International Swaps and Derivatives Association, Inc.

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Robert L Lee

David B Moss

Oliver Frankel

Alistair Smith

John R Williams

Justin Gmelich

Tom Benison

Alessandro Cocco

Lisa Watkinson

Doug Warren

Vincent Basulto

Bryce Markus

Kimberly Summe

Hitanshi Thaman

Carlo-Edoardo Carlon

Thomas Vogel

Tomo Kodama

Kevin Krabbenhoeft

Glade Jacobsen

William Roberts

Nicholas Steele

Robert Liu

Bryan Mix

A Standard Initial Margin Model (SIMM) is calculated and provided as an overall initial margin for non-cleared derivatives. In certain embodiments, using at least one computing device, information associated with a plurality of risk classes is acquired, and a delta margin, a vega margin, and a curvature margin for each risk class based on the acquired information associated is determined. The at least one computing device calculates initial margin for each risk class by summing the respective delta margin, the respective vega margin, and the respective curvature margin. The at least one computing device determines whether product classes will be used in calculating the overall initial margin, calculates the overall initial margin using an equation based on the determination, and provides the overall initial margin. The amount of the initial margin call for the underlying derivatives contract may then be generated based on the calculated initial margin.

Method and system for calculating and providing initial margin under the standard initial margin model

Systems and methods for settling credit default swap contracts upon occurrence of a credit event are provided. In the first stage an inside market price and imbalance between net sell and buy positions are determined. When there is an imbalance between net sell and buy positions, a second stage is employed to determine a final price for settling the imbalance.

Systems and methods for credit default swap auction

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Chatham, NJ, United States of America

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