion, we argue that it is necessary for detailed guidelines on the parameter estimation, sensitivity calculation, and reconciliation procedures which underlie the calculation of a stable and appropriate level of initial margin.