Overview
As an officially licensed vendor of ISDA’s Standard Initial Margin Model (SIMM™), Numerix has a unique and full-featured initial margin solution for institutions who trade non-cleared derivatives. Numerix Oneview, our award-winning derivatives pricing and risk system, provides comprehensive SIMM™ functionality to easily produce SIMM™ CRIF (Common Risk Interchange Format) files and initial margin calculations, to facilitate fast and smooth margin reconciliations with counterparties. But Oneview provides much more than just basic margining functionality.
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. With advanced SIMM™analytics for deeper insights into margin drivers, plus real-time margin numbers available for pre-deal analysis, Oneview also provides comprehensive Valuation Adjustments (XVAs), Market Risk and Counterparty Risk analytics, Regulatory Capital calculations, and much more. With this multi-dimensional view of the business, traders and risk managers can make better decisions and reduce margin costs, drive more profit, and reduce risk in the non-cleared derivatives book.
Key Features
Core SIMM™ Functionality
Fully aligned with ISDA’s SIMM™ methodology and designed to simplify and streamline initial margin workflows.
- Officially licensed by ISDA* to offer SIMM™ analytics
- Generates sensitivities and aggregates into prescribed buckets
- Generates and exports CRIF files, for counterparty reconciliations and regulator engagement
- Produces margin calculations for analysis, plus exports to other systems, counterparties, and regulators
- Supports all four product classes as defined by SIMM™
- Imports external CRIF files from other systems, to aggregate and run all margin calculations in Oneview
- Supports SIMM™-specific cross-currency swap treatment
- SIMM™ methodology and parameters are automatically updated by Numerix as ISDA re-calibrates them each year
- Configurable SIMM™ parameters and sensitivities for added flexibility
Advanced SIMM™ Analytics
Gain deeper insights into the drivers behind initial margin numbers, optimize and reduce margin costs, and reduce disputes with counterparties.
- SIMM™ Explain identifies key risk drivers influencing margin values, so firms can take action to mitigate the risks and lower margin costs
- Conduct fast and easy margin reconciliations with counterparties by comparing CRIF files and identifying key mismatches and drivers of those differences
- Enables incremental and marginal back allocation of margin to individual trades, so firms can see the “margin cost” of different trades, strategies, desks, or portfolios
- Provides customizable dashboards to monitor key margin metrics
- In-memory analysis cube enables dynamic multidimensional views of margin (i.e. slice and dice), to assess margin by trade, margin set, netting set, legal entity, counterparty or other dimensions
Pre-Deal SIMM™ Analysis
Understand the margin impact of new trades before execution, and optimize counterparty choices to minimize margin.
- Pre-deal checks (PDCs) provide real-time margin numbers at a trader’s fingertips, so traders can see the margin impact of new trades before transacting the trades
- PDCs also include other key metrics such as XVAs, counterparty exposures and regulatory capital costs, so traders have an accurate all-in price and a holistic view of a trade’s risk and capital impact
- Cheapest-to-Trade analytics identify the counterparty with the lowest incremental margin for a new trade, to optimize counterparty choice and lower margin costs
- All pre-deal SIMM™ analysis is designed to help traders control costs and risk while increasing profitability at trade inception
Holistic Front-to-Risk
Margin calculations are provided alongside derivative prices, risk sensitivities, XVAs, market risk, counterparty risk, regulatory capital, and other metrics, so firms have a unified and comprehensive view of their business.
- Reduces Total Cost of Ownership (TCO) relative to purchasing and running multiple systems
- Firms can become SIMM™ capable plus gain additional business metrics—all from one system deployment
- Covers the full spectrum of non-cleared derivative instruments including exotics
- Handles very large portfolios
- Flexible deployment methods (on-premise, cloud, managed service) allow firms to choose the best option for their needs
- Integrates simply and easily with other systems via REST APIs and becomes the “single source of truth” for margining and other metrics in the derivatives business
*Licensed from International Swaps and Derivatives Association, Inc. (ISDA), All Rights Reserved.
Please note that your use of this ISDA SIMM™ service or product for calculating your firm’s initial margin pursuant to applicable regulations requires a license from the International Swaps and Derivatives Association, Inc., which may be obtained by contacting isdalegal@isda.org. Licensing the ISDA SIMM™ provides documentation and support required to properly implement and maintain the ISDA SIMM™.
Key Benefits
Core SIMM™ Functionality
Generate SIMM™ sensitivities and aggregate into buckets, create CRIF files, and produce margin numbers.
Advanced SIMM™ Analytics
Identify key risk factors driving SIMMTM numbers, reconcile with counterparties, and reduce margin costs.
Pre-Deal SIMM™ Analysis for Traders
Conduct pre-deal margin checks, identify optimal counterparties to trade with, and see all pre-deal metrics in a single view.
Holistic Front-to-Risk Solution
Additional analytics including XVAs, Market Risk, Counterparty Risk, and Regulatory Capital, for a complete view of the business.
