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January 29, 2015

Vendor Support for Dec 1st Bilateral Margin Rules

First big platform to announce coverage of the requirements for Dec 1st

Despite hints that the Dec 1st bilateral margin rules may move backwards, banks and software platforms still need to prepare now. Calypso has announced their own support for three key components of the regulations:

  • A VaR Based Model (which will need regulatory approval for a firm to use it)
  • The schedule based approach (no approval needed, if the schedule is used as-is by the regulators)
  • The ISDA SIMM Model (approval needed)

The announcement qualifies the models by saying they are for the BCBS/IOSCO standards, which have been then used to derive the EBA, FDIC and CFTC proposals for actual implementations. This means you can find out a theoretical amount of IM for your un-cleared business but will need to reconfigure the model once the regulators publish final proposals.  In addition the announcement says that customers of Calypso get this as part of their core platform, and others can access this service via a cloud based implementation, opening a new way for firms to comply, without needing to install software on-site.

All the detailed over at Calypso here: http://www2.calypso.com/calypso-platform-supports-bcbsiosco-requirements-margin-non-cleared-derivatives/


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