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About the Solution

Introduction

ActiveViam has undertaken an initiative to provide a Business Solution for the calculation of initial margin for uncleared products as per the ISDA SIMM Methodology. Atoti ISDA-SIMM is the result of client consultations and development work.

Features at a glance

Here’s a short summary of features of Atoti ISDA-SIMM:

  • Aggregation logic to compute initial margin in accordance with ISDA SIMM and Schedule methodologies:

    • Transparency of calculation is achieved by including interim calculations as measures in a pivot table (or tabular view) of the cube for validation/analysis purposes.
    • Measures can be drilled in to reveal trades contributing into the initial margin.

  • Multiple parameter sets can be supported for different jurisdictions.

  • Pre-defined data model with the possibility to adapt to the bank’s own source formats.

  • Possibility to have a pre-defined cube with all measures set in advance or let users dynamically select measures and instantiate them on the fly in the cubes.

  • Extendable set of attributes and dimensions (hierarchies, dimensions, levels of the cube structure).

  • What-if simulations:

    • Override parameter values and re-aggregate margin numbers on the fly, in a so-called “what-if” experimental branch.
    • Upload additional sensitivities into a “what-if” branch and evaluate pre-deal margin impact.

Exclusions

Some aspects of the IM are not included in Atoti ISDA-SIMM. This section highlights those topics.

Atoti Server is not a risk engine

Atoti Server is not a risk engine. There is no functionality or software in Atoti ISDA-SIMM for the calculation of valuation results and sensitivities. In all cases it is assumed that the client already has a risk engine or trade booking system that can generate the raw data (sensitivities, notionals, PV, etc). Additionally, it is assumed that upstream systems are validating trade eligibility.

Atoti Server is not a tool for data management

There is no functionality to convert banks' static data into attributes, required by the methodology, such as Sectors, Credit quality, relationship to counterparty, and so on. The Solution expects to receive this meta-data as input.

Solution Concepts

Business Solutions are projects that contain business logic, implementation best practices and software code to enable a faster time-to-market and help clients confidently address use cases such as regulations. The reference implementations are built on and require Atoti Server, ActiveMonitor, and Atoti UI.

Clients may choose to use a Solution "as is" by conforming to published data input file structures and data stores. Alternatively, clients may use the Solution purely as a starting point for building a suitable system with additional functionality.

Solution source code is delivered and IT users are free to make derivative works (which become the client’s IP) to adapt to their data sources and requirements.