Numerix, the leader in risk technology, today introduces a new initial margin module utilizing ISDA’s Standard Initial Margin Model (ISDA SIMM™) methodology in its award-winning derivatives pricing and risk system, Numerix Oneview. Built on cutting-edge derivative models and a high-performance compute engine, Oneview provides a holistic view of the entire derivatives business across the front and middle offices. As an officially licensed vendor of ISDA SIMM™, Numerix will offer a unique and full-featured initial margin solution for institutions who trade non-cleared derivatives.
The final phases of uncleared margin rules coming into effect on September 1, 2019 (Phase 4) and 2020 (Phase 5) will present significant challenges to market participants that fall into scope. Known in the industry for its unmatched quantitative expertise and its ability to model the most complex exotics, Numerix is uniquely suited to address the non-cleared derivatives space, where the products are highly specialized and now subject to margining.
"No other system on the market provides the breadth and depth of functionality for derivatives businesses. With ISDA SIMM™ analytics for deeper insights into margin drivers, plus comprehensive XVA measures, market risk and counterparty risk analytics, and regulatory capital calculations, Oneview provides traders and risk managers with a multi-dimensional view of their business, front-to-risk,” says Satyam Kancharla, Chief Strategy Officer and SVP at Numerix.
ISDA SIMM™ Functionality Is Now Available.
The new initial margin module generates risk sensitivities and aggregates them into buckets as prescribed by ISDA SIMM™. It then produces the ISDA SIMM™ CRIF (Common Risk Interchange Format) files and initial margin calculations to facilitate fast and smooth margin reconciliations with counterparties. The module also supports ISDA SIMM™-specific cross-currency swap treatment and provides configurable ISDA SIMM™ parameters and sensitivities for added flexibility.
In forthcoming releases, Oneview will provide more than just basic margining functionality. Users can expect advanced ISDA SIMM™ analytics for deeper insights into margin drivers, plus real-time initial margin calculations integrated into Oneview’s pre-deal checks so traders can understand the margin impact of new trades before execution.
Kancharlaconcludes: “Our users demand powerful insights to make better decisions, reduce margin costs, drive more profit, and reduce risk in the non-cleared derivatives book. Oneview for Margin will be the solution to help them get there.”