The IM Risk Generator service takes client trade data as an input and generates either an ISDA SIMM™ – or Schedule-based Common Risk Interchange Format (CRIF) file that forms the input to the initial margin (IM) calculation. In the case of an ISDA SIMM™ CRIF, a key component of the service is the calculation of the risk sensitivities that enable the ISDA SIMM™ calculation.

Using the IM Risk Generator service achieves a unique, automated, straight-through process beginning with streamlined position data inputs and ending in a completed margin call.

AcadiaSoft delivers the Service in collaboration with Quaternion Risk Management. It is designed to minimize or altogether eliminate the need for users to calculate risk sensitivities or generate the CRIF file themselves, both freeing up quantitative resources for higher-value tasks and reducing clients’ effort spent developing and maintaining complex, bespoke processes in-house.

In addition, through its integration with Initial Margin Exposure Manager (IMEM), the IM Risk Generator service facilitates a seamless workflow enabling a user to perform only one simple step – submitting position details – that drives the calculation of initial margin requirements and culminates in collateral transfer.

IM Risk Generator inputs and outputs

Key Features:

  • Supports a broad coverage of both simple and complex product types including: Interest Rates, FX, Commodities, Equities, Credit and Inflation asset classes
  • Flexible position data capture methods and formats
  • Customizable file input
  • Data security: clients upload portfolios in a secure, tested environment
  • Full support throughout the onboarding and reconciliation process
  • Ability to investigate and analyze sensitivities
  • Full support through the upcoming Risk Free Rates (RFR) transition from LIBOR
    • Monitor and support RFRs into the OIS Sub Curves of each respective currency
    • Calculate and support current LIBOR based curves
    • Monitor and apply the appropriate fallbacks to SOFR as prescribed by the industry and ISDA
    • Seamless transition to when IBORs are discontinued
    • Ability to source market data to value SOFR based product

Key Benefits:

  • Utilize proven technology and methodology without impacting on internal resources
  • Leverage pre-existing data inputs and AcadiaSoft partners for on-going SIMM™ validation
  • Supports the entire ISDA SIMMTM end to end process within AcadiaPlus where your firm can provide trades, margin terms and collateral balances.
  • Validation of internal processes – a useful comparison tool
  • Lower cost through mutualization
  • Simple and transparent pricing – your subscription to AcadiaPlus provides access to a range of services including the entire Risk Suite at a cost based on the size of your firm’s requirements
  • Standardized market data: all users share common market data provided by market-leading independent sources