ISDA SIMM 2.1 – Are You Ready for Implementation?

November 14, 2018 by No comments
  • ISDA SIMM 2.1 is effective December 1, 2018
  • Updated with a full re-calibration and industry backtesting
  • Initial Margin will change for all counterparty portfolios
  • Our Customers can check the impact leading up to the effective date
  • And can be confident on implementing SIMM 2.1 on time
  • If you are interested in joining them, we offer free trials
  • For either Excel, API or Web App

Version 2.1

ISDA have announced ISDA SIMM v2.1. The press release tells you all the main points;

  1. Full re-calibration and industry backtesting of the methodology
  2. A calibrated historical volatility ratio for the interest rate asset class
  3. Effective from December 1, 2018

The re-calibration means that pretty much all risk weights and correlations for risk factors have changed, resulting in the IM that firms calculate changing after December 1, 2018.

This is the 5th public version of the ISDA SIMM methodology. We support all versions and our tools are designed to give quick and easy comparisons between versions.

Tools, tools, tools, …

One of the things we focus on at Clarus is ease of use.

Offering compelling choices in how to use our services and making it super easy to integrate them. We do the same for ISDA SIMM calculations.

Users can choose from:

  • Excel, for those attached to their workbooks
  • Web API, for the techies, Python, Java, R, Julia, Perl, ….
  • Web App, for slick what-ifs, drill-down, optimisation and more

Lets look at each of these in turn.

Excel

For new users, we have a pre-built Excel workbook, that show cases functionality.

For example, copy & paste risk sensitivities in CRIF format and calculate SIMM v21 margin for each counterparty to determine the change from v20.

SIMM for Excel

More advanced users can install our Excel AddIn and use the function SIMM_MARGIN.

SIMM for Excel Addin

To learn more about Clarus SIMM for Excel click here. Prospective customers can sign-up for a free 14-day trial before purchasing, just start your free trial here. (Only for internal use, no vendors please, T&Cs apply).

Web API

Many firms are moving to a modern software stack. One where they leverage APIs, either internally built ones or provided by vendors. This new software stack utilises the Cloud and provides easy integration with modern scripting based languages e.g. Python.

Clarus Microservices provide exactly this for ISDA SIMM calculations.

The following three python lines will calculate SIMM 2.1 margin for a single NDF trade:

import clarus
response = clarus.simm.margin(whatif='Buy 100m USDKRW 1w')
print (response)

Returning:

SIMM         Margin
Margin    8,101,080

What could be easier to integrate SIMM calculations into your software stack?

You never have to worry about maintaining and upgrading code for SIMM again.

Prefer a different language? We offer Java, R, Julia, Perl and more.

Want to see and try more code examples?

We provide a Sandbox with many examples for you to run, modify and experiment.

Sandbox with Python examples

Or do the same within your preferred IDE.

To learn more about ISDA SIMM in Python, click here.

To learn more about Clarus Microservices, click here.

Prospective customers can try free for 14-days before purchasing, just start your free Trial here. (Only for internal use, no vendors please, T&Cs apply).

Web App

For users wanting an out-of-the-box application, we have our CHARM service.

No installation, an easy to use Web App and the power and economics of the Cloud.

What to know which of your counterparties to do a trade with that increases IM the least?

We make it simple to enter a what-if trade, apply to any counterparty, determine the cheapest in IM terms and drill-down to a risk factor level to understand why.

CHARM UI

In this case the counterparty BankNO, increases IM by only $2.2 million and the drill-down shows that this comes from the FX Delta contribution in the currency INR with a correlation diversification benefit to the other currency positions in the margining agreement with this counterpart. Phew! That is much harder to describe in words and understand than the table above!

There is a lot more easy to use powerful functionality in CHARM.

If you are a prospective customer, just contact us to request a Demo and following that we can discuss a trial before on boarding you to the service.

That’s It

Excel, API or Web App, take your pick.

Try yourself or contact us for a demo.

Get ready for SIMM 2.1

Join our customers.

It really is that simple.

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