Additional Initial Margin

This document provides a walkthough of the additional margin implementation in the SIMM Accelerator.

The total SIMM formula per para 6 of the SIMM Version 2.2 $SIMM = SIMM_{RatesFX} + SIMM_{Credit} + SIMM_{Equity} + SIMM_{Commodity}$ can be extended to include regulatory specific or netting set specific factors, which will increase the IM amount.

Additional Margin formula

The additional margin is calculated as follows:

$$Additional IM = AddOnFixed + AddOnNotional + AddOnSIMM$$

where:

• $AddOnFixed = Param_AddOnFixedAmount$
• $AddOnNotional = \sum_{p \in products} Param\ AddOnNotionalFactor_p \cdot Notional_p$
• $AddOnSIMM = \sum_{pc \in product\ classes} Param\ ProductClassMultiplier_pc \cdot SIMM_{pc}$

Additional Margin Parameters

A set of the Additional Margin parameters consists of:

• Param_AddOnFixedAmount (default 0)
• Param_AddOnNotionalFactor (default 0)
• ProductClassMultiplier_pc (default 1)

To allow for regulatory specific and netting set specific parameters, and to minimize the maintenance effort, the following waterfall logic is implemented:

• case 1. Only Regulator is specified (Post or Collect) - apply to all SIMM for that regulator in any of the agreements.
• case 2. Only Netting Set is specified - override parameters for that netting set, ignore the regulator.
• case 3. Netting Set and Regulator is specified - override parameters only for the netting set and the regulator.