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This document provides a walkthrough of the additional margin implementation in Atoti ISDA-SIMM. The total SIMM formula per para 6 of the SIMM Version 2.2 SIMM=SIMMRatesFX+SIMMCredit+SIMMEquity+SIMMCommoditySIMM = 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.

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Additional Margin formula

The additional margin is calculated as follows: AdditionalIM=AddOnFixed+AddOnNotional+AddOnSIMMAdditional IM = AddOnFixed + AddOnNotional + AddOnSIMM where:
  • AddOnFixed=ParamAddOnFixedAmountAddOnFixed = Param_AddOnFixedAmount
  • AddOnNotional=∑p∈productsParam AddOnNotionalFactorp⋅NotionalpAddOnNotional = \sum_{p \in products} Param\ AddOnNotionalFactor_p \cdot Notional_p
  • AddOnSIMM=∑pc∈product classesParam ProductClassMultiplierpc⋅SIMMpcAddOnSIMM = \sum_{pc \in product\ classes} Param\ ProductClassMultiplier_pc \cdot SIMM_{pc}

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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.