> ## Documentation Index
> Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
> Use this file to discover all available pages before exploring further.

# 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](../input-files/parameters/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