Acadia launches initial margin calculation tool
23 June 2023 US
Image: Day Of Victory Stu.
Risk management services provider Acadia has launched IM Recalibration Analytics (IMRA), an initial margin (IM) calculation tool.
The tool, designed for firms that have to conform to Uncleared Margin Rules, allows users to evaluate the International Swaps and Derivatives Association’s (ISDA) Standard Initial Margin Model (SIMM).
IMRA enables users to see the impact of changes on their initial margin calculations by automating tasks such as counterparty viewing and netting set level exposure changes. It also houses daily trend analysis to track potential changes in IM differences.
By incorporating existing data from Acadia’s IM Exposure Manager and IM Threshold Monitor, IMRA gives users a complete view of their initial margin requirements — without the need to upload new data, Acadia says.
Major market shocks, which drive a considerable change in risk, can be factored into the ISDA SIMM model on a quarterly and annual basis, Acadia adds.
Stuart Smith, co-head of business development at Acadia, comments: “With the introduction of off-cycle recalibration, firms need to remain agile and be able to quickly and efficiently assess new ISDA SIMMTM versions. We understand how crucial it is for firms to have the tools to hand that ensure they are best equipped to understand the impact of initial margin exposure.
“IMRA not only gives firms the tools to do so, it also provides them with a high level of visibility and accessibility. As a result, this enables firms to streamline processes, optimise resources, and forecast the impact of initial margin exposure with greater certainty, having a significant positive impact on a firm’s day-to-day processes.”
The tool, designed for firms that have to conform to Uncleared Margin Rules, allows users to evaluate the International Swaps and Derivatives Association’s (ISDA) Standard Initial Margin Model (SIMM).
IMRA enables users to see the impact of changes on their initial margin calculations by automating tasks such as counterparty viewing and netting set level exposure changes. It also houses daily trend analysis to track potential changes in IM differences.
By incorporating existing data from Acadia’s IM Exposure Manager and IM Threshold Monitor, IMRA gives users a complete view of their initial margin requirements — without the need to upload new data, Acadia says.
Major market shocks, which drive a considerable change in risk, can be factored into the ISDA SIMM model on a quarterly and annual basis, Acadia adds.
Stuart Smith, co-head of business development at Acadia, comments: “With the introduction of off-cycle recalibration, firms need to remain agile and be able to quickly and efficiently assess new ISDA SIMMTM versions. We understand how crucial it is for firms to have the tools to hand that ensure they are best equipped to understand the impact of initial margin exposure.
“IMRA not only gives firms the tools to do so, it also provides them with a high level of visibility and accessibility. As a result, this enables firms to streamline processes, optimise resources, and forecast the impact of initial margin exposure with greater certainty, having a significant positive impact on a firm’s day-to-day processes.”
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