ActiveViam has successfully run and passed the updated International Swaps and Derivatives Association (ISDA’s) for the most recent iteration of the Standard Initial Margin Model (SIMM) unit test.
The update was issued in September with an effective date of December 5, 2020 and is reflective of full recalibration and industry backtesting.
ActiveViam has completed all the code changes and passed all of the new versions of the test.
“We enable the users to see the calculations with the old and new regulation parameters in the same dashboard,” said Colleen Cosgrove, Director of R&D Fintech Apps for ActiveViam. “In this way, our clients are able to compare differences from the last version to this version and access the impact of the changes.”
Initial margin requirements were phased in by regulators over a 4-year period from 2015 to 2019 starting with those with the largest derivatives books and ending with the smallest market participants.
SIMM was developed by ISDA as a way to smooth out counterparty margin disputes and launched in 2016. It was updated in 2018 and 2019 to help the derivatives market manage their margining of over-the-counter (OTC) derivatives trades. Initial margin requirements were phased in by regulators over a 4-year period from 2015 to 2019 starting with those with the largest derivatives books and ending with the smallest market participants.
The total derivatives notional among outstanding was $559 trillion as of December 2019, the last time the Bank for International Settlements (BIS) released the data. This represents an increase over year-end 2018 though the BIS noted that derivatives notional fell in the last six months of 2019 compared to the previous period.
ActiveViam was founded in 2005 and has deployed analytical solutions to help financial services firms make instantaneous business decisions and meet operational challenges. With a comprehensive offering of analytics and data science products based on in-memory technology and expert-designed user interfaces, ActiveViam’s clients achieve a unique level of precision, speed, and adaptability.
ActiveViam’s software solutions are used today by global banks, hedge funds, asset managers and derivatives exchanges for their most sensitive and intensive analytics needs. Our offices are located in Paris, London, New York and Singapore and we serve 90+ clients in more than a dozen countries.
For more information visit www.activeviam.com and find out more about our financial services solutions.