AcadiaSoft and LMRKTS, an optimisation and compression provider, have completed a proof-of-concept (PoC) for a holistic ISDA Standard Initial Margin Model (SIMM) optimisation across rates and foreign exchange (FX) products.
The PoC for this new industry service produced by the International Swaps and Derivatives Association (ISDA) leverages LMRKTS' mathematical expertise and AcadiaSoft's network and data management capabilities to deliver margin reductions for buy-side and sell-side financial institutions.
A network of global financial institutions participated in the first PoC with the second planned this month.
LMRKTS uses clients' input files in the common risk interchange format (CRIF), the ISDA SIMM standard model for risk sensitivities, which it receives directly from AcadiaSoft with granted permission by the participants.
Market participants are required to adhere to margin requirements for non-centrally cleared derivatives under the Uncleared Margin Rules, which will see-in its final two phases in September and September 2021, respectively.
Through optimising ISDA SIMM, market participants can minimise their margin costs while also better managing their risks, the firms say.
"Our unique ability to maximise margin reductions for both rates and FX in a single run ensures that the RatesFX product class is optimised holistically, and therefore most efficiently," says Andrea Ianniello, president and chief commercial officer of LMRKTS. "Adding cleared nodes further improves our already strong benefits."
Fred Dassori, chief product officer at AcadiaSoft, adds: "We are proud to be working with LMRKTS on this PoC and look forward to further collaboration. Our common goal is to reduce risk and increase efficiency in post-trade processes for our mutual clients.”
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