ISDA SIMM Model Documentation support for submission to NFA for a Japanese Bank
Client : Japanese Bank
Objective
To help a Japanese bank complete ISDA SIMM Model Documentation under tight deadline for submission to the NFA.
CRISIL's Solution
- Quickly formed a four-member team that performed a comprehensive analysis of guidelines provided by different regulatory/governing bodies (ISDA, NFA, SR-11-07)
- Developed two comprehensive reports (150+ pages each), detailing model development and model validation
- Identified and addressed additional tests and remediation areas, including stress testing, ongoing monitoring, governance streamlining, etc.
- Generated additional supporting documents, such as Clean P&L Generation Methodology, as part of the package
- Performed various stress tests that enhanced confidence in the model and its implementation
Challenges
- Intermediate steps calculated using different systems and multiple documents that were not in line with SR-11-07 and NFA/regulatory guidelines
- Short execution time due to a tight regulatory deadline
Client Impact
- The team delivered high-quality, regulator-ready documents within the planned timeline and budget
- Generated more than 40% savings for the client by executing the project from CRISIL offshore office