19 March 2018
visit www.nextgenbanking.co.uk

Isda tenders for SIMM crowdsourced utility

02 July 2015  |  2421 views  |  0 Source: Isda

The International Swaps and Derivatives Association, Inc. (ISDA) has launched a tender process to select a third party to build and operate a crowdsourcing utility for the ISDA Standard Initial Margin Model (ISDA SIMM).

The utility is intended to aggregate and compile risk data to enable market participants to implement the ISDA SIMM™ consistently.

The ISDA SIMM™ has been developed as part of ISDA’s Working Group on Margining Requirements (WGMR) implementation initiative to help market participants meet new margining rules for non-cleared derivatives. By using a common methodology to calculate initial margin, counterparties can avoid the potential for disputes. The ISDA SIMM™ can be used by any party subject to the non-cleared margin requirements.

In order to ensure a consistent implementation, the treatment of risk weights and correlation parameters to sensitivity values needs to be the same among ISDA SIMM™ users. Risk weights for certain asset classes are clear, and therefore treatment will be the same among ISDA SIMM™ users. However, the consistent allocation of net sensitivity values for other asset classes will require sensitivities generated to each risk factor to be mapped consistently to an ISDA SIMM™ risk bucket.

ISDA believes a centralized crowdsourcing solution is needed to achieve this consistent mapping. The value of crowdsourcing is that parties will use the consensus results instead of their own internal determination of risk buckets and weightings. The utility will:

Accept data from participants that are in scope for non-cleared margin rules;
Analyze data and produce consensus results;
Provide results reports to users;
Establish policies and procedures for the utility;
Ensure continuity and integrity of the utility and associated data.

The utility needs to be fully operational in time to allow for onboarding, connectivity and user testing prior to September 1, 2016, the effective date for implementation of non-cleared margin rules for the exchange of both initial margin and variation margin. More detailed timelines are contained in the invitation to tender (ITT).

ISDA will provide an ITT document to parties interested in bidding to build and operate the ISDA SIMM™ crowdsourcing utility. Firms interested in submitting a tender response should contact Tara Kruse tkruse@isda.org and Eleanor Hsu ehsu@isda.org by July 8, 2015 to receive the ITT document. The deadline to submit a tender response is July 30, 2015. ISDA expects to announce the successful bidder by September 10, 2015.

Comments: (0)

Comment on this story (membership required)

Related company news


Related blogs

Create a blog about this story (membership required)
visit www.ebaday.comVisit www.facebook.com/business/

Who is commenting?

Top topics

Most viewed Most shared
Can banks be a threat to Big Tech?Can banks be a threat to Big Tech?
8171 views comments | 24 tweets | 36 linkedin
Indian fintech sector needs regulatory support to flourishIndian fintech sector needs regulatory sup...
8105 views comments | 9 tweets | 8 linkedin
BIS warns central banks on digital currency issuanceBIS warns central banks on digital currenc...
7015 views comments | 18 tweets | 17 linkedin
Barclays propels Coinbase into Faster PaymentsBarclays propels Coinbase into Faster Paym...
6947 views comments | 15 tweets | 28 linkedin