Initial Margin for Crypto Currencies Risks in Uncleared Markets

Anna Amirdjanova, David Lynch and Anni Zheng
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Anna Amirdjanova: https://www.federalreserve.gov/econres/anna-amirdjanova.htm
David Lynch: https://www.federalreserve.gov/econres/david-k-lynch.htm

No 2026-009, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We examine prospective classification of crypto currencies risks within the ISDA Standardized Initial Margin Model (SIMM) framework for calculation of initial margin on trades sensitive to cryptocurrencies’ risk factors in the uncleared market. Consistent with the view that cryptocurrencies are digital assets that fundamentally rely on distributed ledger technology (DLT) and induce financial risks that are significantly different from those in traditional risk classes like commodities or FX, we find that cryptocurrencies are best classified into a distinct risk class within SIMM that is split into two buckets – pegged and floating (unpegged) crypto currencies as risk factors - and suggest risk weights’ calibration methodology within the cryptocurrencies risk class that is consistent with the existing approaches adopted in SIMM.

Keywords: Risk management; Cryptocurrencies; Credit risk; Derivatives (search for similar items in EconPapers)
JEL-codes: G12 G13 G18 G28 (search for similar items in EconPapers)
Pages: 25 p.
Date: 2026-02-12
New Economics Papers: this item is included in nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:102799

DOI: 10.17016/FEDS.2026.009

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