ISDA SIMM

METHODOLOGY & PARTICIPATION

HOW THE CROWDSOURCING FACILITY WORKS

  • Each day, submitting firms send their mappings of assets against ISDA SIMM risk buckets to IBA (their ‘votes’).
  • IBA calculates the resulting mappings, according to the calculation rules, and publishes the results to licence holders.
  • ISDA SIMM firms submit data for positions on their books that are in scope for uncleared margin requirements.

Calculation rules

  • The published risk bucket is the bucket with the highest number of votes for that asset (within that asset class), subject to the tie breaker rules.
  • Tie breaker rules:
    • If two or more buckets receive an equal number of votes, the bucket with the highest risk weighting wins.
    • If two or more buckets receive an equal number of votes and have the same risk weighting, the lowest bucket numerically wins (i.e. If bucket 1 and bucket 5 have the same number of votes and the same risk weighting, bucket 1 wins).
    • The Residual bucket can never win a tie break
  • The mappings submitted to IBA carry over from day to day, so they can be used in subsequent calculations. However, they expire after seven calendar days to ensure that data is current. (I.e. if a firm supplies votes for Monday’s calculation, they will need to supply votes again before the next Monday’s calculation to be included in that calculation.)
  • Each asset (within an asset class) must have a minimum of two valid votes in order to be included in the results

PARTICIPANTS

16 firms currently submit votes to the Crowdsourcing Facility.