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OpenGamma to release open-source margining model for OTC derivatives

OpenGamma is developing an open-source method for the calculation of margins on bilateral derivatives transactions, the company has announced. OpenGamma is working with OTC derivatives market participants on the project.

This represents the first time that open access for margining source code will be available across industry participants, enabling full transparency of independent, verifiable margin calculations for OTC derivatives trades that will not be controlled by any entity. The OpenGamma source code will be made available for incorporation across utilities and trading systems in what the company hopes will usher in a new era of consistency and openness.

“With capital scarce, financial firms are more focused than ever on developing high-value, proprietary innovations rather than re-creating industry-standard methodologies,” said Mas Nakachi, OpenGamma CEO. “That’s why we’re working with the industry to streamline and democratize the development of market structure solutions, which also fundamentally reduces operational and systemic risk through the inherent transparency of open source code. We believe the future of OTC market structure will be driven by the need for transparency and will therefore be based on open standards.”

OpenGamma is working on an update to the current HVaR-based model from the original ISDA SIMM paper that will use a different methodology and become widely available upon industry approval. All source code and versions will be available on to allow the developer community to evaluate and verify the models and methodologies openly.

Contributing writer: John Davis