Measures
This section provides documentation of the measures available in the reference implementation.
| Measure | Business value | Nothing in the view | PortfolioID | Regulation | ProductClass | RiskClasses | SensitivityTypes | RegulatoryBuckets |
|---|---|---|---|---|---|---|---|---|
| Total IM | Main measure which is displaying margin requirement (the most conservative) | Sum of worst margin across netting sets | Worst margin for a given netting set | Total IM for a given regulator (and netting set) | Shows a portion of Additional Margin and Standard margin next to N/A product class, and shows SIMM + Additional margin for individual product classes | Calculation is not applicable at this level, show null | Calculation is not applicable at this level, show null | Calculation is not applicable at this level, show null |
| Worst Regulator | Measure indicative the worst regulator for a netting set | Regulation dimension is required | Worst margin for a given netting set | Calculation is not applicable at this level, show null | Calculation is not applicable at this level, show null | Calculation is not applicable at this level, show null | Calculation is not applicable at this level, show null | Calculation is not applicable at this level, show null |
| SIMM | Measure displaying SBM calculation | Regulation dimension is required | Regulation dimension is required | SBM margin for a given netting set and regulator | SIMM by Product Class, it is additive | Shows measures in folder “Risk class level margin”, components are not additive. | Shows measures in folder “Sensitivity level margin”. Components are additive for each Risk Class + Sensitivity Type | Calculation is not applicable at this level, show null |
| Additional Margin | Measure displaying contribution of additional margin | Shows worst additional margin | Shows worst additional margin | Additional Margin for a given netting set and regulator | Shows Fixed Margin and Notional Margin next to N/A, and SIMM-based margin next to product class | show next to N/A | show next to N/A | Calculation is not applicable at this level, show null |
| Standard IM | Measure displaying contribution of Schedule Standard Margin | Regulation dimension is required | Regulation dimension is required | Standard Margin for a given set and regulator | Standard Margin for a given set and regulator, and product class | Shows standard margin next to N/A | Shows standard margin next to Notional | Shows standard margin next to ProductClass+N/A |
| K Generic - Sum of measure in “Bucket level margin” folder across Regulatory Buckets, Sensitivity Types and Risk Classes | Measure for convenience of Bucket-level SBM calculation analysis | Calculation is not applicable at this level, show null | Calculation is not applicable at this level, show null | Sum of measure in “Bucket level margin” folder across Regulatory Buckets, Sensitivity Types and Risk Classes | For each product class, shows Sum of measure in “Bucket level margin” folder across Regulatory Buckets, Sensitivity Types and Risk Classes | For each Risk Class and Product Class, shows Sum of measure in “Bucket level margin” folder across Regulatory Buckets, Sensitivity Types | For each Risk Class, Sensitivity Type and Product Class, shows Sum of measure in “Bucket level margin” folder across Regulatory Buckets | Shows same results as measures in “Bucket level margin” |
| WS | Additive across netting sets, for a given regulator | Calculation is not applicable at this level, show null | Calculation is not applicable at this level, show null | Sum for a given NS and Regulator, this metric is additive | additive | additive | additive | additive |
| Risk generic | Additive across netting sets, for a given regulator. Can’t sum up EQ Delta with FX vega though, hence should require having risk class and sensitivity type in the view | Calculation is not applicable at this level, show null | Calculation is not applicable at this level, show null | Sum for a given NS and Regulator, this metric is additive | additive | additive | additive | additive |
| Schedule Notional | Additive across netting sets, for a given regulator | Calculation is not applicable at this level, show null | Calculation is not applicable at this level, show null | Sum for a given NS and Regulator, this metric is additive | additive | show next to N/A | show next to N/A | show next to N/A |
| PV | Additive across netting sets, for a given regulator | Calculation is not applicable at this level, show null | Calculation is not applicable at this level, show null | Sum for a given NS and Regulator, this metric is additive | additive | show next to N/A | show next to N/A | show next to N/A |