AcadiaSoft Inc., provider of margin automation solutions for counterparties engaged in collateral management worldwide, today announced that it will make available open source code for the ISDA SIMMTM as a free download to any firm that wants it. The code, produced by AcadiaSoft’s Expert Services division and available at https://github.com/acadiasoft, will be updated regularly to conform to the latest ISDA guidelines.
The ISDA SIMMTM, or Standard Initial Margin Model, is a methodology for calculating initial margin (IM) developed by the International Swaps and Derivatives Association (ISDA). ISDA created the SIMMTM to provide the OTC derivatives industry with a standardized calculation method that met the requirements of the new regulatory framework established by the Basel Committee on Banking Supervision (BCBS) and the International Organization of Securities Commissions (IOSCO).
As of September 1, 2018, Phase 3 firms will be required to post IM for all non-cleared derivatives transactions under the new regulatory framework. While ISDA provides both guidance on ISDA SIMMTM implementation and a unit test to ensure that results are in conformance with the expected results, individual firms must code the ISDA SIMMTM themselves or hire an outside firm to do so. Utilizing the AcadiaSoft code will ensure that firms always have the latest version of the ISDA SIMMTM code.
“By making the ISDA SIMMTM code freely available on an open source basis, AcadiaSoft hopes to kick start the IM compliance process for firms in Phase 3 and beyond, who would otherwise need to code to the ISDA SIMMTM themselves or hire an outside firm to do it,” said Mark Demo, Product Director at AcadiaSoft. “From AcadiaSoft’s standpoint, we believe in transparency and open source. More firms using ISDA SIMM means less initial margin disputes both now and in the future. This effort also moves us closer to our goal of being a one-stop-shop for in-scope firms in their efforts to comply with the new IM rules.”
Firms that work with the code will still need to obtain a license from ISDA for production use of SIMMTM. U.S.-based firms will also need approval from their lead prudential regulator.