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