Calculating sensitivities for SIMM in CRIF format is one of the toughest challenges created by uncleared margin rules. Our new solution allows you to independently and seamlessly integrate these calculations into your workflow.
Each counterparty must generate sensitivities in a prescribed format for every trade captured under SIMM. Calculating sensitivities requires huge amounts of market data and sensitivities need to be transformed into CRIF format to calculate SIMM.
After producing sensitivities in CRIF format, IM must be calculated using a licensed version of ISDA’s SIMM methodology. The calculated IM must be validated with each counterparty’s independently calculated IM on a daily basis.
Guidelines require that all firms identify any margin shortfalls through historical portfolio level P&L analysis and bilaterally agree to add-on margin to remediate shortfalls. These shortfalls must be reported to ISDA and national regulators.
Posting margin on bilateral trades can make derivatives very expensive for some firms or strategies. There is an opportunity to optimise both the use of the regulatory IM threshold and use less punitive cleared margin methodologies.
Our service processes daily position files and generates sensitivities in the required CRIF which forms the input of the ISDA SIMM calculation. We can also transform existing sensitivities into CRIF format.
As a licensed ISDA SIMM vendor, we provide accurate and up-to-date SIMM calculations from CRIF sensitivities. This allows you to validate and reconcile margin calls against your counterparties.
Our back-testing tool performs periodic back-testing of SIMM and identifies shortfalls against a historical VaR model.
Our optimisation engine recommends trade moves that reduce IM under SIMM. The algorithm produces the optimal allocation against the $50m regulatory threshold with each counterparty.
How it Works
Trade data (in CSV, FPML) or your existing sensitivities are uploaded.
Sensitivities created or transformed into CRIF by OpenGamma.
SIMM requirements out.
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