Initial Margin for Crypto Currencies Risks in Uncleared Markets

February 2026

Initial Margin for Crypto Currencies Risks in Uncleared Markets

Anna Amirdjanova, David Lynch, and Anni Zheng

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: SIMM, counterparty risk, crypto risk, cryptocurrencies, initial margin, risk weights

DOI: https://doi.org/10.17016/FEDS.2026.009

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