Schedule Initial Margin
Overview
Atoti ISDA-SIMM provides measures computing margin per Schedule Methodology.
Gross Initial Margin per trade
The Gross Initial Margin per trade is computed as: $Notional \cdot MarginRate$.
Margin rate is looked up based on Product Class and Maturity Bucket (can be visualized using RegulatoryBucket hierarchy):
- Maturity Bucket 0y-2y includes all trades having an EndDate within the next 2 calendar years (inclusive exactly 2y from now)
- 2y-5y includes all trades maturing after 2y and up to 5y from now (inclusive exactly 5y)
- 5y+ bucket includes trades expiring after 5y
NGR per netting set
NGR = net replacement cost / gross replacement cost, where
- net replacement cost = max(0, sum across trades in the netting set PV)
- gross replacement cost = sum across trades in the netting set of max(0, PV) (in-the-money trades)
Net standardized initial margin per netting set
Schedule = 0.4 * Gross initial margin + 0.6 * NGR * Gross initial margin
The 0.4 and 0.6 factors can be changed - please see SIMM Parameters.
CRIF fields
- RiskType {“Notional”} and IMModel { “Schedule”} - filter “AmountUSD” to obtain “Notional” (see Step Gross Initial Margin).
- RiskType {“PV”} and IMModel { “Schedule”} - filter “AmountUSD” to obtain PV (see Step NGR)
- ProductClass {“Rates”, “FX”, “Credit”, “Commodity”, “Equity” or “Other”} - is used to look up Margin Rate
- EndDate - is used to compute maturity in years and look up Margin Rate