Simm may come with a side benefit – a common data standard

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The most bedevilling aspect of exchanging regulatory margin for non-cleared derivatives is the calculation of portfolio risk sensitivities, which are used as inputs for the industry’s standard initial margin model, or Simm.

Buy-side firms caught in the regime are relying on a small group of vendors – including Acadiasoft, Bloomberg, IHS Markit and TriOptima – to perform this task. But first, the trade data needed to run the calculations must be standardised.

This is where the problems start.

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