ISDA SIMM 개시증거금 모형과 구조화 금리 스왑
ISDA SIMM Initial Margin Model and Interest Rate Structured Swap
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초록
본 연구의 목적은 2021년부터 시행 예정인 비청산 장외파생상품의 개시증거금 제도에 대비하여 ISDA의 SIMM(Standard Initial Margin Model) 방법론을 설명하고 주요 금리 구조화 스왑의 개시증거금 산출에 적용함으로써 1) 개시증거금에 대한 정량적 분석과 2) 개시증거금 제도의 연착륙을 위한 실무적 제언을 제시하는 것이다. 국제적인 표준으로 인정받고 있는 내부모형인 SIMM 방법론을 적용하여 발행자 콜옵션이 포함된 Vanilla, Range Accrual, Spread Range Accrual 스왑을 대상으로 Hull-White 모형을 이용하여 민감도 모수를 계산한 후 개시증거금을 산출하였다. 2014년부터 2019년까지 총 6개 년도의 말일자료를 이용하여 계산한 명목금액 대비 개시증거금의 비율은 분석대상 상품 순서대로 평균적으로 대략 2.6%, 2.8%, 5.2% 수준이었다. 이때 계약의 수익구조 및 주요 특성을 반영한 만기가 포함되지 않을 경우 다소 적정하지 않은 개시증거금이 산출될 수 있음을 보여주었다. 특히 Hull-White 2요인 모형을 이용한 SIMM 개시증거금은 경우에 따라 거래 당사자 간 조정이 쉽지 않을 수 있는 수준을 나타내기도 하였다. 이와 같이 이론과 실무 또는 실무적 관행이 교차하여 조정이 필요한 영역에서 금융감독 당국의 역할이 높아질 것으로 보인다. 따라서 개시증거금 제도의 조정 이슈를 완화하기 위해 모형 선택, 모수 추정 방식, 민감도 산출 방법 등에 관한 금융감독 당국의 상세한 가이드라인이 필요할 것으로 판단된다.
Abstract
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.
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