OpenGamma partnering with derivatives industry on open source solution for bilateral margining

OpenGamma partnering with derivatives industry on open source solution for bilateral margining
9th March 2015 OpenGamma

LONDON, NEW YORK – March 9, 2015 – OpenGamma, a leading provider of OTC market structure solutions, is working with dealers and other OTC derivatives market participants to deliver an open source model to calculate the margin on bilateral derivatives trades. The solution will implement the final Standard Initial Margin Methodology (“SIMM”) being developed by ISDA®, which will meet the requirements set by the Basel Committee and due to be implemented by December 2015.

Full transparency and open access to source code for margining will for the first time empower industry participants to have an independent and verifiable calculation framework that is not controlled by any one entity.

The source code used for calculation of margin will be fully available to all market participants to plug into their respective utilities and proprietary trading systems, enabling a consistency of calculations across the industry that was not previously possible.

The first release will be the HVaR-based model from the original ISDA SIMM paper but will be quickly followed, pending industry approval, by the current version of the model, which is based on a different methodology.

OpenGamma will release the source code to all iterations of the model on Github.com, an open source, collaborative software development environment. Having all open source models in one location will facilitate the evaluation and verification of the different methodologies and their inherent tradeoffs. In addition, having many eyeballs reviewing the code will lead to a verification of the precise assumptions made in the actual code implementation of the models.

“With capital scarce, financial firms are more focused than ever on developing high-value, proprietary innovations rather than re-creating industry-standard methodologies,” said Mas Nakachi, CEO of OpenGamma. “That’s why we’re working with the industry to streamline and democratize the development of market structure solutions, which also fundamentally reduces operational and systemic risk through the inherent transparency of open source code. We believe the future of OTC market structure will be driven by the need for transparency and will therefore be based on open standards.”

OpenGamma’s background in delivering flexible risk and margin calculation solutions positions the firm as an ideal solutions provider for issues that encompass all OTC derivatives market participants and asset classes. OpenGamma for Margining was added to its product line In November 2013, complementing its existing open-source market risk platform.

Online Resources

● Access the OpenGamma SIMM implementation on GitHub

● Learn more about OpenGamma Market Structure solutions

About OpenGamma

OpenGamma helps financial services firms evaluate, understand, and manage market risk in an open, transparent manner.

The OpenGamma Platform enables firms to optimize their businesses in the evolving OTC markets, improving capital efficiency and balance sheet management. It provides tools for multi-CCP margin calculations, what-if analysis and stress testing, and real-time, cross-asset risk and trading analytics across customized risk scenarios and industry-standard metrics.

Used by both buy-side and sell-side firms, exchanges, CCPs, and other segments of the OTC derivatives market structure, OpenGamma brings a new standard of transparency to the industry, enabling users to gain more insight into their underlying risk exposures, better assess the true costs of trading, and respond more rapidly to the ever-evolving regulatory landscape.

Backed by Accel Partners, FirstMark Capital, ICAP plc and Euclid Opportunities, OpenGamma is headquartered in London with an office in New York. For more information on SIMM, email SIMM@OpenGamma.com. For more information on OpenGamma’s market structure solutions, visit http://www.opengamma.com.

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