Bloomberg Introduces Pre-Trade SIMM Calculations to Support Phase 6 Initial Margin UMR Adherence
- Risk Management
- 08.12.2021 02:15 pm
Bloomberg and Acadia, a leading provider of integrated risk management services for the derivatives community, today announced the integration of MARS SIMM with Acadia's IMEM (Initial Margin Exposure Manager) module for Standard Initial Margin Model (SIMM) Pre-Trade analytics. The new calculations enable clients to run pre-trade SIMM analytics through Bloomberg’s Multi Asset Risk Solutions (MARS) using Acadia’s IMEM CRIF data capabilities.
MARS SIMM is an optimization tool that allows traders to improve their front office decision making in light of the current Uncleared Margin Rule framework. The integration enables clients to run SIMM pre-trade analytics through MARS SIMM using Acadia's Initial Margin Exposure Manager (IMEM) CRIF capabilities. Firms will have the ability to import their respective CRIF files via Acadia to MARS in order to determine their margin exposure, and adjust their portfolios’ allocations to minimize custodial costs incurred by exposures of over $50 million.
As part of the longstanding initial margin rule framework created by the Basel Committee and the International organization of Securities Commissions (IOSCO), the remaining stages require a broader range of institutions to face the implemented exposure obligations. Baked into those requirements is the expectation that firms who surpass an exposure threshold of $50 million, will calculate an initial margin using ISDA’s SIMM, which can result in added costs and residual stipulation for impacted firms.
The addition of the pre-trade SIMM analytics expands Bloomberg’s existing post-trade integration with Acadia. Since 2018, the service has enabled market participants in-scope for the calculation of initial margin for uncleared derivatives access to risk sensitivities calculation services both through Bloomberg and Acadia.
“We are pleased to expand our partnership with Bloomberg,” says Fred Dassori, Chief Product Officer, Acadia. “The additional capabilities that we’re making available to MARS clients that use IM Exposure Manager, Acadia’s most widely used tool for initial margin reconciliation, address a need for visibility into expected future IM exposure and enables clients to make more informed trading decisions.”
"Our expanded integration with Acadia will provide our clients a more comprehensive solution that enables them to better manage derivatives risk, while helping to minimize costs related to their exposures,” said Jose Ribas, Global head of Risk & Pricing Solutions at Bloomberg. “We remain focused on providing our clients with enhanced risk management tools and functionality through MARS that optimize their workflows, while helping them comply with regulatory requirements.”
MARS SIMM is accessed through Bloomberg’s Multi Asset Risk System (MARS), a comprehensive suite of risk management solutions. MARS, which is delivered on the Bloomberg Terminal and via APIs, provides risk analytics for cash and derivatives securities, from vanilla to complex and cash structured products. Bloomberg Risk solutions cover all traders and portfolio managers’ front-office needs across market risk, XVA, credit risk, collateral and SIMM among others, which are built on a common pricing library to provide consistency across client workflows.