Nordic phase-in of new Initial Margin Rules is closing in.

Phase one and two of the new initial margin rules for non-cleared derivatives transactions has been finalised and the global players are live. Now that phase three, encompassing mainly regional banks, is knocking on the door, September 2018 is very close indeed. When also phase four and five targeting buy-side has go-live in 2019, the need for a cost efficient and local solution is obvious.

Algorithmica’s Risk Solution team is pleased to announce that release of the new SIMM margin rule engine will be available shortly after summer 2018. It can be swiftly deployed locally or as software-as-a-service, fully integrated with the front or back-office system containing the otc derivatives that needs the sensitivity calculation and IM aggregation. The ARMS platform has connections to such front office systems as Wallstreet Suite, Simcorp Dimension, Tbricks, and more.

Benefits of using a software solution from Algorithmica include the fact that it is part of a range of functionality that can be opt-in, as the needs grow. Calculating Expected Shortfall or FRTB capital measures is just as simple, when position integration has been done. Further leverage into the counterparty risk and solvency calculations for insurance firms is within reach at low additional cost and resource usage.

For a discussion about which solution that is right for your company, please contact the risk experts at Algorithmica Research.