Your browser is unsupported

Please visit this URL to review a list of supported browsers.

ISDA SIMM Crowdsourcing Facility

The ISDA Standard Initial Margin Model (ISDA SIMM™) is a common methodology for calculating initial margin for non-centrally cleared derivatives, developed as part of ISDA’s Working Group on Margin Requirements (WGMR) to help market participants meet the BCBS-IOSCO margin framework for non-cleared derivatives.

The ISDA SIMM™ Crowdsourcing facility has been in operation since the launch of initial margin regulations in 2016 to harmonize certain firm level inputs to the ISDA SIMM™ methodology and to reduce disputes in initial margin calls.

Differences in firm sources which determine the risk buckets for the Credit and Equity risk classes may result in discrepancies in the assigned risk bucket, leading to discrepancies in the initial margin amount calculated. The ISDA SIMM Crowdsourcing Facility is an industry utility created to reduce such discrepancies by using crowd-sourced data analytics to help resolve disputes regarding the appropriate risk bucket for the SIMM calculation. In the event of a bilateral discrepancy in the risk bucket for the credit or equity risk classes, the ISDA SIMM Crowdsourcing Facility has been designated by ISDA as the default utility for resolving disputes.

Please read IBA's benchmark and other information notice and disclaimer here.

Methodology

IBA have partnered with ISDA to develop the Crowdsourcing Facility, which provides independent and consensus risk bucketing of assets and ISINs for underlying non-cleared derivatives. It allows capital market participants to “vote” on which risk bucket, from the ISDA SIMM methodology, they believe underlying credit and equity ISINs should fall into. After the “voting” is complete, IBA aggregates, compiles and publishes risk buckets for the underlying ISINs, enabling market participants to implement the ISDA SIMM™ calculation consistently and agree the margin that needs to be exchanged. As a result, users of the facility benefit from a reduction in the number of margin call disputes in addition to realising operational, legal and economic efficiencies.

How the Crowdsourcing Facility Works

  • Each day, submitting firms send their mappings of ISINs against ISDA SIMM risk buckets to IBA (their ‘votes’)
  • ISDA SIMM firms submit data for ISINs on their books that are in scope for uncleared margin requirements
  • IBA calculates the risk bucket with the most ‘votes’ for each ISIN according to calculation and tie-breaker rules
  • Each ISIN must have a minimum of two valid votes in order to be included in the results
  • Once the consensus results of ISINs and their risk buckets for that day have been calculated, the data is made available for SIMM firms to use in their margin calculations

ISDA SIMM Crowdsourcing Facility Factsheet

Read now

Governance

The Crowdsourcing Facility benefits from IBA’s independent governance and also from the governance of the ISDA SIMM Governance Forum run by ISDA.

Data, Reports & Licensing

All SIMM market participants from the buy and sell side are able to participate in the crowdsourcing facility. Firms have the option to participate either as risk bucket voters and users of the risk bucket results or as users of the risk bucket results only.

Firms who wish to receive the results of the ISDA SIMM Crowdsourcing Facility, either directly from ICE or from a third party, are required to enter into a Usage Licence with ICE Benchmark Administration.

Firms who wish to redistribute the results of the ISDA SIMM Crowdsourcing Facility to third parties are required to enter into a Redistribution Licence.

For more details on licensing please refer to Licensing and Data.

Participants can download and use the data published by the facility for margin calculations for uncleared derivatives as part of the broader application of the ISDA SIMM methodology. Firms that have signed the usage license can access reports here.

Publication Times, Days & Holidays

The expected daily publication time is 05:15 Eastern Time.

The publication holidays are: the Christmas Day bank holiday and New Year’s Day bank holiday.